I would like to share a simple intraday strategy with CAC40, but adaptable also with Ftse100 and Eurostoxx.
Improvements and suggestions are welcome, as well as long term backtesting (I get to 100k units)
Main points:
- 1-minute chart
- The code works on the 1-hour timeframe to calculate the highs and lows
- The code works on the 30-minute(long) and 15-minute(short) timeframe to handle the trailing stop
- The trade still closes by 10 p.m.
There are two codes, one for LONG and one for SHORT.
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DEFPARAM CumulateOrders = False DEFPARAM FLATAFTER = 220000 Timeframe (1 Hour, Updateonclose) //Once $MAXI[0] = High //Once $mini[0] = Low Once COMPRA = High //Timeframe (1 Hour, Updateonclose) Timeframe (1 Hour, Updateonclose) IF Time = 080000 AND not OnMarket THEN COMPRA = Highest[7](high[1]) + 5*pipsize BUY 1 CONTRACT AT COMPRA STOP ENDIF //ENDIF Timeframe (30 minutes, Updateonclose) SET STOP pLOSS 70 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop //------------------------------------------------------------------------------------ IF Not OnMarket THEN TrailStart = 10 //10 Start trailing profits from this point BasePerCent = 0.100 //10.0% Profit to keep StepSize = 6 //6 Pips chunks to increase Percentage PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds to Lower integer, +0.4 rounds to Higher integer PriceDistance = 7 * pipsize//8.9 minimun distance from current price y1 = 0 y2 = 0 ProfitPerCent = BasePerCent ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if N+ pips Diff1 = abs(TrailStart - x1) Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if N+ pips Diff2 = abs(TrailStart - x2) Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y>0 SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y>0 ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIF SET STOP pLOSS 70 |
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DEFPARAM CumulateOrders = False DEFPARAM FLATAFTER = 220000 Timeframe (1 Hour, Updateonclose) //Once $MAXI[0] = High //Once $mini[0] = Low Once VENDI = Low //Timeframe (1 Hour, Updateonclose) Timeframe (1 Hour, Updateonclose) IF Time = 090000 AND not OnMarket THEN VENDI = Lowest[7](low[1]) - 5*pipsize SELLSHORT 1 CONTRACT AT VENDI STOP ENDIF Timeframe (15 minutes, Updateonclose) SET STOP pLOSS 70 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop //------------------------------------------------------------------------------------ IF Not OnMarket THEN TrailStart = 10 //10 Start trailing profits from this point BasePerCent = 0.100 //10.0% Profit to keep StepSize = 6 //6 Pips chunks to increase Percentage PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds to Lower integer, +0.4 rounds to Higher integer PriceDistance = 7 * pipsize//8.9 minimun distance from current price y1 = 0 y2 = 0 ProfitPerCent = BasePerCent ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if N+ pips Diff1 = abs(TrailStart - x1) Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if N+ pips Diff2 = abs(TrailStart - x2) Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y>0 SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y>0 ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIF SET STOP pLOSS 70 |
Saluti.
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Hi Stanko,
thanks to share your strategy, I’m currently testing live, 2 things first trailing stop not working, and second it start long positon today and at 9am had notification that short stratedy failed.
Ciao Crusoe76, questa mattina alle ore 8 il mio sistema ha aperto una posizione Long a 7.352,30 ed attualmente la posizione è ancora aperta senza aver ricevuto notifiche. Forse stai testando LARRY CONNOR? Buona giornata
Ciao sto testando su uk100 e su cac40. Tutti e due sistemi hanno aperto long alle 8am, poi alle 9am ho ricevuo due notifiche che i due sistemi short erano stoppati. Su tutti e due i sistemi long il trailing stop si e attivato per poi tornare alla posizione iniziale. Il cac40 long e ancora aperto,mentre il uk100 era con un 40 punti di profitto e poi il sitema l’ha chiuso con 3 punti di profitto. Non sono sicuro che il trailing stop funzioni bene.
Grazie mille
Ciao Crusoe, grazie per il commento: confermo che il trailing stop non funziona bene. Provo a chiedere aiuto a Roberto o Nicolas. Buona giornata.
I was wondering, you said it works on the 1 min Chart, but you never use it in the code as timeframe. Does it in a one minute intervall trigger the other timeframes too? Even if they have UpdateOnClose? I Checked your exists and entries, all are on 15,30,45,00 for short and 00,30 for long.
Ciao taklause. Utilizzando il grafico a 1 minuto e fino al grafico a 15 minuti il codice funziona regolarmente sia nella versione Long che Short. Nello specifico la versione Long può essere usata solo con grafici da 1 fino a 30 minuti perchè il trailing stop è settato a 30 minuti. La versione Short può essere usata solo con grafici da 1 a 15 minuti perchè il trailing stop è settato a 15 minuti.
Il motivo di questa differenza tra le due versioni è solo per un tentativo di ottimizzazione del codice.