Système ne prenant pas la tendance baissière

Viewing 15 posts - 1 through 15 (of 20 total)

1 2 →

Author

Posts

06/24/2023 at 10:03 AM #216687 quote

finplus

Participant

Master

Bonjour,

j’ai un petit souci avec ce bout de programme. Il ne prend de “position short” lorsqu’en UT 4h la kama 150 & trendEnvelop4h = -1

Je n’arrive pas à voir où ça coince.

Si quelqu’un a une idée, merci d’avance.

/// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé

Timeframe (4 hours)

//////////////////////////////////////////////////////////////////// parameters KAMA

Period4h = 150
FastPeriod4h = 2
SlowPeriod4h = 30
 
Fastest4h = 2 / (FastPeriod4h + 1)
Slowest4h = 2 / (SlowPeriod4h + 1)
if barindex < Period4h+1 then
Kama4h=close
else
Num4h= abs(close-close[Period4h])
Den4h = summation[Period4h](abs(close-close[1]))
ER4h = Num4h / Den4h
Alpha4h = SQUARE(ER4h *(Fastest4h - Slowest4h)+ Slowest4h)
KAMA4h = (Alpha4h * Close) + ((1 -Alpha4h)* Kama4h[1])
endif

KAMAUp4h = (KAMA4h > KAMA4H[1])
KAMADN4h = (KAMA4h < KAMA4H[1])

/////////////////////////////// Trend Envelopppes (développé par Nicolas)
 
timePeriod4h=14
Deviation4h=0.1
 
price14h=customclose
 
dsma4h = WeightedAverage[timePeriod4h](price14h)
 
valuesHigh4h = (1 + deviation4h / 100) * dsma4h
valuesLow4h = (1 - deviation4h / 100) * dsma4h
 
inputs4h=price14h
 
if (inputs4h > valuesHigh4h)then
trendEnvelop4h = 1
elsif (inputs4h < valuesLow4h) then
trendEnvelop4h = -1
endif

TrendUp4h = kamaup4h and TrendEnvelop4h = 1
TrendDn4h = kamadn4h and TrendEnvelop4h = -1

Timeframe (15 minutes)

//////////////////////////////////////////////////////////////////// parameters KAMA

Period15min = 150
FastPeriod15min = 2
SlowPeriod15min = 30
 
Fastest15min = 2 / (FastPeriod15min + 1)
Slowest15min = 2 / (SlowPeriod15min + 1)
if barindex < Period15min+1 then
Kama15min=close
else
Num15min = abs(close-close[Period15min])
Den15min = summation[Period15min](abs(close-close[1]))
ER15min = Num15min / Den15min
Alpha15min = SQUARE(ER15min *(Fastest15min - Slowest15min)+ Slowest15min)
KAMA15min = (Alpha15min * Close) + ((1 -Alpha15min)* Kama15min[1])
endif

KAMAUp15min = (KAMA15min > KAMA15min[1])
KAMADN15min = (KAMA15min < KAMA15min[1])

/////////////////////////////// Trend Envelopppes
 
timePeriod15min=14
Deviation15min=0.1
 
price115min=customclose
 
dsma15min = WeightedAverage[timePeriod15min](price115min)
 
valuesHigh15min = (1 + deviation15min / 100) * dsma15min
valuesLow15min = (1 - deviation15min / 100) * dsma15min
 
inputs15min=price115min
 
if (inputs15min > valuesHigh15min)then
trendEnvelop15min = 1
elsif (inputs15min < valuesLow15min) then
trendEnvelop15min = -1
endif

// Keltner Channel
 
periodMA15min=20

MA15min = ExponentialAverage[periodMA15min](close)

//============================== Indicateur Heikin Ashi IV  avec le vrai close
 
//Hienkin IV
if barindex>1 then
haclosex15min=(open+close+low+high)/4
endif

KeltnerUp15min = haclosex15min > MA15min
KeltnerDn15min = haclosex15min < MA15min

TrendSignalUp15min = KAMAUp15min and KeltnerUp15min and trendEnvelop15min = 1
TrendSignalDn15min = KAMADn15min and KeltnerDn15min and trendEnvelop15min = -1

if TrendUp4h and TrendSignalUp15min then
buy 1 contract at market
endif

if TrendDn4h and TrendSignalDn15min then
sellshort 1 contract at market
endif


//trailing stop function
trailingstart = 5 //trailing will start @trailinstart points profit
trailingstep = 5 //trailing step to move the "stoploss"

