Trading the 5 Min Bar

• 07/13/2017 at 9:22 PM #40591
  GraHal

  Came across the link below … it explains 3 Strategies in detail for trading on 5 Min Timeframe. Would be a good basis for coding 3 separate Bots.

  If the Strategies exist on here already, then it be very useful if you could provide a link?

  https://tradingsim.com/blog/5-minute-bar/

  GraHal

  

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  07/14/2017 at 12:47 PM #40637
  robertogozzi

  I tried #1, Stochastic+Rsi+TEMA, on DAX 5-min TF (I added Nicolas’ trailing stop code):

  Stochastic+Rsi+Tema

  //------------------------------------------------------------------------- // Stochastic+Rsi+Tema DAX 5 min //------------------------------------------------------------------------- DEFPARAM CumulateOrders = False DEFPARAM FlatBefore = 090000 //no trades before 09:00:00 DEFPARAM FlatAfter = 213000 //no trades after 21:30:00 ONCE nLots = 1 //number of LOTs traded ONCE TP = 30 //30 pips Take Profit ONCE SL = 9 //9 pips Stop Loss TemaVal = Tema[4](close) //4 ONCE StocLimitBuy = 22 //OS 22 ONCE StocLimitSell = 100 - StocLimitBuy //OB (difference) ONCE RsiLimitBuy = 31 //OS 31 ONCE RsiLimitSell = 100 - RsiLimitBuy //OB (difference) StocD = Stochastic[8,6](close) //8, 6 StocK = Average[13](StocD) //13 RsiVal = Rsi[3](close) //3 //*************************************************************************************** IF LongOnMarket THEN IF Close < TemaVal THEN SELL AT MARKET //Exit LONGs when Bar closes below TEMA ENDIF ENDIF IF ShortOnMarket THEN IF Close > TemaVal THEN EXITSHORT AT MARKET //Exit SHORTs when Bar closes above TEMA ENDIF ENDIF //*************************************************************************************** trailingstart = 2 //2 trailing will start @trailinstart points profit trailingstep = 1 //1 trailing step to move the "stoploss" //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 SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //*************************************************************************************** // LONG trades //*************************************************************************************** a1 = close > open //BULLish bar a2 = (RsiVal < RsiLimitBuy) AND (RsiVal > RsiVal[1]) //Rsi in OS and North bound a3 = (StocK < StocLimitBuy) AND (StocK > StocD) //Stoch in OS and North bound IF a1 AND a2 AND a3 THEN BUY nLots CONTRACT AT MARKET ENDIF //*************************************************************************************** // SHORT trades //*************************************************************************************** b1 = close < open //BEARish bar b2 = (RsiVal > RsiLimitSell) AND (RsiVal < RsiVal[1]) //Rsi in OB and South bound b3 = (StocK > StocLimitSell) AND (StocK < StocD) //Stoch in OB and South bound IF b1 AND b2 AND b3 THEN SELLSHORT nLots CONTRACT AT MARKET ENDIF // SET TARGET PPROFIT TP SET STOP PLOSS SL

