vwap strategy intraday timeframe help needed

• 02/06/2021 at 4:51 PM #160522
  abraxas

  Hiya

  I’m trying to set up this intraday strategy based on vwap, but I think I miss how to properly define trending days and inside days.

  Concept is: if price breaks out of previous day high or low, it will continue on that direction (maybe retesting those levels for confirmation of direction… not sure how to code this), so I’m setting a buy on weakness (low bollinger) ,a target based on 3std deviations from vwap (using prc vwap intraday indicator, as the built in vwap can’t be used in proorder apparently), and the vwap acts as a trailing stop.

  If the price action is between previous days high or low I’ll short on strenght (upper bollinger, and over 3 std devs from vwap )/buy on weakness(lower bollinger and under 3 std dev from vwap ) with vwap as a target.

  What does not seem to work is the definition of long/short days and inside/swing days, as I’ve seen the strategy going long/short also when price isn’t above or below previous days highs or lows..

  Any help will be much appreciated!

  Cheers

  A

  vwap strategy

  // 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=300 //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 = (close < DHigh (1)) and (close > 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 => indicator6) under3std = (close =< indicator7) stoplong = (close < indicator1) stopshort = (close > indicator1) //long entry if longday and not longonmarket and TradeAllowed=1 and oversold then BUY 1 CONTRACT AT MARKET elsif shortday and not shortonmarket and TradeAllowed=1 and overbought then SELLSHORT 1 contract AT MARKET elsif swingday and not longonmarket and TradeAllowed=1 and under3std and oversold then buy 1 contract at market elsif not shortonmarket and swingday and TradeAllowed=1 and over3std and overbought then sellshort 1 contract at market endif //exit if longonmarket and longday and ( over3std or stoplong)then sell at market elsif shortonmarket and shortday and (stopshort or under3std) then exitshort at market elsif longonmarket and swingday and (stopshort or under3std) then sell at market elsif shortonmarket and swingday and ( over3std or stoplong) then exitshort at market endif // Stops and targets SET STOP pLOSS 50

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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=300 //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 = (close < DHigh (1)) and (close > 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 => indicator6) under3std = (close =< indicator7) stoplong = (close < indicator1) stopshort = (close > indicator1) //long entry if longday and not longonmarket and TradeAllowed=1 and oversold then BUY 1 CONTRACT AT MARKET elsif shortday and not shortonmarket and TradeAllowed=1 and overbought then SELLSHORT 1 contract AT MARKET elsif swingday and not longonmarket and TradeAllowed=1 and under3std and oversold then buy 1 contract at market elsif not shortonmarket and swingday and TradeAllowed=1 and over3std and overbought then sellshort 1 contract at market endif   //exit if longonmarket and longday  and ( over3std or stoplong)then sell at market elsif shortonmarket and shortday and (stopshort or under3std) then exitshort at market elsif longonmarket and swingday and (stopshort or under3std) then sell at market elsif shortonmarket and swingday and ( over3std or stoplong) then exitshort at market endif   // Stops and targets SET STOP pLOSS 50

   

  

  abraxas

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  02/08/2021 at 12:38 PM #160674
  robertogozzi

  You are only checking if the CURRENT prive (which is CLOSE) is within the yesterday’s boundaries, not if the WHOLE current day is within yesterday’s range. Try replacing line 31 with:

  swingday = (DHigh(0) < DHigh (1)) and (DLow(0) > Dlow (1))

  1	swingday = (DHigh(0) < DHigh (1)) and (DLow(0) > Dlow (1))

   

   

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  robertogozzi

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  02/12/2021 at 8:09 PM #161237
  abraxas

  vwap strategy

  // 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 50

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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 50

  Thanks 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

   

  

  abraxas

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  02/13/2021 at 1:30 AM #161247
  robertogozzi

  I suggest that you append these lines to your code:

  graph SwingDay graph ShortDay graph LongDay graph S1Stop graph S2Stop

  1 2 3 4 5

  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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