Take Profit Intelligente

• 09/19/2023 at 4:03 PM #221280
  robertogozzi

  Dopo vari giorni sono riuscito a finirlo.

  E’ il mio codice postato sopra, trasformato in indicatore:

  ONCE myCapital = 10000 //Capitale iniziale ONCE Direzione = 0 ONCE NowLong = 0 //LongOnMarket ONCE NowShort = 0 //ShortOnMarket ONCE myProfit = 0 //StrategyProfit ONCE EntryPrice = 0 //TradePrice ONCE Wins = 0 //operazioni vincenti (o neutre) ONCE Losses = 0 //operazioni perdenti ONCE SL = 400 * PipSize ONCE TP = SL * 3 ONCE TrailStart = 40 //trailing will start @trailinstart points profit ONCE TrailStep = 70 //trailing step to move the "stoploss" ONCE tempGain = 0 myEquity = myCapital + myProfit //Equity NowOnMarket = NowLong OR NowShort //OnMarket TotalTrades = Wins + Losses Offset1 = average[20,0](range) * 1.2 Offset2 = Offset1 * 1.1 // //------------------------------------------------------------------------------------------------------------------- // // verifcare: // 1) se raggiunto TP o Trailing Stop (in tal caso aggiornare myProfit e segnalare l'operazione come chiusa) // 2) se raggiunto SL (in tal caso aggiornare myProfit e segnalare l'operazione come chiusa) // 3) profitto temporaneo (se ancora a mercato) // IF NowLong THEN //LONG tempGain = (close - EntryPrice) / PipSize * PipValue ELSIF NowShort THEN //SHORT tempGain = (EntryPrice - close) / PipSize * PipValue ENDIF IF NowLong THEN //LONG IF (close >= TPprice) OR (newSL <> 0 AND close >= newSL) OR (close <= SLprice) THEN //TP, Trailing Stop, o SL NowLong = 0 NowOnMarket = 0 myProfit = myProfit + tempGain myEquity = myCapital + myProfit IF tempGain >= 0 THEN Wins = Wins + 1 ELSE Losses = Losses + 1 ENDIF TotalTrades = Wins + Losses newSL = 0 trailingTEMP = TrailStep ENDIF ELSIF NowShort THEN //SHORT IF (close <= TPprice) OR (newSL <> 0 AND close <= newSL) OR (close >= SLprice) THEN //TP, Trailing Stop, o SL NowShort = 0 NowOnMarket = 0 myProfit = myProfit + tempGain myEquity = myCapital + myProfit IF tempGain >= 0 THEN Wins = Wins + 1 ELSE Losses = Losses + 1 ENDIF TotalTrades = Wins + Losses newSL = 0 trailingTEMP = TrailStep ENDIF ENDIF // //------------------------------------------------------------------------------------------------------------------- // // stampa dei simboli di chiusura operazione // IF TotalTrades <> TotalTrades[1] THEN IF tempGain >= 0 THEN DrawText("☺",BarIndex,high + Offset1,dialog,bold,16) coloured("Green") ELSE DrawText("☹",BarIndex,high + Offset1,dialog,bold,13) coloured("Red") ENDIF ENDIF // //------------------------------------------------------------------------------------------------------------------- // // calcolo del PIVOT // ONCE N = 5 PP = (DHigh(1) + DLow(1) + DClose(1))/3 //PP calculation // //------------------------------------------------------------------------------------------------------------------- // // verifica delle condizioni (PP funge sia da Resistenza che Supporto) // Res1 = summation[N](close <= PP) = N //il prezzo deve essere da N candele sotto il PIVOT Res2 = summation[N](high >= PP) //il massimo deve essere sopra il PIVOT Res = Res1 AND Res2 //trovata la resistenza // Sup1 = summation[N](close >= PP) = N //il prezzo deve essere da N candele sopra il PIVOT Sup2 = summation[N](low <= PP) //il minimo deve essere sotto il PIVOT Sup = Sup1 AND Sup2 //trovato il supporto // //------------------------------------------------------------------------------------------------------------------- // // apertura posizioni (se le condizioni sono verificate) // IF Sup AND Not NowOnMarket THEN //LONG // NowLong = 1 NowShort = 0 NowOnMarket = 1 EntryPrice = close SLprice = close - SL TPprice = close + TP trailingTEMP= TrailStep newSl = 0 Direzione = 1 DrawText("↑",BarIndex,low - Offset1,dialog,bold,28) coloured("DeepSkyBlue") // ELSIF Res AND Not NowOnMarket THEN //SHORT // NowShort = 1 NowLong = 0 NowOnMarket = 1 EntryPrice = close SLprice = close + SL TPprice = close - TP trailingTEMP= TrailStep newSl = 0 Direzione = -1 DrawText("↓",BarIndex,low - Offset1,dialog,bold,28) coloured("DarkGoldenRod") // ENDIF // //********************************************************************************* // https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/ // (lines 17- 56), modificato // //trailing stop function // IF NowOnMarket then Volatilita = close / close[3] // aggiornamento dello STEP secondo la volatilità delle ultime 4 candele // IF NowLong THEN IF Volatilita > 1.005 THEN trailingTEMP = trailingTEMP + 1 //oppure trailingTEMP = trailingTEMP * 1.1, o altro... ELSIF Volatilita < 0.995 THEN trailingTEMP = trailingTEMP - 1 //oppure trailingTEMP = trailingTEMP * 0.9, o altro... ENDIF trailingTEMP = max(0,trailingTEMP) // ELSIF NowShort THEN IF Volatilita < -0.995 THEN trailingTEMP = trailingTEMP + 1 //oppure trailingTEMP = trailingTEMP * 1.1, o altro... ELSIF Volatilita > 1.005 THEN trailingTEMP = trailingTEMP - 1 //oppure trailingTEMP = trailingTEMP * 0.9, o altro... ENDIF trailingTEMP = max(0,trailingTEMP) ENDIF //manage long positions IF NowLong THEN //first move (breakeven) IF newSL=0 AND close-EntryPrice>=TrailStart*pipsize THEN newSL = EntryPrice+trailStart*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingTEMP*pipsize THEN newSL = newSL+trailingTEMP*pipsize newSL = max(newSL,newSL[1]) ENDIF ENDIF //manage short positions IF NowShort THEN //first move (breakeven) IF newSL=0 AND EntryPrice-close>=TrailStart*pipsize THEN newSL = EntryPrice-trailStart*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingTEMP*pipsize THEN newSL = newSL-trailingTEMP*pipsize newSL = min(newSL,newSL[1]) ENDIF ENDIF ENDIF //********************************************************************************* // // sezione stampa REPORT // IF IsLastBarUpdate THEN IF Direzione[1] = 1 THEN drawtext ("LONG ", -150 ,-6) anchor(TopRight) coloured("Green") ELSIF Direzione[1] = -1 THEN drawtext ("SHORT", -150 ,-6) anchor(TopRight) coloured("Red") ENDIF pWins = round(Wins * 100 / TotalTrades,2) pLosses = 100.00 - pWins drawtext ("Prezzo Entrata #EntryPrice#" , -242 ,-6) anchor(TopRight) coloured("DimGrey") drawtext ("TP #TPprice#" , -242 ,-18) anchor(TopRight) coloured("DimGrey") drawtext ("SL #SLprice#" , -242 ,-30) anchor(TopRight) coloured("DimGrey") drawtext ("Trailing Stop #newSL#" , -241 ,-41) anchor(TopRight) coloured("DimGrey") drawtext ("Profitto temp. #tempGain#" , -241 ,-53) anchor(TopRight) coloured("DimGrey") drawtext ("Profitto Strategia #myEquity#" , -242 ,-63) anchor(TopRight) coloured("DimGrey") drawtext ("Operazioni #TotalTrades#" , -120 ,-18) anchor(TopRight) coloured("RosyBrown") drawtext (" Wins #Wins# (#pWins#)" , -105 ,-30) anchor(TopRight) coloured("RosyBrown") drawtext (" Losses #Losses# (#pLosses#)" , -107 ,-41) anchor(TopRight) coloured("RosyBrown") ENDIF // RETURN

