3 Candle Strategy

Marc · Wed, 25 Jul 2018 11:20:31 +0000

Hi together, here is another system which works like bullish / bearish harami pattern. In the End for a long position 3 lower highs and lower lows have to follow immediately. Close of current candle must be higher than open if first candle is bearish or close of current candle must be higher if first candle is bullish. TP is high of first candle. For Short vice versa. Perhaps somebody can check if this code seems to be okay? DEFPARAM CumulateOrders = False //Buy-Condition l1: Kerze vor 3 Perioden muss bullish sein und es müssen 3 Kerzen mit tieferen Hochs und tieferen Tiefs folgen und der Schlusskurs der vorherigen Kerze muss größer sein als der Schlusskurs der ersten Kerze l1 = OPEN[3] < CLOSE[3] AND High[3] > High [2] AND High[2] > High[1] AND Low[3] > Low[2] AND Low[2] > Low[1] AND Close[1] >= Close[3] //Buy-Condition l2: Kerze vor 3 Perioden muss bearish sein und es müssen 3 Kerzen mit tieferen Hochs und tieferen Tiefs folgen und der Schlusskurs der vorherigen Kerze ist größer als das Open der ersten Kerze l2 = OPEN[3] > CLOSE[3] AND High[3] > High [2] AND High[2] > High[1] AND Low[3] > Low[2] AND Low[2] > Low[1] AND Close[1] >= Open[3] //Sell-Condition s1: Kerze vor 3 Perioden muss bullish sein und es müssen 3 Kerzen mit höheren Hochs und höheren Tiefs und der SK der vorherigen Kerze ist kleiner als der SK's der ersten Kerze, wenn der SK von Kerze 1 kleiner als das Close ist s1 = OPEN[3] < CLOSE[3] AND High[3] < High [2] AND High[2] < High[1] AND Low[3] < Low[2] AND Low[2] < Low[1] AND Close[1] <= Close[3] //Sell-Condition s2: Kerze vor 3 Perioden muss bearish sein und es müssen 3 Kerzen mit höheren hoch und hheren Tiefs und der SK der vorherigen Kerze ist kleiner als der SK's der ersten Kerze, wenn der SK von Kerze 1 kleiner als das Close ist s2 =OPEN[3] > CLOSE[3] AND High[3] < High [2] AND High[2] < High[1] AND Low[3] < Low[2] AND Low[2] < Low[1] AND Close[1] <= Open[3] //Kauforder zur Eröffnung der nächsten Kerze wenn Konditionen l1 oder l2 erfüllt sind IF l1 OR l2 THEN BUY 1 SHARES AT MARKET NextBarOpen ENDIF //Verkauforder zur Eröffnung der nächsten Kerze wenn Konditionen s1 oder s2 erfüllt sind IF s1 OR s2 THEN SELLSHORT 1 SHARE AT MARKET NextBarOpen ENDIF //TP und SL-Definition SET TARGET %Profit 1 SET STOP %Loss 1

This topic has 82 replies, 6 voices, and was last updated 4 years ago by Regan2020.

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08/03/2018 at 4:45 PM #77491

Vonasi

This is how they are indexed in a strategy:

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Marc

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08/06/2018 at 12:11 PM #77628

Marc

Good Day to you,

I think that code is now correct. can someone prrof this according to the systemrules? I think there could be an issue with SL and TP.

Thank you Marc

DEFPARAM CumulateOrders = false
 
//Buy-Condition l1 Exapmle (For daily): Candle from monday is bullish and followed by 2 candles with lower highs and lower lows. Close of current candle (wednesday-candle) is higher than close of monday candle
l1 = OPEN[2] < CLOSE[2] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Close[2]
 
//Buy-Condition l2 Exapmle (For daily): Candle of monday is bearish and followed by 2 candles with lower highs and lower lows. Close of current candle (wednesday-candle) is higher than open of monday candle
l2 = OPEN[2] > CLOSE[2] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Open[2]
 
//Sell-Condition s1 Exapmle (For daily): Candle of monday is bullish and followed by 2 candles with higher highs and higher lows. Close of current candle (wednesday-candle) is lower than close of monday candle
s1 = OPEN[2] < CLOSE[2] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

//Sell-Condition s2 Exapmle (For daily): Candle of monday is bearish and followed by 2 candles with higher highs and higher lows. Close of current candle (wednesday-candle) is lower than open of monday candle
s2 =OPEN[2] > CLOSE[2] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]
 