//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
 
//manage long positions
IF LONGONMARKET THEN
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
 
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF


 
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF

Meta Signals Pro thanked this post

06/24/2023 at 10:15 AM #216688 quote

bertrandpinoy

Participant

Veteran

Bonjour,

Le problème que vous rencontrez dans votre code réside dans la condition TrendDn4h and TrendSignalDn15min pour l’ouverture d’une position short. Dans cette condition, vous avez utilisé TrendSignalDn15min qui est basé sur KAMADn15min, alors que dans votre code, vous utilisez KAMADN15min (avec des majuscules).

Il suffit de modifier la condition comme suit je crois :

if TrendDn4h and KAMADN15min then

    sellshort 1 contract at market

endif

finplus thanked this post

06/24/2023 at 10:22 AM #216689 quote

finplus

Participant

Master

Bonjour,

merci pour votre aide mais le problème persiste.

06/24/2023 at 10:53 AM #216690 quote

bertrandpinoy

Participant

Veteran

Après avoir examiné à nouveau votre code, j’ai identifié un autre problème potentiel. Vous utilisez TrendDn4h pour vérifier la tendance baissière dans la condition if TrendDn4h and KAMADN15min then, mais TrendDn4h est basé sur kamadn4h (avec des minuscules), alors que vous utilisez KAMADN15min (avec des majuscules).

Veuillez modifier la condition comme suit :

if kamadn4h and KAMADN15min then

    sellshort 1 contract at market

endif

Avec cette modification, le code devrait prendre une position short lorsque kamadn4h est vrai et que la condition KAMADN15min est également vraie.

06/24/2023 at 12:29 PM #216697 quote

finplus

Participant

Master

Rebonjour,

non cela ne fonctionne toujours pas. Je ne crois pas que les lignes de programme soient sensibles au minuscule et au majuscule. Je pense qu’il y a une erreur évidente mais que je ne vois pas (d’autant plus que ces quelques lignes de code sont hyper simples).

06/24/2023 at 1:47 PM #216698 quote

bertrandpinoy

Participant

Veteran

j ai fait un BT sur dax 15 min, j ai des positions short. (dans l’état de votre code est publié ici).

06/24/2023 at 1:56 PM #216699 quote

finplus

Participant

Master

Rien chez moi. Que des longs. Je ne comprends rien. Quelque chose m’échappe.

06/24/2023 at 3:28 PM #216700 quote

fifi743

Participant

Master

en prenant le 1 code sans rien faire j’ai des positions long et courte en DJI M5

06/24/2023 at 4:57 PM #216701 quote

finplus

Participant

Master

ok merci. Je ne comprends pas alors ce qui se passe chez moi.

06/24/2023 at 5:12 PM #216702 quote

fifi743

Participant

Master

c’est quoi comme indice ou forex

06/25/2023 at 6:53 PM #216736 quote

finplus

Participant

Master

// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé

//PRC_BuySell MagicBuySell Magic | indicator
//17.04.23
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//
// Starting from: https://www.prorealcode.com/prorealtime-indicators/buysell-magical-trend/
// Screener at user request 05.05.23 JC_Bywan https://www.prorealcode.com/topic/screener-buy-sell-magic-indicator/

//PRC_BuySell MagicBuySell Magic | indicator
//17.04.23
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//
// Starting from: https://www.prorealcode.com/prorealtime-indicators/buysell-magical-trend/
// Screener at user request 05.05.23 JC_Bywan https://www.prorealcode.com/topic/screener-buy-sell-magic-indicator/

Timeframe (4 hours)

//////////////////////////////////////////////////////////////////// parameters KAMA

Period4h = 150
FastPeriod4h = 2
SlowPeriod4h = 30
 
Fastest4h = 2 / (FastPeriod4h + 1)
Slowest4h = 2 / (SlowPeriod4h + 1)
if barindex < Period4h+1 then
Kama4h=close
else
Num4h = abs(close-close[Period4h])
Den4h = summation[Period4h](abs(close-close[1]))
ER4h = Num4h / Den4h
Alpha4h = SQUARE(ER4h *(Fastest4h - Slowest4h )+ Slowest4h)
KAMA4h = (Alpha4h * Close) + ((1 -Alpha4h)* Kama4h[1])
endif

