Unbroken highs

• 12/21/2016 at 12:38 PM #18915
  from8to800

  Hello all,

  Suppose I have an indicator that I use to generate entry signals. This indicator has the value of 1 when the signal is active and 0 when no signal exists.

  How do I create a screener that looks for stocks where the high of the week in which the BUY SIGNAL indicator flashed a signal has not been violated? In other words, if a BUY SIGNAL appeared, say, 15 weeks ago, then every week since then has had a lower high.

  Here’s what I’ve coded:

  myBUYSIGNAL = CALL "BUY SIGNAL" FOR i=0 to 20 DO If myBUYSIGNAL[i] >= 1 then signal=high[i] else signal=0 endif c1= highest[high](i) >= signal NEXT SCREENER [c1]

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  myBUYSIGNAL = CALL "BUY SIGNAL"   FOR i=0 to 20 DO   If myBUYSIGNAL[i] >= 1 then signal=high[i] else signal=0 endif   c1= highest[high](i) >= signal NEXT   SCREENER [c1]

  I’m getting the following message: “An error has occurred during the execution of your ProScreener market scan”.

  Your assistance on this would be extremely helpful.
  Thank you,
  Igor

  

  from8to800

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  12/21/2016 at 3:16 PM #18922
  GraHal

  Hi Igor

  What is your code for the “Buy Signal” Indicator … the code might help to suss out the cause of the error?

  Cheers
  GraHal

  

  GraHal

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  12/21/2016 at 5:46 PM #18937
  from8to800

  Hi GraHal,

   

  The code is as follows:

  c1= low<=1.02*Average[10](Close) and close>=Average[10](close) c2= close>=100 IF AverageTrueRange[1](close)>=1.25*Average[20](AverageTrueRange[1](close)) AND Volume>=1.25*Average[20](Volume) AND close>open AND high>=highest[52](high)*0.95 and c1 and c2 THEN BUYSIGNAL = 1 ELSE BUYSIGNAL=0 ENDIF RETURN BUYSIGNAL

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  c1= low<=1.02*Average[10](Close) and close>=Average[10](close) c2= close>=100     IF AverageTrueRange[1](close)>=1.25*Average[20](AverageTrueRange[1](close)) AND Volume>=1.25*Average[20](Volume) AND close>open AND high>=highest[52](high)*0.95 and c1 and c2 THEN BUYSIGNAL = 1 ELSE BUYSIGNAL=0 ENDIF   RETURN BUYSIGNAL

  Thanks in advance.

  Igor

  

  from8to800

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  12/22/2016 at 2:02 PM #18981
  from8to800

  Any suggestion from anyone?

  

  from8to800

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  12/22/2016 at 2:41 PM #18982
  GraHal

  Hi Igor

  Below will give you the highest high in the last 15 periods up to the last period, …

  c1 = High > Highest[15](High[1])

  1	c1 = High > Highest[15](High[1])

   

   

   

  

  GraHal

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  12/22/2016 at 3:02 PM #18983
  GraHal

  I’m only saying above as that was what flashed in my mind when I read your posts and code. Above may spark some further thoughts in your mind.

  I’ll come back if I have any more ideas re your requirement. I’m having a ‘motivation crisis’ today, but nothing serious 🙂

  

  GraHal

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  01/08/2018 at 4:31 PM #57767
  vitatrader35

  Hi from8to800,

  Did you find the solution to your problem?

  I’m seeing the same message some times…

  Thank you, and good luck!

  

  vitatrader35

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  01/08/2018 at 8:01 PM #57807
  robertogozzi

  from8to800 wrote:

  Here’s what I’ve coded:

  myBUYSIGNAL = CALL “BUY SIGNAL”</p><br /><br /> <p>FOR i=0 to 20 DO</p><br /><br /> <p>If myBUYSIGNAL[i] >= 1 then<br /><br /><br /> signal=high[i]<br /><br /><br /> else<br /><br /><br /> signal=0<br /><br /><br /> endif</p><br /><br /> <p>c1= highest[high](i) >= signal<br /><br /><br /> NEXT</p><br /><br /> <p>SCREENER [c1]

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  myBUYSIGNAL = CALL “BUY SIGNAL” FOR i=0 to 20 DO If myBUYSIGNAL[i] >= 1 then signal=high[i] else signal=0 endif c1= highest[high](i) >= signal NEXT SCREENER [c1]

  I’m getting the following message: “An error has occurred during the execution of your ProScreener market scan”. Your assistance on this would be extremely helpful. Thank you, Igor

  Your variable SIGNAL may only have value 1 ONLY when myBUYSIGNAL[20], i.e. the last iteration, will be true, else… it will ALWAYS be ZERO even if the first  iterations were all true!

  Moreover,

  highest[high]

  1	highest[high]

  will be expanded, at scan time, to, say

  highest[1.1960] //in case you trade Eur/Usd highest[13960] //in case you trade DAX

  1 2	highest[1.1960]  //in case you trade Eur/Usd highest[13960]   //in case you trade DAX

  and will almost always generate an error!