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  ONCE myCapital  = 10000  //Capitale iniziale ONCE Direzione  = 0 ONCE NowLong    = 0      //LongOnMarket ONCE NowShort   = 0      //ShortOnMarket ONCE myProfit   = 0      //StrategyProfit ONCE EntryPrice = 0      //TradePrice ONCE Wins       = 0      //operazioni vincenti (o neutre) ONCE Losses     = 0      //operazioni perdenti ONCE SL         = 400 * PipSize ONCE TP         = SL * 3 ONCE TrailStart = 40     //trailing will start @trailinstart points profit ONCE TrailStep  = 70     //trailing step to move the "stoploss" ONCE tempGain   = 0 myEquity        = myCapital + myProfit    //Equity NowOnMarket     = NowLong OR NowShort     //OnMarket TotalTrades     = Wins + Losses Offset1         = average[20,0](range) * 1.2 Offset2         = Offset1 * 1.1 // //------------------------------------------------------------------------------------------------------------------- // // verifcare: //               1) se raggiunto TP o Trailing Stop (in tal caso aggiornare myProfit e segnalare l'operazione come chiusa) //               2) se raggiunto SL (in tal caso aggiornare myProfit e segnalare l'operazione come chiusa) //               3) profitto temporaneo (se ancora a mercato) // IF NowLong THEN     //LONG tempGain        = (close - EntryPrice) / PipSize * PipValue ELSIF NowShort THEN //SHORT tempGain        = (EntryPrice - close) / PipSize * PipValue ENDIF IF NowLong THEN     //LONG IF (close >= TPprice) OR (newSL <> 0 AND close >= newSL) OR (close <= SLprice) THEN  //TP, Trailing Stop, o SL NowLong      = 0 NowOnMarket  = 0 myProfit     = myProfit + tempGain myEquity     = myCapital + myProfit IF tempGain >= 0 THEN Wins   = Wins + 1 ELSE Losses = Losses + 1 ENDIF TotalTrades  = Wins + Losses newSL        = 0 trailingTEMP = TrailStep ENDIF ELSIF NowShort THEN //SHORT IF (close <= TPprice) OR (newSL <> 0 AND close <= newSL) OR (close >= SLprice) THEN  //TP, Trailing Stop, o SL NowShort     = 0 NowOnMarket  = 0 myProfit     = myProfit + tempGain myEquity     = myCapital + myProfit IF tempGain >= 0 THEN Wins   = Wins + 1 ELSE Losses = Losses + 1 ENDIF TotalTrades  = Wins + Losses newSL        = 0 trailingTEMP = TrailStep ENDIF ENDIF // //------------------------------------------------------------------------------------------------------------------- // // stampa dei simboli di chiusura operazione // IF TotalTrades <> TotalTrades[1] THEN IF tempGain >= 0 THEN DrawText("☺",BarIndex,high + Offset1,dialog,bold,16) coloured("Green") ELSE DrawText("☹",BarIndex,high + Offset1,dialog,bold,13) coloured("Red") ENDIF ENDIF // //------------------------------------------------------------------------------------------------------------------- // // calcolo del PIVOT // ONCE N = 5 PP     = (DHigh(1) + DLow(1) + DClose(1))/3    //PP calculation // //------------------------------------------------------------------------------------------------------------------- // // verifica delle condizioni  (PP funge sia da Resistenza che Supporto) // Res1   = summation[N](close <= PP) = N   //il prezzo deve essere da N candele sotto il PIVOT Res2   = summation[N](high >= PP)        //il massimo deve essere sopra il PIVOT Res    = Res1 AND Res2                   //trovata la resistenza // Sup1   = summation[N](close >= PP) = N   //il prezzo deve essere da N candele sopra il PIVOT Sup2   = summation[N](low <= PP)         //il minimo deve essere sotto il PIVOT Sup    = Sup1 AND Sup2                   //trovato il supporto // //------------------------------------------------------------------------------------------------------------------- // // apertura posizioni (se le condizioni sono verificate) // IF Sup AND Not