Volatility Scalper S1 V01

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04/03/2020 at 1:08 PM #124472

MAKSIDE

Hi,

I tried to make a strategy based on Volatility Scalper Indicator of Nicolas. As a reminder, this indicator detects the high volatility of market places. It’s the reflect when the market is making big move on the same bar.

This strategy is based on this indicator.

When the value of the upside volume is considered as good, value > treshold and close > long MM, -> buy position is taken.
When the value of the downside volume is considered as good, value > treshold and close < long MM, -> sell position is taken.
Stop according to traling stop
time 1530 – 2200, everyday
option / reversal position size (possibility to activate or not)
option for buy, sell or both

all suggestions are open…

maybe specify more precise time ranges according to the volatility of DJI, same thing for different days… ?
others ?
…
others.. ?

//VOLATILITY SCALPER STRATEGY
//@MAKSIDE - 2020
//V0.1

// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé

//$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ Volatility Scalper
//@Nicolas/PRT
// Variables
threshATRPeriod = 40
smoothing = 2
verticalShiftPercent = 0
// --

threshATRPeriod = max(1, threshATRPeriod)
smoothing = max(1, smoothing)

diff = averagetruerange[1] - averagetruerange[2]
if(close-close[1])>0 THEN
upsidevol = averagetruerange[1] + diff * 0.5
upsideVol = max(upsideVol, 0)
downsidevol = 0
ELSE
upsidevol = 0
downsidevol = averagetruerange[1] + diff * 0.5
downsideVol = max(downsideVol, 0)
ENDIF

t = DEMA[smoothing](AverageTrueRange[threshATRPeriod])
t = t + (t*(verticalShiftPercent/100))
//$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$

//PARAMETERS OF STRATEGY **************************************
//level of volatility indicator / bull market
Cupsidevol = 10
//level of volatility indicator / bear market
CdownsideVol = 20
//buy conditions
Cdatetimebuy = (CurrentTime > 153000) and currenttime < 220000
//sell conditions
Cdatetimesell = (CurrentTime > 153000) and currenttime < 220000
Cbuy = upsidevol>Cupsidevol and upsidevol > t and Cdatetimebuy
Csell = downsidevol>CdownsideVol and downsidevol > t and Cdatetimesell

// Strategy - 1 : buy, 2 : sell, 3 : both
Cchoice = 2

//Reverse martingale 1 : ON, 0 : OFF
levier = 1
n = 1

reversemartingale = 0
//$$$$$$$$$$$$$$ REVERSE MARTINGALE
// in case of loss, back to initial value 1
// in case of winning, increase by one unit
// in case of 4 consecutive wins, back to initial value 1

if reversemartingale = 1 then
ONCE n = levier
IF Strategyprofit<Strategyprofit[1] THEN
n = levier
ENDIF
IF Strategyprofit>Strategyprofit[1] THEN
n = n + levier
ENDIF
IF n >= 6 * levier THEN // modifier la valeur selon vos préférences
n = levier
ENDIF
endif

//STRATEGY **************************************

//
if Cchoice = 1 or 3 then
if close > Average[4800](close) then

IF not longonmarket and Cbuy THEN
BUY n CONTRACT AT MARKET
ENDIF

SET STOP pLOSS 5

endif
endif

if Cchoice = 2 or 3 then
if close < Average[4800](close) then

IF not shortonmarket and Csell THEN
sellshort n CONTRACT AT MARKET
ENDIF

SET STOP pLOSS 5
endif
endif

//TRAILING STOP **************************************

trailingstart = 15 //trailing will start @trailinstart points profit
trailingstep = 5 //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
//************************************************************************

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//VOLATILITY SCALPER STRATEGY

//@MAKSIDE - 2020

//V0.1

// Définition des paramètres du code

DEFPARAM CumulateOrders = False // Cumul des positions désactivé

//$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ Volatility Scalper

//@Nicolas/PRT

// Variables

threshATRPeriod = 40

smoothing = 2

verticalShiftPercent = 0

// --

threshATRPeriod = max(1, threshATRPeriod)

smoothing = max(1, smoothing)

diff = averagetruerange[1] - averagetruerange[2]

if(close-close[1])>0 THEN

upsidevol = averagetruerange[1] + diff * 0.5

upsideVol = max(upsideVol, 0)

downsidevol = 0

ELSE

upsidevol = 0

downsidevol = averagetruerange[1] + diff * 0.5

downsideVol = max(downsideVol, 0)

ENDIF

t = DEMA[smoothing](AverageTrueRange[threshATRPeriod])

t = t + (t*(verticalShiftPercent/100))