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  //------------------------------------------------------------------------- //                            Stochastic+Rsi+Tema DAX 5 min //------------------------------------------------------------------------- DEFPARAM CumulateOrders     = False DEFPARAM FlatBefore         = 090000                      //no trades before 09:00:00 DEFPARAM FlatAfter          = 213000                      //no trades after  21:30:00   ONCE nLots                  = 1                           //number of LOTs traded   ONCE TP                     = 30                          //30    pips Take Profit ONCE SL                     = 9                           //9     pips Stop Loss   TemaVal                     = Tema[4](close)              //4   ONCE StocLimitBuy           = 22                          //OS   22 ONCE StocLimitSell          = 100 - StocLimitBuy          //OB  (difference)   ONCE RsiLimitBuy            = 31                          //OS   31 ONCE RsiLimitSell           = 100 - RsiLimitBuy           //OB   (difference)   StocD                       = Stochastic[8,6](close)      //8, 6 StocK                       = Average[13](StocD)          //13   RsiVal                      = Rsi[3](close)               //3 //*************************************************************************************** IF LongOnMarket THEN    IF Close < TemaVal THEN       SELL AT MARKET                                      //Exit LONGs when Bar closes below TEMA    ENDIF ENDIF IF ShortOnMarket THEN    IF Close > TemaVal THEN       EXITSHORT AT MARKET                                 //Exit SHORTs when Bar closes above TEMA    ENDIF ENDIF //*************************************************************************************** trailingstart = 2      //2     trailing will start @trailinstart points profit trailingstep  = 1      //1     trailing step to move the "stoploss" //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    SELL AT newSL STOP    EXITSHORT AT newSL STOP ENDIF //*************************************************************************************** //                                       LONG trades //*************************************************************************************** a1 = close > open                                         //BULLish bar a2 = (RsiVal < RsiLimitBuy)  AND (RsiVal > RsiVal[1])     //Rsi   in OS and North bound a3 = (StocK < StocLimitBuy) AND (StocK > StocD)           //Stoch in OS and North bound IF a1 AND a2 AND a3 THEN    BUY nLots CONTRACT AT MARKET ENDIF //*************************************************************************************** //                                      SHORT trades //*************************************************************************************** b1 = close < open                                         //BEARish bar b2 = (RsiVal > RsiLimitSell)  AND (RsiVal < RsiVal[1])    //Rsi   in OB and South bound b3 = (StocK > StocLimitSell) AND (StocK < StocD)          //Stoch in OB and South bound IF b1 AND b2 AND b3 THEN    SELLSHORT nLots CONTRACT AT MARKET ENDIF // SET TARGET PPROFIT TP SET STOP PLOSS     SL

  It is over optimized, though. I’ll demo it for a while.

   

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  Nicolas

  

  robertogozzi

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  07/14/2017 at 8:59 PM #40676
  GraHal

  Wow Robert that looks great! Would have taken me all next week to get that sorted, if even then! 🙂

  Results stats look healthy … ‘gain to loss ratio’ and % winning trades. Love how your variables and comments line up … I have trouble with lack of ‘text contrast’ on the PRT Coding window and vertical alignment makes it so much easier.

  I’ll check it out further over the weekend.

  Many Thanks for your time, effort and for sharing
  GraHal

  

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  07/16/2017 at 4:49 PM #40789
  robertogozzi

  Actually the above strategy was Strategy #1 (of group 3).

  

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  07/16/2017 at 4:54 PM #40790
  robertogozzi

  Here is another one, Strategy #2 (of group 3), still using Nicolas’trailing stop code:

  Macd-Mfi DAX 5 min

  //------------------------------------------------------------------------- // Macd-Mfi DAX 5 min //------------------------------------------------------------------------- DEFPARAM CumulateOrders = False DEFPARAM FlatBefore = 090000 //no trades before 09:00:00 DEFPARAM FlatAfter = 213000 //no trades after 21:30:00 ONCE nLots = 1 //number of LOTs traded ONCE TP = 60 //60 pips Take Profit ONCE SL = 40 //40 pips Stop Loss ONCE Macd1 = 14 //14 ONCE Macd2 = 32 //32 ONCE Macd3 = 9 //9 MacdVal = MACD[Macd1,Macd2,Macd3](close) MacdSignal = MACDline[Macd1,Macd2,Macd3](close) MfiVal = MoneyFlow[23](close) //23 //*************************************************************************************** IF LongOnMarket THEN IF MacdSignal CROSSES UNDER MacdVal THEN SELL AT MARKET //Exit LONGs when MACD reverses southwards ENDIF ENDIF IF ShortOnMarket THEN IF MacdSignal CROSSES OVER MacdVal THEN EXITSHORT AT MARKET //Exit SHORTs when MACD reverses northwards ENDIF ENDIF //*************************************************************************************** trailingstart = 2 //2 trailing will start @trailinstart points profit trailingstep = 8 //8 trailing step to move the "stoploss" //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 SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //*************************************************************************************** // LONG trades //*************************************************************************************** a1 = close > open //BULLish bar a2 = MacdSignal CROSSES OVER MacdVal //MACD goes North a3 = (MfiVal > 3200) AND (MfiVal > MfiVal[1]) //3200 Mfi limit IF a1 AND a2 AND a3 THEN BUY nLots CONTRACT AT MARKET ENDIF //*************************************************************************************** // SHORT trades //*************************************************************************************** b1 = close < open //BEARish bar b2 = MacdSignal CROSSES UNDER MacdVal //MACD goes South b3 = (MfiVal < -3200) AND (MfiVal < MfiVal[1]) //-3200 Mfi limit IF b1 AND b2 AND b3 THEN SELLSHORT nLots CONTRACT AT MARKET ENDIF // SET TARGET PPROFIT TP SET STOP PLOSS SL //GRAPH MfiVal AS "Mfi"

