vwap strategy intraday timeframe help needed
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// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. DEFPARAM FLATBEFORE = 080000 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 220000 // ---parameters MaxDailyProfit=10000 //Max daily profit allowed (in money) MaxDailyLoss=80 //Max daily loss allowed (in money) // first time we launch the code, the trading is allowed once TradeAllowed=1 // reset the current state of the strateygprofit each new day If intradaybarindex=0 then MyProfit=STRATEGYPROFIT TradeAllowed=1 endif // test if the strategyprofit of the day is currently above the daily profit allowed of below the daily loss allowed If StrategyProfit>=MyProfit+MaxDailyProfit or Strategyprofit<=MyProfit-MaxDailyLoss then TradeAllowed=0 endif //trending days longday = (close > DHigh(1)) shortday =(close < DLow(1)) //inside days swingday = ((DHigh(0) < DHigh(1)) and (DLow(0) > DLow(1))) //bollinger and vwap definitions bollup = Average [10](close)+1.9*std[10](close) bolldown = Average[10](close)-1.9*std[10](close) overbought = (close >= bollup) oversold = (close <= bolldown) ignored, ignored, ignored, ignored, ignored, ignored, indicator7 = CALL "PRC_VWAP intraday" ignored, ignored, ignored, ignored, ignored, indicator6, ignored = CALL "PRC_VWAP intraday" indicator1, ignored, ignored, ignored, ignored, ignored, ignored = CALL "PRC_VWAP intraday" over3std = (close[1] => indicator6) under3std = (close[1] =< indicator7) stoplong = (close[1] < indicator1) stopshort = (close[1] > indicator1) S1stop = (over3std or stoplong) S2stop = (stopshort or under3std) S3stop = (stopshort or under3std) S4stop = (over3std or stoplong) //long entry if longday THEN if not longonmarket and TradeAllowed=1 and oversold then S=1 BUY 1 CONTRACT AT MARKET elsif longonmarket and S1stop and S=1 then sell at market endif else if shortday then if not shortonmarket and TradeAllowed=1 and overbought then S=2 SELLSHORT 1 contract AT MARKET elsif shortonmarket and S2stop then exitshort at market endif else if swingday then if not longonmarket and TradeAllowed=1 and under3std and oversold then S=3 buy 1 contract at market elsif swingday and longonmarket and S3stop then sell at market elsif swingday then if not shortonmarket and TradeAllowed=1 and over3std and overbought then S=4 sellshort 1 contract at market elsif swingday and shortonmarket and S4stop then exitshort at market endif endif endif endif endif // Stops and targets SET STOP pLOSS 50Thanks for the reply, I’ve rearranged the code a bit, but another issue came out:
Entered a long position with conditions defined in “longday” (so price was higher than the previous day high) but did not exit the position at vwap as supposed to. I think that’s because vwap was inside the previous day high and low, so maybe the system changed form “longday” to “swingday”. But still one of the condition to close longs on inside days is for the price to be above vwap (as a target), so I’m not sure what the code reads in this case, eventually the code closed the position with the stoploss, so it completely ignored the stops also for the inside day strategy as price did pass below vwaps low 3 std dev.
I’ve attached a picture with my comments, and the new code above.
Cheers!
A
I suggest that you append these lines to your code:
graph SwingDay graph ShortDay graph LongDay graph S1Stop graph S2Stop(and you may add more) they will help you spot any wrong value at any given bar in the variable window that ProBackTest opens (only when GRAPH is used).
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/06/2021 |
| Status: | Active |
| Attachments: | 2 files |
