1 Min Trading Strategy

juanj · Thu, 13 Jul 2017 11:29:26 +0000

Good Day, I have seen many people asking for a 1 min trading strategy so I decided to make one. I personally don’t like HFT type strategies as the spread can really eat away at profits compared to a nice trend following strategy. The strategy is based on candle formations, along with a Long/Near Moving Average Trend Check and a RSI[2] check. The trigger is made by a Bullish (or Bearish) candle formation and if the MA and RSI checks are valid a position is opened in the direction of the trend. Some candle patterns are counter intuitive and hence some should be commented out (this would require some testing). It is currently configured for long only trades (although the code is included for short trades). I don’t think it is exceptionally effective, but maybe someone here can make something worthwhile out of it. Results on 1min for thr EUR/USD with spread set to 0.8: Defparam cumulateorders = false If longonmarket and close < positionprice and (barindex-tradeindex) > 650 Then Sell at market ElsIf shortonmarket and close > positionprice and (barindex-tradeindex) > 60 then Exitshort at market EndIf body=close-open abody=abs(body) if range>0 then ratio=abody/range else ratio=0 endif middle=(open+close)/2 bodytop=max(open, close) bodybottom=min(open, close) shadowtop=high-bodytop shadowbottom=bodybottom-low longcandle= (ratio>0.6) Bull = 0 Bear = 0 //Bullish Signals MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close) if MorningStar then Bull = 1 //Positive endif PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1]) if PiercingLine then Bull = 1 //None endif AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low) if AbandonedBabyBottom then Bull = 1 //None endif ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1]) if ThreeInsideUp then Bull = 1 //Positive endif ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1]) if ThreeOutsideUp then Bull = 1 //Positive endif ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1]) if ThreeWhiteSoldiers then //Bull = 1 //Increase Drawdown endif ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1]) if ConcealingBabySwallow then Bull = 1 //None endif BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if BullishHarami then //Bull = 1 //Negative Impact endif HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if HomingPigeon then Bull = 1 //None endif BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if BullishEngulfing then Bull = 1 //Positive endif LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if LastEngulfingBottom then Bull = 1 //None endif DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3) if DragonflyDojiBottom then Bull = 1 //None endif GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3) if GravestoneDojiBottom then Bull = 1 //None endif DojiStarBottom=(body[1]<0 AND longcandle[1] AND low<low[1] AND open<close[1] AND ratio<0.3 AND range<0.3*range[1]) if DojiStarBottom then Bull = 1 //None endif BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1]) if BullishHaramiCross then Bull = 1 //None endif ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2] and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4) if ThreeStarsInTheSouth then Bull = 1 //None endif BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3]) if BullishBreakaway then Bull = 1 //None endif Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody) if Hammer then Bull = 1 //None endif InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody) if InvertedHammer then Bull = 1 //None endif RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1]) if RisingThreeMethods then Bull = 1 //None endif BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3]) if BullishThreeLineStrike then Bull = 1 //None endif BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1]) if BullishMatHold then Bull = 1 //None endif BullSash=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>close[1] AND open<open[1] AND close>open[1] AND shadowtop<0.1*abody) if BullSash then Bull = 1 //Positive endif BullSeparatingLine=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop<0.1*abody) if BullSeparatingLine then Bull = 1 //None endif BullishCounterAttack=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND close<=close[1]) if BullishCounterAttack then Bull = 1 //None endif BullishKicking=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop=0 AND shadowbottom=0) if BullishKicking then Bull = 1 //None endif //Bearish Signal EveningStar=(body[2]>0 AND body<0 and longcandle[2] and open[1]>close[2] and open<close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and