Tabula rasa with MTF

• 05/21/2020 at 2:02 PM #132589
  Philstrading

  Hi Everyone, well I think this should open an order and close it, I’m looking at how to implement MTFs in proorder…

  The program has a different idea and its numbing my ability to look at it..

  What’s the error here with the MTF referencing?

  Simple code to check the 2 second timeframe (for now) to close a 15 minute candle bought if price goes higher than the open of the prior candle in 15 mins.. Its probably staring me in the face, maybe  need to wait a few days and return –

  Whatever i do I get no trades… I think it should show something based on the criteria which is shown on the chart at 15 mins… Its running off the 2 second chart…  Whats the issue? Anyone?

  Simplified code for MTF query

  Timeframe (15 minutes, updateonclose) indicator1 = ExponentialAverage[8](close)[1] indicator2 = ExponentialAverage[20](close)[1] c1 = (indicator1 > indicator2)//bullish MAs c5 = open [1]< close[1]// bullish candle Mybreakhigh=(close)[1] Mybreaklow=(Low)[1] Mytakeprofit= (Close)[0] //And absolute sell on close of candle //referencing 2 second candles for execution timeframe (2 seconds,updateonclose)//to check price every 2 seconds and execute tobuyindicator=close[1] > Mybreakhigh If tobuyindicator AND c1 AND c5 then buy 15 PERPOINT AT MARKET Endif //stopout or close If Mytakeprofit or Mybreaklow then SELL AT MARKET ENDIF

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  Timeframe (15 minutes, updateonclose) indicator1 = ExponentialAverage[8](close)[1] indicator2 = ExponentialAverage[20](close)[1] c1 = (indicator1 > indicator2)//bullish MAs c5 = open [1]< close[1]// bullish candle Mybreakhigh=(close)[1] Mybreaklow=(Low)[1] Mytakeprofit= (Close)[0] //And absolute sell on close of candle //referencing 2 second candles for execution timeframe (2 seconds,updateonclose)//to check price every 2 seconds and execute tobuyindicator=close[1] > Mybreakhigh If tobuyindicator AND c1 AND c5 then buy 15 PERPOINT AT MARKET Endif //stopout or close If Mytakeprofit or Mybreaklow then SELL AT MARKET ENDIF

   

  

  Philstrading

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  05/21/2020 at 2:51 PM #132608
  robertogozzi

  Add these lines at the end of your code so that you can monitor them candle by candle in the variable window that opens above the price when the backtest ends:

  Graph Mybreakhigh Graph Mybreaklow Graph Mytakeprofit Graph tobuyindicator Graph c1 Graph c5

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  Graph Mybreakhigh Graph Mybreaklow Graph Mytakeprofit Graph tobuyindicator Graph c1 Graph c5

   

  

  robertogozzi

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  05/21/2020 at 2:54 PM #132610
  Philstrading

  Cheers Rob, I’ll give that a go..

  

  Philstrading

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  05/21/2020 at 5:29 PM #132650
  Philstrading

  Interesting excercise Rob, cheers. I’ll analyse that and try to work out what its doing against what I think it should be doing.. 🙂 Had to split the graphing into two codes and colour to read properly…

   

  

  Philstrading

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  05/21/2020 at 5:53 PM #132664
  robertogozzi

  Actually the first three can also be written as:

  GraphOnPrice Mybreakhigh coloured(r1,g1,b1,255) AS "mbHI" GraphOnPrice Mybreaklow coloured(r2,g2,b2,255) AS "mbLO" GraphOnPrice Mytakeprofit coloured(r3,g3,b3,255) AS "mTP"

  1 2 3

  GraphOnPrice Mybreakhigh  coloured(r1,g1,b1,255) AS "mbHI" GraphOnPrice Mybreaklow   coloured(r2,g2,b2,255) AS "mbLO" GraphOnPrice Mytakeprofit coloured(r3,g3,b3,255) AS "mTP"

  to be plotted ON the price chart, rather than in a separate window ABOVE the chart.

   

   

  

  robertogozzi

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  05/21/2020 at 6:22 PM #132673
  Philstrading

  Useful overlay

  Cheers I’ll look at it to analyse

  

  Philstrading

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  05/25/2020 at 10:47 AM #133146
  Philstrading

  I must just say again that Graph and GraphonPrice I’m fnding invaluable… you should use it in your video course in relation to an analysis section:

  I’ve got what I thought was a trail, but from what I can see when graphing it and graphing over price is that it’s not actually a trailing stop, but a stop reduction after a certain bar count if the loop matches the prior highest high or prior lowest low, but I’m not 100% sure yet but all I’m seeing is a varying loop sequence and then it breaks I think once the values match and it reduces the Stopploss to the value I’ve set which is the loop break price pluse a clearance value, not as a trail but it seems to be in reference to the opening price as it resets the stoploss value instead of using it as a trail,  So the logic I think is “once the loop is seing a match to the HH or LL then reset the stoploss value to th eloop break value and my clearance… I’ve got some more finer analysing to do.

  An interesting concept for programming reducing stoplosses if thats what its doing ?!?!? LOL , but I’ve also been able to use the graph and graphonprice to  develop an actual trailing value, which I now need to set as a trailing stop of course… – Getting there… I may find that this initial fluff could prove to be better, but we’ll see… 😀 –

  Really useful stuff, I’ve yet to go back to my scalping strategy, … 🙂

  

  Philstrading

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  05/25/2020 at 11:15 AM #133158
  robertogozzi

  A TRUE trailing stop is a bit different, it could be programmed, but most people like it this way.

