Swing Points Long Trading System

• 09/06/2016 at 1:20 PM #12713
  Conte Caimano

  Swing Points Long Trading System basato sugli Swing Point di Larry William, usa delle barre daily per identificare particolari patterns che con buona probabilità diano vita a un rally rialzista.

  DEFPARAM CumulateOrders = False // --------------------------------------------------------------------- // Swing points long // --------------------------------------------------------------------- // --- calcola Lotti Once Lotti = 1 // --------------------------------------------------------------------- // Swing points long type 1 c1 = (close>close[1] and close[1]<close[2]) c2 = (close[2]>close[3] and close[3]<close[4]) c3 = (close>close[2] and close[1]>close[3]) EntryLongType1 = c1 AND c2 AND c3 // Swing points long type 2 c4=(close>close[1] and close[1]<close[2]) c5=(close[2]>close[3] and close[3]<close[4]) c6=(close>close[2] and close[1]<close[3]) EntryLongType2 = c4 AND c5 AND c6 // --------------------------------------------------------------------- // --- Strategia Long = EntryLongType1 OR EntryLongType2 // --------------------------------------------------------------------- // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND Long THEN BUY Lotti CONTRACTS AT MARKET NEXTBAROPEN ENDIF // --------------------------------------------------------------------- // Stop e target: //trailing stop function trailingstart = 20 //trailing stop iniziale trailingstep = 5 //passo per spostare lo "stoploss" //reset StopLoss IF NOT ONMARKET THEN newSL=0 ENDIF //gestione posizione Long IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP ENDIF // ---------------------------------------------------------------------

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  DEFPARAM CumulateOrders = False // --------------------------------------------------------------------- // Swing points long // --------------------------------------------------------------------- // --- calcola Lotti Once Lotti = 1 // --------------------------------------------------------------------- // Swing points long type 1 c1 = (close>close[1] and close[1]<close[2]) c2 = (close[2]>close[3] and close[3]<close[4]) c3 = (close>close[2] and close[1]>close[3])   EntryLongType1 = c1 AND c2 AND c3   // Swing points long type 2 c4=(close>close[1] and close[1]<close[2]) c5=(close[2]>close[3] and close[3]<close[4]) c6=(close>close[2] and close[1]<close[3])   EntryLongType2 = c4 AND c5 AND c6 // --------------------------------------------------------------------- // --- Strategia Long = EntryLongType1 OR EntryLongType2 // --------------------------------------------------------------------- // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND Long THEN BUY Lotti CONTRACTS AT MARKET NEXTBAROPEN ENDIF   // --------------------------------------------------------------------- // Stop e target: //trailing stop function trailingstart = 20 //trailing stop iniziale trailingstep = 5 //passo per spostare lo "stoploss"   //reset StopLoss IF NOT ONMARKET THEN newSL=0 ENDIF   //gestione posizione Long IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   IF newSL>0 THEN SELL AT newSL STOP ENDIF // ---------------------------------------------------------------------

   

  

  Conte Caimano

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  09/06/2016 at 1:25 PM #12717
  Nicolas

  Ciao Stefano,
  Grazie per il vostro contributo. Vedo che avete un grande prelievo sulla strategia, perché i vostri commerci non hanno alcuna stoploss (tra il 2002 e il 2004, 2009/2010). Forse si potrebbe fare un tentativo per rendere meno stressante? 🙂

  

  Nicolas

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  09/06/2016 at 3:21 PM #12719
  Conte Caimano

  Ciao Nicolas,

   

  in effetti mancava la gestione dello stop loss, quindi , ho rivisto il codice e ti inoltro quello nuovo.

  Che ne pensi ?

  DEFPARAM CumulateOrders = False // --------------------------------------------------------------------- // Swing points long // --------------------------------------------------------------------- // --- calcola Lotti Once Lotti = 1 // --------------------------------------------------------------------- // Swing points long type 1 c1 = (close>close[1] and close[1]<close[2]) c2 = (close[2]>close[3] and close[3]<close[4]) c3 = (close>close[2] and close[1]>close[3]) EntryLongType1 = c1 AND c2 AND c3 // Swing points long type 2 c4=(close>close[1] and close[1]<close[2]) c5=(close[2]>close[3] and close[3]<close[4]) c6=(close>close[2] and close[1]<close[3]) EntryLongType2 = c4 AND c5 AND c6 // --------------------------------------------------------------------- // --- Strategia Long = EntryLongType1 OR EntryLongType2 // --------------------------------------------------------------------- // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND Long THEN BUY Lotti CONTRACTS AT MARKET NEXTBAROPEN minimo = lowest[4](Low) StopLoss = (High - minimo) ENDIF // --------------------------------------------------------------------- // Stop e target: //trailing stop trailingstop = 20 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif SET STOP LOSS StopLoss //Graph StopLoss // ---------------------------------------------------------------------

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  DEFPARAM CumulateOrders = False // --------------------------------------------------------------------- // Swing points long // --------------------------------------------------------------------- // --- calcola Lotti Once Lotti = 1 // --------------------------------------------------------------------- // Swing points long type 1 c1 = (close>close[1] and close[1]<close[2]) c2 = (close[2]>close[3] and close[3]<close[4]) c3 = (close>close[2] and close[1]>close[3])   EntryLongType1 = c1 AND c2 AND c3   // Swing points long type 2 c4=(close>close[1] and close[1]<close[2]) c5=(close[2]>close[3] and close[3]<close[4]) c6=(close>close[2] and close[1]<close[3])   EntryLongType2 = c4 AND c5 AND c6 // --------------------------------------------------------------------- // --- Strategia Long = EntryLongType1 OR EntryLongType2 // --------------------------------------------------------------------- // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND Long THEN BUY Lotti CONTRACTS AT MARKET NEXTBAROPEN minimo = lowest[4](Low) StopLoss = (High - minimo) ENDIF   // --------------------------------------------------------------------- // Stop e target: //trailing stop trailingstop = 20   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif   SET STOP LOSS StopLoss   //Graph StopLoss   // ---------------------------------------------------------------------

   

  

  Conte Caimano

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  09/06/2016 at 3:31 PM #12722
  Nicolas

  Ben fatto, è molto meglio! Avete qualche mestiere che durano solo 1 bar?

  

  Nicolas

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  09/06/2016 at 3:48 PM #12726
  Conte Caimano

  scusa Nicolas ma non ho capito bene cosa intendi quando mi chiedi: “Avete qualche mestiere che durano solo 1 bar?”

  

  Conte Caimano

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  09/06/2016 at 4:17 PM #12731
  Nicolas

  trade che aprono e chiudono sullo stesso candelabro / bar?

  

  Nicolas

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  09/06/2016 at 9:36 PM #12747
  Conte Caimano

  se intendi trading system con time frame da 15 min. o 30 min. e simili … sto testandone alcuni.

  Li potrei postare dopo aver finito le prove così magari potresti consigliarmi alcuni miglioramenti.

  

  Conte Caimano

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  09/07/2016 at 8:00 AM #12758
  Nicolas

  Ho backtested la strategia e non vedo alcuna di entrata e uscita sullo stesso quotidiano candelabro / bar, ben fatto.
  Naturalmente 176 trade nel corso degli ultimi 18 anni non è tanto, ma le voci sono corrette e ben identificato. Questa strategia è una buona prova di concetto.

  

  Nicolas

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