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  //------------------------------------------------------------------------- //                             Macd-Mfi DAX 5 min //------------------------------------------------------------------------- DEFPARAM CumulateOrders     = False DEFPARAM FlatBefore         = 090000                      //no trades before 09:00:00 DEFPARAM FlatAfter          = 213000                      //no trades after  21:30:00 ONCE nLots                  = 1                           //number of LOTs traded ONCE TP                     = 60                          //60    pips Take Profit ONCE SL                     = 40                          //40    pips Stop Loss   ONCE Macd1                  = 14                          //14 ONCE Macd2                  = 32                          //32 ONCE Macd3                  = 9                           //9 MacdVal                     = MACD[Macd1,Macd2,Macd3](close) MacdSignal                  = MACDline[Macd1,Macd2,Macd3](close)   MfiVal                      = MoneyFlow[23](close)        //23 //*************************************************************************************** IF LongOnMarket THEN    IF MacdSignal CROSSES UNDER MacdVal THEN       SELL AT MARKET                                      //Exit LONGs when MACD reverses southwards    ENDIF ENDIF IF ShortOnMarket THEN    IF MacdSignal CROSSES OVER MacdVal THEN       EXITSHORT AT MARKET                                 //Exit SHORTs when MACD reverses northwards    ENDIF ENDIF //*************************************************************************************** trailingstart = 2      //2     trailing will start @trailinstart points profit trailingstep  = 8      //8     trailing step to move the "stoploss" //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    SELL AT newSL STOP    EXITSHORT AT newSL STOP ENDIF //*************************************************************************************** //                                       LONG trades //*************************************************************************************** a1 = close > open                                         //BULLish bar a2 = MacdSignal CROSSES OVER MacdVal                      //MACD goes North a3 = (MfiVal > 3200) AND (MfiVal > MfiVal[1])             //3200 Mfi limit IF a1 AND a2 AND a3 THEN    BUY nLots CONTRACT AT MARKET ENDIF //*************************************************************************************** //                                      SHORT trades //*************************************************************************************** b1 = close < open                                         //BEARish bar b2 = MacdSignal CROSSES UNDER MacdVal                     //MACD goes South b3 = (MfiVal < -3200) AND (MfiVal < MfiVal[1])            //-3200 Mfi limit IF b1 AND b2 AND b3 THEN    SELLSHORT nLots CONTRACT AT MARKET ENDIF // SET TARGET PPROFIT TP SET STOP PLOSS     SL //GRAPH MfiVal AS "Mfi"

  Tested on DAX 5-min TF.

   

  

  robertogozzi

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  07/16/2017 at 5:19 PM #40793
  robertogozzi

  It’s the first time I tackle with MFI and I’d like a confirmation that this is the correct way it should be used.

  Thank you.

  Roberto

  

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  07/16/2017 at 11:33 PM #40836
  GraHal

  Wow you’ve been busy again!

  I knocked 1 hour off the times to change from UTC +2 (Italy) to UTC +1 (UK).

  Attached are the equity curves I get on the DAX at 100k bars.

  Re Strategy #2 (of group 3) … are your results over 200k bars Robert?

  Thank You
  Graham

  

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  07/16/2017 at 11:57 PM #40839
  robertogozzi

  No, I only started from Jan. 1, 2017 through last friday. Anyway I am using IG, so my limit would be 100k.

  I am planning to try to build the strategy #3 of group 3, but it involves oscillators/indicators not built-in so its execution will be slower, but I still wanna have a try over the next couple of days.