NowOnMarket THEN  //LONG // NowLong     = 1 NowShort    = 0 NowOnMarket = 1 EntryPrice  = close SLprice     = close - SL TPprice     = close + TP trailingTEMP= TrailStep newSl       = 0 Direzione   = 1 DrawText("↑",BarIndex,low - Offset1,dialog,bold,28) coloured("DeepSkyBlue") // ELSIF Res AND Not NowOnMarket THEN   //SHORT // NowShort    = 1 NowLong     = 0 NowOnMarket = 1 EntryPrice  = close SLprice     = close + SL TPprice     = close - TP trailingTEMP= TrailStep newSl       = 0 Direzione   = -1 DrawText("↓",BarIndex,low - Offset1,dialog,bold,28) coloured("DarkGoldenRod") // ENDIF // //********************************************************************************* // https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/ // (lines 17- 56), modificato // //trailing stop function // IF NowOnMarket then Volatilita = close / close[3] // aggiornamento dello STEP secondo la volatilità delle ultime 4 candele // IF NowLong THEN IF Volatilita > 1.005 THEN trailingTEMP = trailingTEMP + 1 //oppure   trailingTEMP = trailingTEMP * 1.1, o altro... ELSIF Volatilita < 0.995 THEN trailingTEMP = trailingTEMP - 1 //oppure   trailingTEMP = trailingTEMP * 0.9, o altro... ENDIF trailingTEMP = max(0,trailingTEMP) // ELSIF NowShort THEN IF Volatilita < -0.995 THEN trailingTEMP = trailingTEMP + 1 //oppure   trailingTEMP = trailingTEMP * 1.1, o altro... ELSIF Volatilita > 1.005 THEN trailingTEMP = trailingTEMP - 1 //oppure   trailingTEMP = trailingTEMP * 0.9, o altro... ENDIF trailingTEMP = max(0,trailingTEMP) ENDIF //manage long positions IF NowLong THEN //first move (breakeven) IF newSL=0 AND close-EntryPrice>=TrailStart*pipsize THEN newSL = EntryPrice+trailStart*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingTEMP*pipsize THEN newSL = newSL+trailingTEMP*pipsize newSL = max(newSL,newSL[1]) ENDIF ENDIF //manage short positions IF NowShort THEN //first move (breakeven) IF newSL=0 AND EntryPrice-close>=TrailStart*pipsize THEN newSL = EntryPrice-trailStart*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingTEMP*pipsize THEN newSL = newSL-trailingTEMP*pipsize newSL = min(newSL,newSL[1]) ENDIF ENDIF ENDIF //********************************************************************************* // //                                    sezione stampa REPORT // IF IsLastBarUpdate THEN IF Direzione[1] = 1 THEN drawtext ("LONG ", -150 ,-6)                                             anchor(TopRight)  coloured("Green") ELSIF Direzione[1] = -1 THEN drawtext ("SHORT", -150 ,-6)                                             anchor(TopRight)  coloured("Red") ENDIF pWins   = round(Wins * 100 / TotalTrades,2) pLosses = 100.00 - pWins drawtext ("Prezzo Entrata    #EntryPrice#"                   , -242 ,-6)    anchor(TopRight)  coloured("DimGrey") drawtext ("TP                       #TPprice#"               , -242 ,-18)   anchor(TopRight)  coloured("DimGrey") drawtext ("SL                       #SLprice#"               , -242 ,-30)   anchor(TopRight)  coloured("DimGrey") drawtext ("Trailing Stop        #newSL#"                     , -241 ,-41)   anchor(TopRight)  coloured("DimGrey") drawtext ("Profitto temp.       #tempGain#"                  , -241 ,-53)   anchor(TopRight)  coloured("DimGrey") drawtext ("Profitto Strategia #myEquity#"                    , -242 ,-63)   anchor(TopRight)  coloured("DimGrey") drawtext ("Operazioni         #TotalTrades#"                 , -120 ,-18)   anchor(TopRight)  coloured("RosyBrown") drawtext ("     Wins                  #Wins#  (#pWins#)"     , -105 ,-30)   anchor(TopRight)  coloured("RosyBrown") drawtext ("     Losses               #Losses#  (#pLosses#)"  , -107 ,-41)   anchor(TopRight)  coloured("RosyBrown") ENDIF // RETURN

