Trading system 1.1 point & figure

Piano piano si possono fare, in parte.

Renko è possibile, ma i mattoncini non sono quelli di ProrealTime, in quanto per le strategie si possono usare solo TF a tempo; qjuindi vanno adattati al tempo e non sono sempre identici, perchè tra una candela e l’altra non ci possono essere gli stessi Pips. Se vuoi avere un’dea di come sono costruiti e di strategie basta che cerchi RENKO sul forum utilizzando l’apposita casella di ricerca che si apre quando passi sopra il tuo avatar sulla barra blù in alto a destra. Inoltre, siccome ogni volta partono da barre iniziali diverse, i risultati dei backtest non sranno mai uguali.

Point & Figure non credo si possano simulare, non l’ho mai fatto.

Nei prossimi giorni ti farò sapere.

FRATTALI
————

L’ho provato sul DAX (Daily, 1h, 30min TF’s); per il trailing stop ho usato il codice di Nicolas:

// Frattali
//
// https://www.prorealcode.com/topic/trading-system-1-1/
//
// basato sull'ndicatore:
//
//     https://www.prorealcode.com/prorealtime-indicators/bill-williams-fractals/)
//
DEFPARAM CumulateOrders = False
//
cp = 2           //2  (default)
LH = 0
LL = 0
if high[cp] >= highest[2*cp+1](high) then
LH = 1
endif
if low[cp] <= lowest[2*cp+1](low)  then
LL= -1
endif
//
IF LL < 0 AND Not LongOnMarket THEN
BUY 1 CONTRACT AT MARKET
ELSIF LH > 0 AND Not ShortOnMarket THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF
//*********************************************************************************
// https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/
// (righe 17- 56), with the addition of DISTANCE
//
//trailing stop function
trailingstart = 25  //20  trailing will start @trailinstart points profit
trailingstep  = 25  //25  trailing step to move the "stoploss"
distance      = 10  //10  pips distance from caurrent price (if required by the broker)
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
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
IF LongOnMarket THEN
IF (close + distance) > newSL THEN
SELL AT newSL STOP
ELSIF (close - distance) < newSL THEN
SELL AT newSL LIMIT
ELSE
SELL AT Market
ENDIF
ELSIF ShortOnmarket THEN
IF (close + distance) < newSL THEN
EXITSHORT AT newSL STOP
ELSIF (close - distance) > newSL THEN
EXITSHORT AT newSL LIMIT
ELSE
EXITSHORT AT Market
ENDIF
ENDIF
ENDIF
//*********************************************************************************

RENKO
———

Provato sul DAX, 5 minuti:

// Renko
//
// https://www.prorealcode.com/topic/initialising-renko-charts/#post-131050
//

once boxsize  = 50 * pointsize                      //50
once renkoMax = ROUND(close / boxSize) * boxSize
once renkoMin = renkoMax - boxSize
IF close crosses over renkoMax + boxSize THEN
WHILE close > renkoMax + boxSize
renkoMax = renkoMax + boxSize
renkoMin = renkoMin + boxSize
Bullish = 1
Bearish = 0
WEND
ELSIF close crosses under renkoMin - boxSize THEN
WHILE close < renkoMin - boxSize
renkoMax = renkoMax - boxSize
renkoMin = renkoMin - boxSize
Bullish = 0
Bearish = 1
WEND
ENDIF
IF Bullish AND Not LongOnMarket THEN
BUY 1 CONTRACT AT MARKET
ENDIF
IF Bearish AND Not ShortOnMarket THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF
//*********************************************************************************
// Nicolas'code  (with the addition of DISTANCE)
//
// https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/
// (righe 17- 56)
//
//trailing stop function
IF (BarIndex - TradeIndex) >= 0 THEN                                 //0
trailingstart = 25  //25  trailing will start @trailinstart points profit
trailingstep  = 25  //10  trailing step to move the "stoploss"
distance      = 10  //10  pips distance from caurrent price (if required by the broker)
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF

//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
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
IF LongOnMarket THEN
IF (close + distance) > newSL THEN
SELL AT newSL STOP
ELSIF (close - distance) < newSL THEN
SELL AT newSL LIMIT
ELSE
SELL AT Market
ENDIF
ELSIF ShortOnmarket THEN
IF (close + distance) < newSL THEN
EXITSHORT AT newSL STOP
ELSIF (close - distance) > newSL THEN
EXITSHORT AT newSL LIMIT
ELSE
EXITSHORT AT Market
ENDIF
ENDIF
ENDIF
ENDIF
//*********************************************************************************

Ecco il terzo (l’ho provato sul DAX, Giornaliero):