KAMAUp4h = (KAMA4h > KAMA4H[1])
KAMADN4h = (KAMA4h < KAMA4H[1])

/////////////////////////////// Trend Envelopppes (développé par Nicolas)
 
timePeriod4h=14
Deviation4h=0.1
 
price14h=customclose
 
dsma4h = WeightedAverage[timePeriod4h](price14h)
 
valuesHigh4h = (1 + deviation4h / 100) * dsma4h
valuesLow4h = (1 - deviation4h / 100) * dsma4h
 
inputs4h=price14h
 
if (inputs4h > valuesHigh4h)then
trendEnvelop4h = 1
elsif (inputs4h < valuesLow4h) then
trendEnvelop4h = -1
endif


// Keltner Channel
 
periodMA4h=20

MA4h = ExponentialAverage[periodMA4h](close)

//============================== Indicateur Heikin Ashi IV  avec le vrai close
 
//Hienkin IV
if barindex>1 then
haclosex4h=(open+close+low+high)/4
endif

KeltnerUp4h = haclosex4h > MA4h
KeltnerDn4h = haclosex4h < MA4h


//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//
// Starting from library: https://www.prorealcode.com/prorealtime-indicators/buysell-magical-trend/
// Screener at user request 05.05.23 JC_Bywan @ www.prorealcode.com
// https://www.prorealcode.com/topic/screener-buy-sell-magic-indicator/
 
// --- settings
SignalPeriod4h = 12
ArrowPeriod4h = 2
// --- end of settings
 
bbup4h = average[signalperiod4h]+std[signalperiod4h]*arrowperiod4h
bbdn4h = average[signalperiod4h]-std[signalperiod4h]*arrowperiod4h
 
if ts4h=0 then
if close crosses over bbup4h then
ts4h=bbdn4h
trendSignal4h=1
elsif close crosses under bbdn4h then
ts4h=bbup4h
trendSignal4h=-1
endif
endif
 
if trendSignal4h=1 then
ts4h=max(ts4h,bbdn4h)
elsif trendSignal4h=-1 then
ts4h=min(ts4h,bbup4h)
endif
 
if trendSignal4h=1 and close crosses under ts4h then
trendSignal4h=-1
ts4h=bbup4h
//r=255
//g=0
//drawarrowdown(barindex,ts) coloured("red")
//drawsegment(startbar,startts,barindex,ts) style(dottedline2) coloured("blue")
//startbar=barindex
//startts=ts
endif
 
if trendSignal4h=-1 and close crosses over ts4h then
trendSignal4h=1
ts4h=bbdn4h
//r=0
//g=255
//drawarrowup(barindex,ts) coloured("lime")
//drawsegment(startbar,startts,barindex,ts) style(dottedline2) coloured("blue")
//startbar=barindex
//startts=ts
endif
 
cup4h= trendSignal4h[1]=-1 and trendSignal4h=1
cdown4h= trendSignal4h[1]=1 and trendSignal4h=-1


TrendMagicalUp4h = cup4h or cup4h[1] or cup4h[2]
TrendMagicalDn4h = cdown4h or cdown4h[1] or cdown4h[2]



/////////////////////////////////////////////////// Trend4h paramètres

TrendSignalUp4h = KAMAUp4h and KeltnerUp4h and trendEnvelop4h = 1
TrendSignalDn4h = KAMADn4h and KeltnerDn4h and trendEnvelop4h = -1



Timeframe (1 hour)

//////////////////////////////////////////////////////////////////// parameters KAMA

Period1h = 150
FastPeriod1h = 2
SlowPeriod1h = 30
 
Fastest1h = 2 / (FastPeriod1h + 1)
Slowest1h = 2 / (SlowPeriod1h + 1)
if barindex < Period1h+1 then
Kama1h=close
else
Num1h = abs(close-close[Period1h])
Den1h = summation[Period1h](abs(close-close[1]))
ER1h = Num1h / Den1h
Alpha1h = SQUARE(ER1h *(Fastest1h - Slowest1h )+ Slowest1h)
KAMA1h = (Alpha1h * Close) + ((1 -Alpha1h)* Kama1h[1])
endif

KAMAUp1h = (KAMA1h > KAMA1H[1])
KAMADN1h = (KAMA1h < KAMA1H[1])

