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02/23/2023 at 3:43 PM
#210286
Le condizioni di uscita cis sono già, lo Stop Loss, il Take Profit e lo Stop & Reverse, oltre al trailing stop. Non ho idea a quali condizioni ti riferisci.
Per il trailing stop basta aggiungere, alla fine (prima di GRAPH), le righe che hai postato. Questo è il codice completo:
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// Simulated Tradesx // // https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/ // defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 shortsignal = average[7] crosses under average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later elsif not shortonmarket and shortsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market shortontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 elsif not shortontrading and shortsignal then openprice=close //fake order open price shortontrading=1 //we are now on market longontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1] and not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy plotShort = 0 else plotShort = 0.01 //this value might be changed, depending of the strategy plotLong = 0 endif // //****************************************************************************** //trailing stop function IF NOT ONMARKET THEN TrailingStart = 20//sp //20 trailing will start @trailinstart points profit TrailingStep = 5 //ts //5 trailing step to move the "stoploss" Distance = 7 //pk //7 pips Distance from caurrent price (if required by the broker) PointsToKeep = 1 //1 pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND high-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-low>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF ENDIF //****************************************************************************** //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(0,155,0) //plot the fake orders activation |