  Ho fatto un pò di prove sul DAX (Giornaliero, 4 ore, 1 ora e 5 minuti). Mi sembra funzioni tutto regolarmente. Le verifiche, sia dello SL, TP e Trailing Stop è fatto con CLOSE alla chiusura della candela, perché un indicatore non ha la possibilità di usare ordini pendenti.
  Si potrebbe, in uscita, fare un calcolo sul prezzo effettivo, ma era un pò più complicato e non avevo tempo per (cercare di) farlo.

  

  robertogozzi

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  09/20/2023 at 8:42 AM #221310
  Msport71

  Roberto,

  grazie e mille.

  Lo provo e ti dico mie impressioni.

   

  

  Msport71

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  09/21/2023 at 8:17 AM #221363
  Msport71

  Buongiorno,

  ho fatto qualche prova e lo trovo interessante,

  Se non ho capito male, la condizione long si basa sulla numero di chiusure sopra il pivot, settata in questo momento a 5.

  Per quanto riguarda:

  // calcolo del PIVOT

  //

  ONCE N = 5

  PP     = (DHigh(1) + DLow(1) + DClose(1))/3    //PP calculation

  vorrei modificare la modalità di calcolo da quella impostata a quella che prevede, nell’ultimo addendo al posto del Day  close , il Today open.

  E possibile?

  Grazie

  

  Msport71

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  09/21/2023 at 9:46 AM #221374
  robertogozzi

  Basta che indichi (0), al posto di (1) . Contrariamente alle variabili, dove si usano le parentesi quadre per riferirsi alle precedenti candele, con Dopen, Dhigh, Dlow e Dclose, vanno usate le parentesi tonde, 0 è oggi, 1 è ieri, ecc…

   

  

  robertogozzi

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  09/21/2023 at 11:50 AM #221383
  Msport71

  Perfetto, grazie

  

  Msport71

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