  I once modified Nicolas’code to program that way:

  //************************************************************************ // trailing stop function // mainSL = 100 * pipsize //100 initial SL trailingstart = 20 * pipsize //20 trailing will start @trailinstart points profit trailingstep = 5 * pipsize //5 trailing step to move the "stoploss" // //reset the stoploss value IF NOT ONMARKET THEN newSL = 0 InitialSL = 0 ENDIF //manage long positions IF LONGONMARKET THEN IF InitialSL = 0 THEN InitialSL = tradeprice(1) - mainSL ENDIF //first move (breakeven) Difference = close - tradeprice(1) IF newSL = 0 AND Difference >= trailingstart THEN //newSL = tradeprice(1) + trailingstep Steps = max(1,round((Difference / trailingstep) - 0.5)) newSL = InitialSL + (trailingstep * Steps) ENDIF //next moves Difference = close-newSL IF newSL > 0 AND Difference >= trailingstep THEN Steps = max(1,round((Difference / trailingstep) - 0.5)) newSL = newSL + (trailingstep * Steps) ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN IF InitialSL = 0 THEN InitialSL = tradeprice(1) + mainSL ENDIF //first move (breakeven) Difference = tradeprice(1) - close IF newSL = 0 AND Difference >= trailingstart THEN //newSL = tradeprice(1) - trailingstep Steps = max(1,round((Difference / trailingstep) - 0.5)) newSL = InitialSL - (trailingstep * Steps) ENDIF //next moves Difference = newSL - close IF newSL > 0 AND Difference >= trailingstep THEN Steps = max(1,round((Difference / trailingstep) - 0.5)) newSL = newSL - (trailingstep * Steps) ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

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  //************************************************************************ // trailing stop function // mainSL        = 100 * pipsize    //100  initial SL trailingstart = 20  * pipsize    //20   trailing will start @trailinstart points profit trailingstep  = 5   * pipsize    //5    trailing step to move the "stoploss" // //reset the stoploss value IF NOT ONMARKET THEN    newSL     = 0    InitialSL = 0 ENDIF //manage long positions IF LONGONMARKET THEN    IF InitialSL = 0 THEN       InitialSL = tradeprice(1) - mainSL    ENDIF    //first move (breakeven)    Difference = close - tradeprice(1)    IF newSL = 0 AND Difference >= trailingstart THEN       //newSL = tradeprice(1) + trailingstep   Steps   = max(1,round((Difference / trailingstep) - 0.5))   newSL   = InitialSL + (trailingstep * Steps)    ENDIF    //next moves    Difference = close-newSL    IF newSL > 0 AND Difference >= trailingstep THEN       Steps   = max(1,round((Difference / trailingstep) - 0.5))       newSL   = newSL + (trailingstep * Steps)    ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN    IF InitialSL = 0 THEN       InitialSL = tradeprice(1) + mainSL    ENDIF    //first move (breakeven)    Difference = tradeprice(1) - close    IF newSL = 0 AND Difference >= trailingstart THEN       //newSL = tradeprice(1) - trailingstep   Steps   = max(1,round((Difference / trailingstep) - 0.5))   newSL   = InitialSL - (trailingstep * Steps)    ENDIF    //next moves    Difference = newSL - close    IF newSL > 0 AND Difference >= trailingstep THEN       Steps   = max(1,round((Difference / trailingstep) - 0.5))       newSL   = newSL - (trailingstep * Steps)    ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN    SELL      AT newSL STOP    EXITSHORT AT newSL STOP ENDIF //************************************************************************

  but I remember backtesting it but never used it.

  You can use it and test if it’s doing right. You just need to append it to your existng code and set the 3 initial values.

   

   

  

  robertogozzi

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  05/25/2020 at 2:32 PM #133179
  Philstrading

  Cheers Robert

  I’ll look at the logic of that trailing stop code, very usful. I’ve graphed a trailing stop that does what I expect it to do with a slightly smaller code, just need to apply it to a trailing stop value, I’ve yet to test out.

  I’ll certainly look at that code, it’s using trailing values at first glance (not good risk management in my view as a trader) whereas I’m using technical highs and lows to trail… but some of the coding rationale/logic used in the code above is useful

  thanks again…

  I’ve had a few anomalies since coding, but in 2 weeks of commencement  (I’m that new to coding my strategies) and doing the video course (the quiz doesnt work for some reason) managed to get 3 programs that seem to work well backtesting + The DAX KAMA program I tried and will trawl that code, but its giving me some anomalies when running it with different values for pip values when live, I’m now testing different combinations on a demo to see if its something simple, but it will be a while till I trawl the code as I’m helping my son with dissertation this week. When putting in £4 it runs, when putitng in £1 it doesnt. hmmm… I have it running on my live system at £4 and its working well, though trades outside of the time restrictions, I’m wondering whether its something related to that and perhaps the other codes are working properly as the time of the trades have been 0400hrs and yesterday eveneing, working well though, maybe I changed something wihtout realising.. (thats not a question by the way just a reflection on some current anomalies)

  My change stoploss once a HH or LL is encountered seems to work on the pair its used on for the timeframes used, (its an mtf coding) as in pics attached but I’m yet to trawl it and double check that is what its actually doing, cos its not a trail, but a changed stoploss I think. Need to look at specific trade scenarios where its altered things and visualise what is going on..

  Thanks again fo rthe support, copied that code to reference later – much appreciated again..

   

  

  Philstrading

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  05/25/2020 at 6:24 PM #133217
  robertogozzi

  Do not pay attention to comments in my code, I left the original lines written by Nicolas, but I changed the code. There’s no BreakEven in my code (using Graph and GraphOnPrice you can easily spot this).

  

  robertogozzi

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  05/25/2020 at 7:11 PM #133222
  Philstrading

  Cheers 😀

  

  Philstrading

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