/////////////////////////////// Trend Envelopppes (développé par Nicolas)
 
timePeriod1h=14
Deviation1h=0.1
 
price11h=customclose
 
dsma1h = WeightedAverage[timePeriod1h](price11h)
 
valuesHigh1h = (1 + deviation1h / 100) * dsma1h
valuesLow1h = (1 - deviation1h / 100) * dsma1h
 
inputs1h=price11h
 
if (inputs1h > valuesHigh1h)then
trendEnvelop1h = 1
elsif (inputs1h < valuesLow1h) then
trendEnvelop1h = -1
endif


// Keltner Channel
 
periodMA1h=20

MA1h = ExponentialAverage[periodMA1h](close)

//============================== Indicateur Heikin Ashi IV  avec le vrai close
 
//Hienkin IV
if barindex>1 then
haclosex1h=(open+close+low+high)/4
endif

KeltnerUp1h = haclosex1h > MA1h
KeltnerDn1h = haclosex1h < MA1h

//17.04.23
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//
// Starting from library: https://www.prorealcode.com/prorealtime-indicators/buysell-magical-trend/
// Screener at user request 05.05.23 JC_Bywan @ www.prorealcode.com
// https://www.prorealcode.com/topic/screener-buy-sell-magic-indicator/
 
// --- settings
SignalPeriod1h = 12
ArrowPeriod1h = 2
// --- end of settings
 
bbup1h = average[signalperiod1h]+std[signalperiod1h]*arrowperiod1h
bbdn1h = average[signalperiod1h]-std[signalperiod1h]*arrowperiod1h
 
if ts1h=0 then
if close crosses over bbup1h then
ts1h=bbdn1h
trendSignal1h=1
elsif close crosses under bbdn1h then
ts1h=bbup1h
trendSignal1h=-1
endif
endif
 
if trendSignal1h=1 then
ts1h=max(ts1h,bbdn1h)
elsif trendSignal1h=-1 then
ts1h=min(ts1h,bbup1h)
endif
 
if trendSignal1h=1 and close crosses under ts1h then
trendSignal1h=-1
ts1h=bbup1h
//r=255
//g=0
//drawarrowdown(barindex,ts) coloured("red")
//drawsegment(startbar,startts,barindex,ts) style(dottedline2) coloured("blue")
//startbar=barindex
//startts=ts
endif
 
if trendSignal1h=-1 and close crosses over ts1h then
trendSignal1h=1
ts1h=bbdn1h
//r=0
//g=255
//drawarrowup(barindex,ts) coloured("lime")
//drawsegment(startbar,startts,barindex,ts) style(dottedline2) coloured("blue")
//startbar=barindex
//startts=ts
endif
 
cup1h= trendSignal1h[1]=-1 and trendSignal1h=1
cdown1h= trendSignal1h[1]=1 and trendSignal1h=-1


TrendMagicalUp1h = cup1h or cup1h[1] or cup1h[2]
TrendMagicalDn1h = cdown1h or cdown1h[1] or cdown1h[2]



/////////////////////////////////////////////////// Trend1h paramètres

TrendSignalUp1h = KAMAUp1h and KeltnerUp1h and trendEnvelop1h = 1
TrendSignalDn1h = KAMADn1h and KeltnerDn1h and trendEnvelop1h = -1




BuySignal1h = TrendMagicalUp1h and trendSignalUp1h and trendSignalUp4h
SellSignal1h = TrendMagicalDn1h and trendSignalDn1H and trendSignalDn4h

BuySignal4h = TrendMagicalUp4h and trendSignalUp1h and trendSignalUp4h
SellSignal4h = TrendMagicalDn4h and trendSignalDn1H and trendSignalDn4h



if BuySignal1h then
buy 1 contract at market
endif

if SellSignal1h then
sellshort 1 contract at market
endif

//trailing stop function
trailingstart = 5 //trailing will start @trailinstart points profit
trailingstep = 5 //trailing step to move the "stoploss"

//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
 
//manage long positions
IF LONGONMARKET THEN
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
 
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF


 
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF

Je reviens avec mon programme : je joints donc le code en 4h et 1h et une pièce jointe pour montrer que le système prend bien une position vendeuse le 20 juin à 14 heures (je suis sur XAU / USD). Par contre, dans le code quand je change timeframe (1 hour) par timeframe (15 minutes) et que je lance bien mon back testing avec les UT 4h et 15 min et bien aucune position short n’est prise. Je ne comprends pas pourquoi.