Yesterday High Low during specific time

• 06/13/2019 at 6:25 PM #100578
  stefou102

  Hello,

  Silly question but I can’t figure it out right now after a busy day.

  I would like to introduce in a strategy the high and low of the previous day for an index such as the dowjones, but only during the cash market hours… It’s pretty easy to do it for an indicator, but I don’t know why this isn’t working in proorder.

  if time >=153000 and time<=220000 and date=yesterday then myHigh=max(myHigh , high) myLow= min(myLow , low) endif

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  if time >=153000 and time<=220000 and date=yesterday then myHigh=max(myHigh , high) myLow= min(myLow , low) endif

  Any idea why myHigh/myLow are undefined?

  

  stefou102

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  06/13/2019 at 6:41 PM #100579
  Vonasi

  DATE can never equal YESTERDAY.

  This might help:

  https://www.prorealcode.com/topic/customized-trading-session/#post-99680

  

  Vonasi

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  06/13/2019 at 7:31 PM #100581
  stefou102

  Thx Vonasi, always quick on the ball!

  investigating a new strat based on the the open, close, and the interaction of price with vwap intraday

  

  stefou102

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  06/13/2019 at 10:00 PM #100591
  stefou102

  Vonasi, as you helped me, here is MAYBE your reward…

  this was not the idea I had in mind a few hours back, but the results are not bad. Tested on Dow Jones 1min, on 200k. Unfortunately, not enough history to really know if this is profitable strategy. Maybe someone who has already access to V11 with millions of bars of history?

  DEFPARAM FlatAfter = 215900 DEFPARAM cumulateorders=false ONCE positionsize=1 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF if intradaybarindex=0 then Longtradecounter = 0 Shorttradecounter = 0 long=0 short=0 endif //to account for daylight hour change (to update every year) if (month=3 and day<31 and day>10) then starttime=143000 endtime=210000 else starttime=153000 endtime=220000 endif tradetime=time >=starttime+1500 and time < endtime and dayofweek<>0 and tradingday if time = starttime then op = open lo = low hi = high endif if time = endtime then //lastop = op lasthi = hi lastlo = lo lastcl = close endif if time >= starttime+100 and time < endtime then hi = max(hi,high) lo = min(lo,low) endif maxi=max(max(op,lastcl),lasthi) mini=min(min(op,lastcl),lastlo) if close crosses over maxi and time >= starttime+1500 and time < endtime then long=1 endif if close crosses under mini and time >= starttime+1500 and time < endtime then short=1 endif myMA7=average[7](close) if tradetime and not onmarket then if long=1 and myMA7[1]<myMA7[2] and myMA7>myMA7[1] and Longtradecounter < 1 then buy positionSize contracts at highest[5](high)+3*pointsize STOP endif if short=1 and myMA7[1]>myMA7[2] and myMA7<myMA7[1] and Shorttradecounter < 1 then sellshort positionSize contracts at lowest[5](low)-3*pointsize STOP endif endif graph longtradecounter if longonmarket then Longtradecounter=Longtradecounter+1 endif if shortonmarket then Shorttradecounter=Shorttradecounter+1 endif //if longonmarket and low=lastlo then //sell at low-3*pointsize STOP //endif // //if shortonmarket and high=lasthi then //exitshort at high+3*pointsize STOP //endif //graphonprice lastcl //graphonprice op //graphonprice lasthi enablets=1 // mettre à 1 pour activer le trailing stop, sinon 0 ts1=0.15 //trailing stop qui commence une fois que ts1% est atteint, puis quand la perf atteint ts2+ts3, diminué à ts2, puis quand la perf=ts1+ts2, placé à ts3 ts2=0.125 ts3=0.10 if enablets then switch =ts2+ts3 switch2=ts1+ts2 underlaying=100 // underlaying security / index / forex // profittargets and stoploss have to match the lines // not to be optimized // 0.01 forex [i.e. gbpusd=0.01] // 1.00 securities [i.e. aapl=1 ; // 100.00 indexes [i.e. dax=100] // 100=xauusd // 100=cl us crude trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0 maxprice2=0 minprice2=close priceexit2=0 maxprice3=0 minprice3=close priceexit3=0 a1=0 a2=0 a3=0 pp=0 endif if onmarket then pp=(positionperf*100) if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif // setup long if longonmarket then maxprice1=max(maxprice1,high) maxprice2=max(maxprice2,high) maxprice3=max(maxprice3,high) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if maxprice2-tradeprice(1)>=(trailingstop2)*pointsize then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if maxprice3-tradeprice(1)>=(trailingstop3)*pointsize then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif // setup short if shortonmarket then minprice1=min(minprice1,close) minprice2=min(minprice2,low) minprice3=min(minprice3,low) if a1 then if tradeprice(1)-minprice1>=(trailingstop1)*pointsize then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if tradeprice(1)-minprice2>=(trailingstop2)*pointsize then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if tradeprice(1)-minprice3>=(trailingstop3)*pointsize then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif // exit long if longonmarket then if priceexit1>0 then sell at priceexit1 stop endif if priceexit2>0 then sell at priceexit2 stop endif if priceexit3>0 then sell at priceexit3 stop endif endif // exit short if shortonmarket then if priceexit1>0 then exitshort at priceexit1 stop endif if priceexit2>0 then exitshort at priceexit2 stop endif if priceexit3>0 then exitshort at priceexit3 stop endif endif endif //displayts=0 // //if displayts and priceexit1<>0 then //graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" //endif //if displayts and priceexit2<>0 then //graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" //endif //if displayts and priceexit3<>0 then //graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" //endif //SET TARGET %profit 0.12 SET STOP %loss 0.5