//$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$

//PARAMETERS OF STRATEGY **************************************

//level of volatility indicator / bull market

Cupsidevol = 10

//level of volatility indicator / bear market

CdownsideVol = 20

//buy conditions

Cdatetimebuy = (CurrentTime > 153000) and currenttime < 220000

//sell conditions

Cdatetimesell = (CurrentTime > 153000) and currenttime < 220000

Cbuy = upsidevol>Cupsidevol and upsidevol > t and Cdatetimebuy

Csell = downsidevol>CdownsideVol and downsidevol > t and Cdatetimesell

// Strategy - 1 : buy, 2 : sell, 3 : both

Cchoice = 2

//Reverse martingale 1 : ON, 0 : OFF

levier = 1

n = 1

reversemartingale = 0

//$$$$$$$$$$$$$$ REVERSE MARTINGALE

// in case of loss, back to initial value 1

// in case of winning, increase by one unit

// in case of 4 consecutive wins, back to initial value 1

if reversemartingale = 1 then

ONCE n = levier

IF Strategyprofit<Strategyprofit[1] THEN

n = levier

ENDIF

IF Strategyprofit>Strategyprofit[1] THEN

n = n + levier

ENDIF

IF n >= 6 * levier THEN // modifier la valeur selon vos préférences

n = levier

ENDIF

endif

//STRATEGY **************************************

if Cchoice = 1 or 3 then

if close > Average[4800](close) then

IF not longonmarket and Cbuy THEN

BUY n CONTRACT AT MARKET

ENDIF

SET STOP pLOSS 5

endif

if Cchoice = 2 or 3 then

if close < Average[4800](close) then

IF not shortonmarket and Csell THEN

sellshort n CONTRACT AT MARKET

ENDIF

SET STOP pLOSS 5

endif

//TRAILING STOP **************************************

trailingstart = 15 //trailing will start @trailinstart points profit

trailingstep = 5 //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

//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

//stop order to exit the positions

IF newSL>0 THEN

SELL AT newSL STOP

EXITSHORT AT newSL STOP

ENDIF

//************************************************************************

4 users thanked author for this post.

Kovit,

Paul,

ArnoldB,

Nicolas

MAKSIDE

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04/03/2020 at 2:03 PM #124484

MAKSIDE

For the moment, that doesn’t work with proorder..

I have that systematically..

MAKSIDE

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04/03/2020 at 2:06 PM #124486

MrCool

Hi and thank you for your code!

Really like the stratergy. I was trying to put it live on my demo but gets an error just after I start it? Have checked the code and the only thing I changed was the ploss to 6 because that’s the min stopploss? But also tried with higher without succes.

MrCool

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04/03/2020 at 2:21 PM #124487

MAKSIDE

Are you sure about the ploss set to 6 with IG account/DJI ?

please note, the gain is more important.. 862$ for my sample.. it’s 1.6 for the spread between 1530 – 2200 with IG.

In my example, i took 2 for the spread.

But you are right… i modified and try with different values for ploss and that the same thing.. bot rejected immediately

MAKSIDE

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04/03/2020 at 2:30 PM #124489

MrCool

When you try to start the bot this comes up (see picture)

I got no near your gain with 1 contract with 100k units. (see picture of my backtest)

For the spread normally its 1,6 but nowdays its going up and down like crazy.

MrCool

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04/03/2020 at 2:34 PM #124492

MAKSIDE

@MrCool

It’s not DJI 1€ .. but DJI 2$ used.

MAKSIDE

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04/03/2020 at 2:40 PM #124494

MAKSIDE

814$ with reversemartingale = 0

838$ with reversemartingale = 1

when this bot will work, be careful, please check this value because it’s not the value 1 which will be given to proorder but more if reversemartingale is on… (position size is increased in this case)

MAKSIDE

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04/03/2020 at 3:42 PM #124503

MrCool

Ah my bad! Now I get the same results and it’s doing good today 🙂

Yes I’m aware of that, thank you!

Do you think its wrong with the code or ptr?

MrCool

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04/03/2020 at 4:19 PM #124517

MAKSIDE

I don’t know.. I open a ticket through held desk center of PRT

i’m waiting and sure, i will come back soon 😉

MAKSIDE

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04/03/2020 at 4:58 PM #124527

MrCool

MAKSIDE wrote:

I don’t know.. I open a ticket through held desk center of PRT

i’m waiting and sure, i will come back soon 😉

I did the same 🙂

MrCool

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04/06/2020 at 8:47 AM #124758

Nicolas

Try to add a a defparam preloadbards = 1000 at the top of the code.

You should also calculate your position size only before entering a new order, because now the “n” variable is calculating on each bar, even if you don’t meet the requirement to open a new position at market. So move the martingale code before line 79 and 91.

Nicolas

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04/06/2020 at 10:03 AM #124780

MAKSIDE

@Nicolas

you are right, but i just tested. as soon as i start prorder, the strategy is rejected…

MAKSIDE

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04/06/2020 at 10:26 AM #124797

Nicolas

Sorry, I forgot a zero:

defparam preloadbars = 10000

1	defparam preloadbars = 10000

Nicolas

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04/06/2020 at 10:32 AM #124798

MAKSIDE

thx Nicolas. It’s ok.

MAKSIDE

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04/06/2020 at 10:44 AM #124802

fifi743

Good morning,
The minimum stop this morning is 1095 point see attached picture

1 user thanked author for this post.

GraHal

fifi743

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