here is the same strategy (other one can be found here) with the parameters adapted to follow the movements of the shares of the famous JP Morgan Chase bank.
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//------------------------------------------------------------------------- // Codice principale : Universal XBody Strategy //------------------------------------------------------------------------- //Universal XBody STrategy // instrument: Jp Morgan Chase // timeframe : Daily // Spread: 0.3 // created and coded by davidelaferla //————————————————————————- //------------------------------------------------------------------------- defparam cumulateorders=false //*********************************************************************************************************** //------------------ SYSTEM VARIABLES--------------------------------------- //CAC40 Values: -------------------------------------------- Ottimization info period=578// Optimize best value for each Symbol, range=1-1000, with step=1 mode=2// Optimize the best trading mode , range=1-4, with step=1 invertsignal=1// 1=positive signal, -1=negative signal, range=-1-1, with step=2 //*********************************************************************************************** //------------------ SYSTEM FILTER--------------------------------------- filter1=46// to set after the variable optimization, range=1-100, with step=1 filter2=1// to set after the variable optimization, range=1-100, with step=1 //------------------ INDICATOR --------------------------------------- n=5 giorno=opendayofweek body=close-open var=(body-body[1]) sumvar=summation[period](var) if sumvar>filter1*pipsize then green=(sumvar) endif if sumvar<-filter2*pipsize then red=(sumvar) endif if mode=1 then c1=red<red[1] c2=green>green[1] endif if mode=2 then c1=red>red[1] c2=green<green[1] endif if mode=3 then c1=red<red[1] c2=green<green[1] endif if mode=4 then c1=red>red[1] c2=green>green[1] endif if c1 then signal=1*invertsignal elsif c2 then signal=-1*invertsignal endif // Conditions for entering long positions and exit short positions IF signal>0 and opendayofweek<5 then BUY n contract AT market ENDIF // Conditions for entering short positions and exit long positions IF signal<0 and opendayofweek<5 THEN SELLSHORT n CONTRACTs AT market ENDIF |
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you cant really use 0.3 spread since u got like 5 or 15 dollars cost when you open and close a postion on action . So your backtest isnt actually good .
Hello, how is it possible to optimized the 3 parameters (period, filter1 and filter2) at the same time because combinations number is over than 10000 ? Thank you.
Follow these instructions: first optimize the period and the mode (leaving invertsignal=1 ) , and then optimize filters 1 and 2
Hello daviddelaferla. Ok, but to optimize period and mode, filter1 and filter2 must be 0 or 1, or… ? Thank you
Hello YvesRobert! To optimize period and mode, filter1 and filter2 must be 0
hello, thx for sharing,
but wich broker do you use?
At IG I got the notification “automatic trading not allowed for this instrument”
thanks
Hi Davide,
You have done a great job: I modified a bit your strategy for Nasdaq, and now I am in automatic trading with it.
Musiar können sie den code des automatischen systems teilen.