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  GraHal

  

  robertogozzi

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  07/17/2017 at 9:57 AM #40846
  GraHal

  Right I’ve got my results for Strategy #2 (of group 3) exact same as yours now … 16 Trades all winners since 4 Jan 17 … see attached.

  I’m on spreadbet with IG so I increased Lot size to 25 to get exact same figures as you (I would only trade £1 per point to see how it goes).

  I love both Strats cos they’re in and out in a few bars (they don’t sit there for hours (while I’m stressing! :)) as losers  hoping ‘all will come right in the end’!) To my logic, this is what a short TF Strat should do … ride the short term cycles!?

  Onward and Upward … looking good!

  Many Thanks for your ongoing work Roberto (apols for Robert in previous)
  GraHal

   

   

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  07/17/2017 at 11:27 AM #40851
  robertogozzi

  As to strategy #3 of group 3, it involves a Relative Vigor Index which I haven’t found around here.

  In a new post I’ll ask Nicolas if he can translate it from a Metastock code I have found over the internet.

   

   

  

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  07/17/2017 at 1:28 PM #40866
  AVT

  @robertogozzi

  Link: https://www.mql5.com/en/code/8035

  

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  07/17/2017 at 1:55 PM #40870
  AVT

  That’s the code how I understood the description in mql5 page

  RVI

  // === RVI Relative Vigor Indicator //VALUE1 = ((CLOSE - OPEN) + 2 * (CLOSE (1)) - OPEN (1)) + 2*(CLOSE (2) - OPEN (2)) + (CLOSE (3) - OPEN (3))) / 6 //VALUE2 = ((HIGH - LOW) + 2 * (HIGH (1) - LOW (1)) + 2*(HIGH (2)- LOW (2)) + (HIGH (3) - LOW (3))) / 6 //NUM = SUM (VALUE1, N) //DENUM = SUM (VALUE2, N) //RVI = NUM / DENUM //RVISig = (RVI + 2 * RVI (1) + 2 * RVI (2) + RVI (3)) / 6 // .......................... //OPEN — is the opening price; //HIGH — is the maximum price; //LOW — is the minimum price; //CLOSE — is the closing price; //VALUE1 — symmetrically weighted moving average of the differences of the closing and openings prices; //VALUE2 — symmetrically weighted moving average of the differences of the maximum and minimum prices; //NUM — amount N importances of VALUE1; //DENUM —amount N importances of VALUE2; //RVI — value of the Relative Vigor Index indicator for the current bar; //RVISig — value of the RVI signal line for the current bar; //N — period of the smoothing // .............................. period=10 VALUE1 = ((CLOSE - OPEN) + 2*(CLOSE[1] - OPEN[1]) + 2*(CLOSE[2] - OPEN[2]) + (CLOSE[3] - OPEN[3])) / 6 VALUE2 = ((HIGH - LOW) + 2*(HIGH[1] - LOW[1]) + 2*(HIGH[2]- LOW[2]) + (HIGH[3] - LOW[3])) / 6 NUM = VALUE1 * period DENUM = VALUE2 * period RVI = NUM / DENUM RVISig = (RVI + 2 * RVI[1] + 2 * RVI[2] + RVI[3]) / 6 return RVI as "rvi", RVISig as "rvi signal"