// HA & AO
//
// https://www.prorealcode.com/topic/initialising-renko-charts/#post-131050
//
// definizione Heikin-Ashi
ONCE xOpen  = open
xClose      = (Open + High + Low + Close) / 4
IF BarIndex > 0 THEN
xOpen    = (xOpen[1] + xClose[1]) / 2
ENDIF
Bullish     = xClose > xOpen //HA rialzista
Bearish     = xClose < xOpen //HA ribassista
// definizione dell'Awesome Oscillator
ONCE FastMM = 5              //5   Fast Average
ONCE SlowMM = 34             //34  Slow Average
//AO        = Average[FastMM,0](xClose) - Average[SlowMM,0](xClose) //AO con Heikin-Ashi
AO          = Average[FastMM,0](close) - Average[SlowMM,0](close)   //AO normale
BullAO      = AO > AO[1]     //AO rialzista
BearAO      = AO < AO[1]     //AO ribassista
// entrtata LONG
IF Bullish AND BullAO AND Not LongOnMarket THEN
BUY 1 CONTRACT AT MARKET
ENDIF
// entrata SHORT
IF Bearish AND BearAO AND Not ShortOnMarket THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF
//*********************************************************************************
// Nicolas'code  (with the addition of DISTANCE)
//
// https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/
// (righe 17- 56)
//
//trailing stop function
IF (BarIndex - TradeIndex) >= 0 THEN                                 //0
trailingstart = 25  //25  trailing will start @trailinstart points profit
trailingstep  = 25  //10  trailing step to move the "stoploss"
distance      = 10  //10  pips distance from caurrent price (if required by the broker)
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
 
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
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
IF LongOnMarket THEN
IF (close + distance) > newSL THEN
SELL AT newSL STOP
ELSIF (close - distance) < newSL THEN
SELL AT newSL LIMIT
ELSE
SELL AT Market
ENDIF
ELSIF ShortOnmarket THEN
IF (close + distance) < newSL THEN
EXITSHORT AT newSL STOP
ELSIF (close - distance) > newSL THEN
EXITSHORT AT newSL LIMIT
ELSE
EXITSHORT AT Market
ENDIF
ENDIF
ENDIF
ENDIF
//*********************************************************************************

Ecco il quinto ed ultimo codice (è la strategia scritta da verdi55 https://www.prorealcode.com/prorealtime-trading-strategies/point-figure-charts-automated-trading-system/, con qualche piccola modifica e l’aggiunta del trailing stop di Ncolas):

//https://www.prorealcode.com/prorealtime-trading-strategies/point-figure-charts-automated-trading-system/
//
defparam cumulateorders = false
//
ONCE n         = 1                 //Number of lots
ONCE uptrend   = 1
ONCE downtrend = 1
ONCE Boxsize   = 20                //Box size
//
turnafternn = 4
LowerBorderBox = round((close / Boxsize) - 0.5) * Boxsize
ONCE DowntrendLow = LowerBorderBox
ONCE UptrendHigh = LowerBorderBox

If LowerBorderBox > LowerBorderBox[1] then
If uptrend = 1 then
downtrend = 0
ONCE DowntrendLow = LowerBorderBox
If LowerBorderBox > UptrendHigh then
UptrendHigh = LowerBorderBox
endif
endif
If downtrend = 1 and LowerBorderBox >= DowntrendLow + (turnafternn * Boxsize) then
UptrendHigh = LowerBorderBox
uptrend = 1
downtrend = 0
endif
elsif LowerBorderBox < LowerBorderBox[1] then
If downtrend = 1 then
uptrend = 0
ONCE UptrendHigh = LowerBorderBox
If LowerBorderBox < DowntrendLow then
DowntrendLow = LowerBorderBox
endif
endif
If uptrend = 1 and LowerBorderBox <= UptrendHigh - (turnafternn * Boxsize) then
DowntrendLow = LowerBorderBox
uptrend = 0
downtrend = 1
endif
endif
If uptrend = 1 and uptrend[1] = 0 AND Not LongOnMarket then
buy n contracts at market
endif
If downtrend = 1 and downtrend[1] = 0 AND Not ShortOnMarket then
sellshort n contracts at market
endif
set stop ploss 50
//*********************************************************************************
// https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/
// (righe 17- 56), with the addition of DISTANCE
//
//trailing stop function
trailingstart = 25  //20  trailing will start @trailinstart points profit
trailingstep  = 25  //25  trailing step to move the "stoploss"
distance      = 10  //10  pips distance from caurrent price (if required by the broker)
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
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
IF LongOnMarket THEN
IF (close + distance) > newSL THEN
SELL AT newSL STOP
ELSIF (close - distance) < newSL THEN
SELL AT newSL LIMIT
ELSE
SELL AT Market
ENDIF
ELSIF ShortOnmarket THEN
IF (close + distance) < newSL THEN
EXITSHORT AT newSL STOP
ELSIF (close - distance) > newSL THEN
EXITSHORT AT newSL LIMIT
ELSE
EXITSHORT AT Market
ENDIF
ENDIF
ENDIF
//*********************************************************************************