high[1]>high and high[1]>high[2] and low[1]>open[2] and low[1]>close) if EveningStar then Bear = 1 endif DarkCloudCover=(body[1]>0 and body<0 and longcandle[1] and longcandle and open>high[1] and close<middle[1] and close>open[1]) if DarkCloudCover then Bear = 1 endif AbandonedBabyTop=(body[2]>0 and body<0 and longcandle[2] and ratio[1]<0.3 and low[1]>high[2] and low[1]>high) if AbandonedBabyTop then Bear = 1 endif ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and bearishharami[1] and close<close[1]) if ThreeInsideDown then Bear = 1 endif ThreeOutsideDown=(body[2]>0 and body[1]<0 and body<0 and bearishengulfing[1] and close<close[1]) if ThreeOutsideDown then Bear = 1 endif ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1]) if ThreeBlackCrows then Bear = 1 endif UpsideGapTwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and bodytop>bodytop[1] and bodybottom<bodybottom[1] and close>close[2]) if UpsideGapTwoCrows then Bear = 1 endif BearishHarami=(body[1]>0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if BearishHarami then Bear = 1 endif DescendingHawk=(body[1]>0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if DescendingHawk then Bear = 1 endif BearishEngulfing=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if BearishEngulfing then Bear = 1 endif LastEngulfingTop=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if LastEngulfingTop then Bear = 1 endif DragonflyDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3) if DragonflyDojiTop then Bear = 1 endif GravestoneDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>3*abody and shadowbottom<shadowtop/3) if GravestoneDojiTop then Bear = 1 endif DojiStarTop=(body[1]>0 AND longcandle[1] AND high>high[1] AND open>close[1] AND ratio<0.3 AND range<0.3*range[1]) if DojiStarTop then Bear = 1 endif BearishHaramiCross=(body[1]>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1]) if BearishHaramiCross then Bear = 1 endif AdvanceBlock=(body[2]>0 and body[1]>0 and body>0 and high[2]<high[1] and high[1]<high and open[1]>bodybottom[2] and open[1]<bodytop[2] and open>bodybottom[1] and open<bodytop[1] and abody[1]<abody[2] and abody<abody[1]) if AdvanceBlock then Bear = 1 endif TwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and close[1]>close[2] and open<bodytop[1] and open>bodybottom[1] and close<bodytop[2] and close>bodybottom[2]) if TwoCrows then Bear = 1 endif BearishBreakaway=(body[4]>0 and body[3]>0 and body<0 and open[3]>close[4] and close[2]>close[3] and close[1]>close[2] and longcandle and close>close[4] and close<open[3]) if BearishBreakaway then Bear = 1 endif ShootingStar=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>2*abody and shadowbottom<0.3*abody) if ShootingStar then Bear = 1 endif HangingMan=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>2*abody and shadowtop<0.3*abody) if HangingMan then Bear = 1 endif FallingThreeMethods=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and longcandle and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1]) if FallingThreeMethods then Bear = 1 endif BearishThreeLineStrike=(body[3]<0 and body[2]<0 and body[1]<0 and body>0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]<close[3] and close[1]<close[2] and open<close[1] and close>open[3]) if BearishThreeLineStrike then Bear = 1 endif BearishMatHold=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and close[3]<close[4] and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1]) if BearishMatHold then Bear = 1 endif BearSash=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open>open[1] AND open<close[1] AND close<open[1] AND shadowbottom<0.1*abody) if BearSash then Bear = 1 endif BearSeparatingLine=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open<=open[1] AND shadowbottom<0.1*abody) if BearSeparatingLine then Bear = 1 endif BearishCounterAttack=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND close>=close[1]) if BearishCounterAttack then Bear = 1 endif BearishKicking=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open<=open[1] AND shadowtop=0 AND shadowbottom=0) if BearishKicking then Bear = 1 endif //Entry/Exit Criteria possize = 1 NearMA = Average[7,2](close) If countofposition = 0 and Bull = 1 and NearMA[1] > NearMA[3] and RSI[2](close) > 75 and NearMA > Average[150,2](close) Then //If shortonmarket Then //Exitshort at market //EndIf Buy possize contract at market EndIf If countofposition = 0 and Bear = 1 and NearMA[1] < NearMA[3] and RSI[2](close) < 25 and NearMA < Average[150,2](close) Then //If longonmarket Then //Sell at market //EndIf //Sellshort possize contract at market EndIf Set Target pProfit 8 Set Stop pLoss 100