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  // === RVI Relative Vigor Indicator   //VALUE1 = ((CLOSE - OPEN) + 2 * (CLOSE (1)) - OPEN (1)) + 2*(CLOSE (2) - OPEN (2)) + (CLOSE (3) - OPEN (3))) / 6 //VALUE2 = ((HIGH - LOW) + 2 * (HIGH (1) - LOW (1)) + 2*(HIGH (2)- LOW (2)) + (HIGH (3) - LOW (3))) / 6 //NUM = SUM (VALUE1, N) //DENUM = SUM (VALUE2, N) //RVI = NUM / DENUM //RVISig = (RVI + 2 * RVI (1) + 2 * RVI (2) + RVI (3)) / 6 // .......................... //OPEN — is the opening price; //HIGH — is the maximum price; //LOW — is the minimum price; //CLOSE — is the closing price; //VALUE1 — symmetrically weighted moving average of the differences of the closing and openings prices; //VALUE2 — symmetrically weighted moving average of the differences of the maximum and minimum prices; //NUM — amount N importances of VALUE1; //DENUM —amount N importances of VALUE2; //RVI — value of the Relative Vigor Index indicator for the current bar; //RVISig — value of the RVI signal line for the current bar; //N — period of the smoothing // .............................. period=10 VALUE1 = ((CLOSE - OPEN) + 2*(CLOSE[1] - OPEN[1]) + 2*(CLOSE[2] - OPEN[2]) + (CLOSE[3] - OPEN[3])) / 6 VALUE2 = ((HIGH - LOW) + 2*(HIGH[1] - LOW[1]) + 2*(HIGH[2]- LOW[2]) + (HIGH[3] - LOW[3])) / 6 NUM = VALUE1 * period DENUM = VALUE2 * period RVI = NUM / DENUM RVISig = (RVI + 2 * RVI[1] + 2 * RVI[2] + RVI[3]) / 6   return RVI as "rvi", RVISig as "rvi signal"

   

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  AVT

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  07/18/2017 at 8:03 AM #40924
  GraHal

  For info, I got a ‘divide by zero’ error overnight on Strat #02 – Macd-Mfi-DAX-5-min.itf code at Post #40790 . The Strat was Quit / closed due to the error.

  

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  07/18/2017 at 10:34 AM #40938
  robertogozzi

  I incurred the same error this morning (nighttime) at 02:00 (gmt +0) as from attached pics.

  Pic (1) is just the error; Pic(2) is the screenshot of the DAX 5-min chart at that time; Pic(3) is the screenshot where I outlined variable MFI with a value of -0, which is likely to be the problem.

  I tried to replicate the error with ProBackTest, extending the final time to the last current bar, but it did not work, I don’t know why ProOrder behaves differently from ProBackTest.

  I am afraid the oscillator MFI is not used correctly (it was the first time I used it). Also, this may happen due to overnight closure of DAX, because the strategy keeps running and evaluating each bar continuosly. What’s the data contained in a NON-exixting 5-min bar?

  I hope Nicolas will help when back from his leave.

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  07/18/2017 at 11:59 AM #40951
  AVT

  @robertogozzi

  In the Strategy No 2: where do you get these border values from?

  Snip Strategy 2

  //*************************************************************************************** // LONG trades //*************************************************************************************** a1 = close > open //BULLish bar a2 = MacdSignal CROSSES OVER MacdVal //MACD goes North a3 = (MfiVal > 3200) AND (MfiVal > MfiVal[1]) //3200 Mfi limit IF a1 AND a2 AND a3 THEN BUY nLots CONTRACT AT MARKET ENDIF //*************************************************************************************** // SHORT trades //*************************************************************************************** b1 = close < open //BEARish bar b2 = MacdSignal CROSSES UNDER MacdVal //MACD goes South b3 = (MfiVal < -3200) AND (MfiVal < MfiVal[1]) //-3200 Mfi limit IF b1 AND b2 AND b3 THEN SELLSHORT nLots CONTRACT AT MARKET ENDIF

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  //*************************************************************************************** //                                       LONG trades //*************************************************************************************** a1 = close > open                                         //BULLish bar a2 = MacdSignal CROSSES OVER MacdVal                      //MACD goes North a3 = (MfiVal > 3200) AND (MfiVal > MfiVal[1])             //3200 Mfi limit IF a1 AND a2 AND a3 THEN    BUY nLots CONTRACT AT MARKET ENDIF //*************************************************************************************** //                                      SHORT trades //*************************************************************************************** b1 = close < open                                         //BEARish bar b2 = MacdSignal CROSSES UNDER MacdVal                     //MACD goes South b3 = (MfiVal < -3200) AND (MfiVal < MfiVal[1])            //-3200 Mfi limit IF b1 AND b2 AND b3 THEN    SELLSHORT nLots CONTRACT AT MARKET ENDIF

  If I open the MFI Indicator in PRT, it has default borders of 20/80 and looking at the picture in the original article, it’s the same there. Thanks.

  

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