Hi all,
This is a modification to Gap trading Catcher.
It uses Mid-level day indicator and Williams’ 3 bar trailing stop.
Tested on AEX25, 2 minutes timeframe, 200k backtest, spread 0.1
Optimised p1 and p2 in range 1 to 7
Exit positions are made with the help of the Williams 3 bars trailing stop indicator found here:
https://www.prorealcode.com/prorealtime-indicators/williams-3-bar-trailing-stop/
If criteria are met it enters 9u am. Keeps positions overnight but closes at Friday 22u pm.
The strategy takes a while to load.
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//------------------------------------------------------------------------- // Main code : GapCatcherMLD_W //------------------------------------------------------------------------- // common rules DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 //DEFPARAM FLATBEFORE = 100000 //DEFPARAM FLATAFTER = 200000 // time rules ONCE entertime = 090000 ONCE lasttime = 090000 ONCE closetime = 240000 //because of 240000 it doesn't close the position ONCE closetimefriday=220000 tt1 = time >= entertime tt2 = time <= lasttime tradetime = tt1 and tt2 // positionsize and stops positionsize=2 sl=0.66 // % stoploss ts=0.33 // % trailingstop // setup number of trades intraday if IntradayBarIndex = 0 then longtradecounter = 0 Shorttradecounter = 0 endif // trade criteria lc = tradetime and countoflongshares < 1 and longtradecounter < 1 sc = tradetime and countofshortshares < 0 and shorttradecounter < 1 // indicator p1=6 //6 p2=5 //5 ref=CALL "3 bars trailing stop Williams" // MID-LEVEL 1 DAY : md1 md1 = (DHigh(1) + DLow(1) ) / 2 // MID-LEVEL 3 DAYS : md3 Newhigh = 0 For i = 1 to p1 do IF Dhigh(i) > Newhigh THEN Newhigh = Dhigh(i) ENDIF NEXT Newlow = 1000000000000 // = valeur infinie For i = 1 to p1 do IF Dlow(i) < Newlow THEN Newlow= Dlow(i) ENDIF NEXT md3 = (Newhigh + Newlow) /2 // MID-LEVEL 5 DAYS : md5 Newhigh = 0 For i = 1 to p2 do IF Dhigh(i) > Newhigh THEN Newhigh = Dhigh(i) ENDIF NEXT Newlow = 1000000000000 For i = 1 to p2 do IF Dlow(i) < Newlow THEN Newlow= Dlow(i) ENDIF NEXT md5 = (Newhigh + Newlow) /2 amplitude = 0 detector = 0 // market BELOW previous day close [ BUY ] if close < md3 and md1<md5 then if (abs((high-low[1]) / low[1]) > amplitude) then detector = 1 endif endif // market ABOVE previous day close [ SELL ] if close > md3 and md1>md5 then if (abs((low-high[1]) /high[1]) > amplitude) then detector = -1 endif endif // long entry if lc and detector=1 then buy positionsize lot at market longtradecounter=longtradecounter + 1 endif // short entry if sc and detector=-1 then sellshort positionsize lot at market shorttradecounter=shorttradecounter + 1 endif // trailing stop If onmarket and (positionperf*100) >= ts then profittake=1 elsif not onmarket then profittake=0 endif // exit long if longonmarket then if detector=-1 and low[1] > ref[1] and high<ref then sell at market elsif profittake=1 and low[1] > ref[1] and high<ref then sell at market endif endif // exit short if shortonmarket then if detector=1 and high[1] < ref[1] and low>ref then exitshort at market elsif profittake=1 and high[1] < ref[1] and low>ref then exitshort at market endif endif // exit all If onmarket then if time >= closetime then sell at market exitshort at market elsif (CurrentDayOfWeek=5 and time>=closetimefriday) then sell at market exitshort at market endif endif SET STOP %LOSS sl //GRAPH 0 coloured(300,0,0) AS "zeroline" //GRAPH (positionperf*100)coloured(0,0,0,255) AS "PositionPerformance" |
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Filename : download the ITF files
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Hi Paul, thank you for your code. There are not so many trading strategies for AEX25 around here 🙂
The strategy takes a while to load because of all these unnecessary FOR/NEXT loops in your code, this could be optimized to a few lines and increase the speed of calculation.
First impressions, looks great, backtests well across a number of markets, great on nikei. Only seems to take long trades, can’t see why?
thnx nicolas, will take that advise and see if I can improve the speed.
mrripley99, set countofshortshares < 0 to 1. It can do both long and short same time, or do it separately.
Thanks Paul
Hi Paul, Thank you for your code. I have tested it on several pairs and noticed that it never opens short positions although there is code for it?
Duh. Should learn to read above post :p
It seems that after publishing it started drawdown.
Please forgive the daft question, but why is 3-bars-trailing-stop-williams-3.itf included as an attachment in the OP when CALL “3 bars trailing stop Williams” (no -3) is used in the code??
Hi,
Seems great but what would be the code for a stock ?
Thanks,
Chirs
Paul, what is the best way in your opinion to know if I have over optimized?