  Roberto

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  vitatrader35

  

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  01/08/2018 at 11:05 PM #57816
  vitatrader35

  Hi everyone, and thank you Roberto for your kind atention. I’m afraid I don’t completely understand your explanation.

  I’m having the same error as ‘from8to800’  but, surprisingly my code fails just some times. Most times, it works fine. I don´t think its a network problem, because it fails always with the same stocks (for example, it fails if you try to backtest OTEX with 3000 bars)

  The strategy tries to catch high capitalization breakouts, and I’m trying to optimise two variables: ‘volatilidad’ from 2 to 8 (step=3) and ‘misumacap’ from 100 to 300 (step=50).

  Thanks in advance,

   

  Miguel

  breakout with high capitalization strategy

  DEFPARAM cumulateorders=false Capital = 100000 Risk = 1 REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) riesgo=(priceopen-stoploss)*2 cap=volume*typicalprice sumacap=summation[5](cap) sumacap25=summation[25](cap) media5=sumacap25/5 supermediacap=100*sumacap/media5 //vola=ABS(highest[5](high)-lowest[5](low))*100/typicalprice alto=highest[5](high) bajo=lowest[5](low) vola=ABS(alto-bajo)*100/typicalprice //semana y día alcista if vola>=volatilidad and supermediacap>=misumacap and close>open[5] and close>open then condicion1=1 elsif condicion1[1]>0 and condicion1<5 and low>stoploss then condicion1=condicion1[1]+1 else condicion1=0 endif if condicion1=1 then priceopen = alto+((alto-bajo)*(5/100)) stoploss = bajo-((alto-bajo)*(5/100)) riesgo=(priceopen-stoploss)*2 PositionSize = abs(round(maxrisk/riesgo)) endif if condicion1>0 then BUY positionsize shares at priceopen stop endif GRAPH supermediacap coloured (0,200,0,255) as "supermediacap" GRAPH vola coloured (0,100,100,255) as "volatilidad" SET TARGET PROFIT riesgo SET STOP LOSS riesgo

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  DEFPARAM cumulateorders=false Capital = 100000 Risk = 1   REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) riesgo=(priceopen-stoploss)*2 cap=volume*typicalprice   sumacap=summation[5](cap) sumacap25=summation[25](cap) media5=sumacap25/5 supermediacap=100*sumacap/media5 //vola=ABS(highest[5](high)-lowest[5](low))*100/typicalprice   alto=highest[5](high) bajo=lowest[5](low)   vola=ABS(alto-bajo)*100/typicalprice //semana y día alcista if  vola>=volatilidad and supermediacap>=misumacap  and close>open[5] and close>open then condicion1=1 elsif  condicion1[1]>0 and condicion1<5 and low>stoploss then condicion1=condicion1[1]+1 else condicion1=0 endif if condicion1=1  then priceopen = alto+((alto-bajo)*(5/100)) stoploss = bajo-((alto-bajo)*(5/100)) riesgo=(priceopen-stoploss)*2 PositionSize = abs(round(maxrisk/riesgo))   endif     if condicion1>0 then BUY positionsize shares at priceopen stop endif   GRAPH supermediacap coloured (0,200,0,255)  as "supermediacap" GRAPH vola coloured (0,100,100,255) as "volatilidad" SET TARGET PROFIT riesgo SET STOP LOSS riesgo

   

   

  

  vitatrader35

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  01/09/2018 at 12:40 AM #57834
  robertogozzi

  @vitatrader35, this a ProScreener support forum, if you want to talk about a strategy you should open a new topic in the ProOrder Support Forum. Thank you.

  vitatrader35 wrote:

  I’m afraid I don’t completely understand your explanation

  Let me know what it is, so I can try to explain it better. I was just pointing out a couple of logic errors, I did not mean to correct the code at all, since I did not understand exactly what from8to800 was trying to accomplish.

  

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  01/09/2018 at 11:18 AM #57879
  vitatrader35

  Hi, Robertogozzi

  I just posted here because yours is the only explanation I found to this kind problem. I read your message more carefully and now I think I understand.  Thank you, because I think you opened the way to find the solution (its more than possible that my code has one -or more- logic problem…). I’ll try to make the question in the right place.

  One more question, about the original post: could this also be an error?

  (wrong)

  c1= highest[high](i) >= signal

  (righ, if all the iterations were positive)

  c1= highest[i](high) >= signal

  Thank you for your help

  

  vitatrader35

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  01/09/2018 at 1:16 PM #58590
  robertogozzi

  Yes vitatrader35, that would work finely!

  But be aware that

  c1= highest[high](i) >= signal

  1	c1= highest[high](i) >= signal

  when signal IS zero will be expanded, at scan time, to

  c1= highest[high](i) >= 0

  1	c1= highest[high](i) >= 0

  thus making c1 TRUE!

  I don’t know if this logic behaviour is unwanted or not, I just pointed it out.

   

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  vitatrader35

  

  robertogozzi

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