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  DEFPARAM FlatAfter = 215900 DEFPARAM cumulateorders=false ONCE positionsize=1   // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF   if intradaybarindex=0 then   Longtradecounter = 0 Shorttradecounter = 0 long=0 short=0   endif //to account for daylight hour change (to update every year) if (month=3 and day<31 and day>10) then starttime=143000 endtime=210000 else starttime=153000 endtime=220000 endif   tradetime=time >=starttime+1500 and time < endtime and dayofweek<>0 and tradingday   if time = starttime then op = open lo = low hi = high endif if time = endtime then //lastop = op lasthi = hi lastlo = lo lastcl = close endif if time >= starttime+100 and time < endtime then hi = max(hi,high) lo = min(lo,low) endif       maxi=max(max(op,lastcl),lasthi) mini=min(min(op,lastcl),lastlo)     if close crosses over maxi  and time >= starttime+1500 and time < endtime then long=1 endif   if close crosses under mini and time >= starttime+1500 and time < endtime then short=1 endif myMA7=average[7](close)   if tradetime and not onmarket then if long=1 and myMA7[1]<myMA7[2] and myMA7>myMA7[1] and Longtradecounter < 1 then     buy positionSize contracts at highest[5](high)+3*pointsize STOP     endif if short=1 and myMA7[1]>myMA7[2] and myMA7<myMA7[1] and Shorttradecounter < 1 then     sellshort positionSize contracts at lowest[5](low)-3*pointsize STOP   endif endif graph longtradecounter   if longonmarket then Longtradecounter=Longtradecounter+1 endif   if shortonmarket then Shorttradecounter=Shorttradecounter+1 endif //if longonmarket and low=lastlo then //sell at low-3*pointsize STOP //endif // //if shortonmarket and high=lasthi then //exitshort at high+3*pointsize STOP //endif           //graphonprice lastcl //graphonprice op //graphonprice lasthi   enablets=1 // mettre à 1 pour activer le trailing stop, sinon 0 ts1=0.15 //trailing stop qui commence une fois que ts1% est atteint, puis quand la perf atteint ts2+ts3, diminué à ts2, puis quand la perf=ts1+ts2, placé à ts3 ts2=0.125 ts3=0.10   if enablets then switch =ts2+ts3 switch2=ts1+ts2 underlaying=100   // underlaying security / index / forex // profittargets and stoploss have to match the lines // not to be optimized // 0.01 forex [i.e. gbpusd=0.01] // 1.00 securities [i.e. aapl=1 ; // 100.00 indexes [i.e. dax=100] // 100=xauusd // 100=cl us crude   trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0 maxprice2=0 minprice2=close priceexit2=0 maxprice3=0 minprice3=close priceexit3=0 a1=0 a2=0 a3=0 pp=0 endif if onmarket then pp=(positionperf*100) if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif // setup long if longonmarket then maxprice1=max(maxprice1,high) maxprice2=max(maxprice2,high) maxprice3=max(maxprice3,high) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if maxprice2-tradeprice(1)>=(trailingstop2)*pointsize then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if maxprice3-tradeprice(1)>=(trailingstop3)*pointsize then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif // setup short if shortonmarket then minprice1=min(minprice1,close) minprice2=min(minprice2,low) minprice3=min(minprice3,low) if a1 then if tradeprice(1)-minprice1>=(trailingstop1)*pointsize then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if tradeprice(1)-minprice2>=(trailingstop2)*pointsize then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if tradeprice(1)-minprice3>=(trailingstop3)*pointsize then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif // exit long if longonmarket then if priceexit1>0 then sell at priceexit1 stop endif if priceexit2>0 then sell at priceexit2 stop endif if priceexit3>0 then sell at priceexit3 stop endif endif // exit short if shortonmarket then if priceexit1>0 then exitshort at priceexit1 stop endif if priceexit2>0 then exitshort at priceexit2 stop endif if priceexit3>0 then exitshort at priceexit3 stop endif endif endif   //displayts=0 // //if displayts and priceexit1<>0 then //graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" //endif //if displayts and priceexit2<>0 then //graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" //endif //if displayts and priceexit3<>0 then //graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" //endif   //SET TARGET %profit 0.12 SET STOP %loss 0.5

   

  

  stefou102

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  06/14/2019 at 7:32 AM #100612
  Nicolas

  @stefou102

  Why not make a quick test on 1M bars with PRT v11? (Dow Jones index).

  

  Nicolas

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  06/15/2019 at 5:19 PM #100760
  stefou102

  Would love to, but I have prt via IG, so no access to v11, and in demo I see only data with TF>day…

   

  

  stefou102

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