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09/26/2017 at 10:13 AM #47378

raphaelopilski

WORKS!!! PERFECT!!! Thank you!!

I will give you guys Information after runnig it a while.

raphaelopilski
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09/26/2017 at 10:15 AM #47380

mamio

@raphaelopilski Please sumbmit the complete code. I can’t get it to run.

mamio
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09/26/2017 at 10:21 AM #47381

raphaelopilski

//————————————————————————-
// Hauptcode : LongONLY
//————————————————————————-
//————————————————————————-
// Hauptcode : Long ONLY
//————————————————————————-
//Stategy: Scalping Candles
//Market: DAX
//Timeframe: 1min
//Spread: 1
//Author: Juan Jacobs (Jd3gjacobs@gmail.com)

// Définition des paramètres du code
DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 090000
DEFPARAM FLATAFTER = 220000
noEntryBeforeTime = 090000
timeEnterBefore = time >= noEntryBeforeTime
noEntryAfterTime = 173000
timeEnterAfter = time < noEntryAfterTime
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

SL = 50 // 50
TP = 55 // 55
TS = 10 // 10

If longonmarket and close < positionprice and (barindex-tradeindex) > 650 Then
Sell at market
ElsIf shortonmarket and close > positionprice and (barindex-tradeindex) > 60 then
Exitshort at market
EndIf

body=close-open
abody=abs(body)
if (range+0.0000001)>0 then
ratio=abody/(range+0.0000001)
else
ratio=0
endif

middle=(open+close)/2
bodytop=max(open, close)
bodybottom=min(open, close)
shadowtop=high-bodytop
shadowbottom=bodybottom-low
longcandle= (ratio>0.6)

Bull = 0

//Bullish Signals

MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close)
if MorningStar then
Bull = 1 //Positive

endif

PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1])
if PiercingLine then
Bull = 1 //None
endif

AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low)
if AbandonedBabyBottom then
Bull = 1 //None
endif

ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1])
if ThreeInsideUp then
Bull = 1 //Positive
endif

ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1])
if ThreeOutsideUp then
Bull = 1 //Positive
endif

ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1])
if ThreeWhiteSoldiers then
//Bull = 1 //Increase Drawdown
endif

ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1])
if ConcealingBabySwallow then
Bull = 1 //None
endif

BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
if BullishHarami then
//Bull = 1 //Negative Impact
endif

HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
if HomingPigeon then
Bull = 1 //None
endif

BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if BullishEngulfing then
Bull = 1 //Positive
endif

LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if LastEngulfingBottom then
Bull = 1 //None
endif

DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
if DragonflyDojiBottom then
Bull = 1 //None
endif

GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
if GravestoneDojiBottom then
Bull = 1 //None
endif

DojiStarBottom=(body[1]<0 AND longcandle[1] AND low<low[1] AND open<close[1] AND ratio<0.3 AND range<0.3*range[1])
if DojiStarBottom then
Bull = 1 //None
endif

BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
if BullishHaramiCross then
Bull = 1 //None
endif

ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2] and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4)
if ThreeStarsInTheSouth then
Bull = 1 //None
endif

BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3])
if BullishBreakaway then
Bull = 1 //None
endif

Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
if Hammer then
Bull = 1 //None
endif

InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
if InvertedHammer then
Bull = 1 //None
endif

RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
if RisingThreeMethods then
Bull = 1 //None
endif

BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3])
if BullishThreeLineStrike then
Bull = 1 //None
endif

BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
if BullishMatHold then
Bull = 1 //None
endif

BullSash=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>close[1] AND open<open[1] AND close>open[1] AND shadowtop<0.1*abody)
if BullSash then
Bull = 1 //Positive
endif

BullSeparatingLine=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop<0.1*abody)
if BullSeparatingLine then
Bull = 1 //None
endif

BullishCounterAttack=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND close<=close[1])
if BullishCounterAttack then
Bull = 1 //None
endif

BullishKicking=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop=0 AND shadowbottom=0)
if BullishKicking then
Bull = 1 //None
endif

If hour = 1 Then

Trade = 0 //resets the variable every morning

EndIf

If Trade = 0 Then

positionsize = 1 //the day will always start allowing the first trade

ElsIf Trade >= 2 and positionperf(1) > 0 and positionperf(2) > 0 Then

positionsize = 0

EndIf

//Entry/Exit Criteria
NearMA = Average[7,2](close)
If countofposition = 0 and Bull = 1 and NearMA[1] > NearMA[3] and RSI[2](close) > 60 and NearMA > Average[150,2](close) and timeEnterBefore and timeEnterAfter and not daysForbiddenEntry Then
//If shortonmarket Then
//Exitshort at market
//EndIf
Buy positionsize contract at market
Trade=Trade+1
EndIf

If countofposition = 0 and NearMA[1] < NearMA[3] and RSI[2](close) < 25 and NearMA < Average[150,2](close)and timeEnterBefore and timeEnterAfter and not daysForbiddenEntry Then
//If longonmarket Then
//Sell at market
//EndIf
//Sellshort positionsize contract at market
EndIf

//trailing stop
trailingstop = TS
if not onmarket then
MAXPRICE = 0
priceexit = 0
endif

//LONG order
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade
if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE – trailing stop price level
endif
endif

//exit on trailing stop price levels
if onmarket and priceexit>0 then
EXITSHORT AT priceexit STOP
SELL AT priceexit STOP
endif

Set Target pProfit TP
Set Stop pLoss SL

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mamio

raphaelopilski
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09/26/2017 at 12:28 PM #47386

Despair

@Juanj: I see there in your code commands like:

x=average[7,2](close)

I’m not familiar with this notation. What does the second parameter in the first bracket stand for. 7 is the period of the MA but what is this ,2 after the 7?

Despair
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09/26/2017 at 1:01 PM #47391

juanj

It’s the Moving Average Type

0 = Simple
1 = Exponential
2 = Weighted
3 = Wilder’s Smoothed
4 = Triangular
5 = End Point
6 =Time Series.

1 user thanked author for this post.

Despair

juanj
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09/26/2017 at 4:01 PM #47417

Despair

Results improve significantly if you omit trades on both mondays and thursdays. This is for the dax.

Despair
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09/26/2017 at 4:12 PM #47418

juanj

Interesting. Wonder why that would be.

I use to optimize all my strategies to only run on certain days (based on backtesting) but it always seemed to only work for a little while as the market ‘no-no’ days seem to change over time.

But suppose if you use WF and only a fraction of your data to confirm the bias it might be more relevant going forward.

juanj
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09/26/2017 at 4:30 PM #47420

Despair

I ran several OOS-tests with it and the bias was confirmed. Of course our history for 1min is so little that the bias can vanish whenever. At least it persisted to all history we have.

A german analyst I once had a chat with had the option that the Dax is always searching for its direction on mondays and usually tests on mondays both highs and lows. This would make the market prone to intraday reversals on mondays which than would cause losing trades.

This would be an attempt to explain why mondays are bad days but when I tested thursday were the worse (even worse than mondays) and actually the only weekday that lost money on average, mondays had a tiny plus (0.06%). For thursdays I have no explanation. But well, we don’t have to understand it to be able to trade it. 😛

Despair
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09/26/2017 at 5:54 PM #47426

reb

@raphaelopilski

Hallo

When I try to test the version you posted #47381 for DAX, strategy doesn’t take any position.

Do you know where the issue could be ?

Danke im Voraus

Reb

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09/26/2017 at 7:30 PM #47432

Despair

Has anybody made the short side work for this?

Despair
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09/26/2017 at 10:53 PM #47440

Huw

Hi everyone. Has anyone tried using a moving average of daily highs and lows as entry criteria for long or short trades? Example take the highest daily high of a long number of periods (roughly 10000) then take a moving average of this. If the price is above this then we know on a higher time frame the trend should be upwards.

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09/27/2017 at 10:33 AM #47478

Despair

Open a new thread and give it a try.

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09/27/2017 at 12:28 PM #47497

Inertia

Short version doesn’t work…

I tried several things but nothing appeared to be good enough… (EMA filter, differents TF, filtered by days etc…)

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09/27/2017 at 12:32 PM #47498

juanj

I think if you are really determined to get the short side working, start by disabling all the bearish candle setups (//Bear = 1) and then enable them one by one, keeping only those that improve performance above the long-only version. Not all candlestick patterns are created equally. Maybe you stumble upon 2 or 3 that actually give good high-quality triggers.

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Andre Vorster

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09/27/2017 at 12:45 PM #47499

Inertia

Ok Boss…Let’s see…I will post the best result I’ll manage to get. Thx

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Andre Vorster

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