//Buy @ open of nextcandle if condition l1 or l2 is met
IF l1 OR l2 AND Not OnMarket THEN       //Not OnMarket will prevent SL & TP to be recalculated
SL = (open - low[1])                //difference between current price and LOW of candle 1
TP = (high[2] - open)               //difference between the HIGH of candle 2 and current price (a lower current price is assumed)
BUY 1 SHARES AT MARKET //MarketOrder
SET STOP   LOSS   SL
SET TARGET PROFIT TP
ENDIF
 
//Sell @ open of nextcandle if condition s1 or s2 is met
IF s1 OR s2 AND Not OnMarket THEN      //Not OnMarket will prevent SL & TP to be recalculated
SL = (high[1] - open)              //difference between current price and HIGH of candle 1
TP = (open - low[2])               //difference between the LOW of candle 2 and current price (a higher current price is assumed)
SELLSHORT 1 SHARE AT MARKET //MarketOrder
SET STOP   LOSS   SL
SET TARGET PROFIT TP
ENDIF

DEFPARAM CumulateOrders = false

//Buy-Condition l1 Exapmle (For daily): Candle from monday is bullish and followed by 2 candles with lower highs and lower lows. Close of current candle (wednesday-candle) is higher than close of monday candle

l1 = OPEN[2] < CLOSE[2] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Close[2]

//Buy-Condition l2 Exapmle (For daily): Candle of monday is bearish and followed by 2 candles with lower highs and lower lows. Close of current candle (wednesday-candle) is higher than open of monday candle

l2 = OPEN[2] > CLOSE[2] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Open[2]

//Sell-Condition s1 Exapmle (For daily): Candle of monday is bullish and followed by 2 candles with higher highs and higher lows. Close of current candle (wednesday-candle) is lower than close of monday candle

s1 = OPEN[2] < CLOSE[2] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

//Sell-Condition s2 Exapmle (For daily): Candle of monday is bearish and followed by 2 candles with higher highs and higher lows. Close of current candle (wednesday-candle) is lower than open of monday candle

s2 =OPEN[2] > CLOSE[2] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

//Buy @ open of nextcandle if condition l1 or l2 is met

IF l1 OR l2 AND Not OnMarket THEN //Not OnMarket will prevent SL & TP to be recalculated

SL = (open - low[1]) //difference between current price and LOW of candle 1

TP = (high[2] - open) //difference between the HIGH of candle 2 and current price (a lower current price is assumed)

BUY 1 SHARES AT MARKET //MarketOrder

SET STOP LOSS SL

SET TARGET PROFIT TP

ENDIF

//Sell @ open of nextcandle if condition s1 or s2 is met

IF s1 OR s2 AND Not OnMarket THEN //Not OnMarket will prevent SL & TP to be recalculated

SL = (high[1] - open) //difference between current price and HIGH of candle 1

TP = (open - low[2]) //difference between the LOW of candle 2 and current price (a higher current price is assumed)

SELLSHORT 1 SHARE AT MARKET //MarketOrder

SET STOP LOSS SL

SET TARGET PROFIT TP

ENDIF

Marc

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08/06/2018 at 1:36 PM #77632

robertogozzi

It works, but I cannot tell if it’s working fine, I dod not check the patterns.

I checked SL & TP and sometimes they’re huge, sometimes very close to the minimun requirements!

The main isssue is the very few trades opened, on DAX daily just 3 in 8 years!

It’s for sure good practice to improve your know-how.

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Marc

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08/06/2018 at 3:01 PM #77650

Marc

I think that the patterns are still not correct recognized…I have to filter this out -.-
It’s a lot of workd for such a simple system…

Rgsd

Marc

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08/06/2018 at 3:37 PM #77654

Marc

Recognition of patterns seems to be okay, but setting up of TP and SL is curious…

Marc

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08/06/2018 at 3:42 PM #77656

robertogozzi

Try using ATR, searching this forum will allow you to find many examples about it.

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08/08/2018 at 1:34 PM #77767

Marc

I will do and check out if there are some possibilities how tp play with ATR

Marc

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08/08/2018 at 2:24 PM #77774

Marc

Another example with ATR-based SL and TP calculation

DEFPARAM CumulateOrders = false
 
//Buy-Condition
l1 = OPEN[2] > CLOSE[2] AND OPEN[1] > CLOSE[1] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Close[2]
 
//Sell-Condition
s1 = OPEN[2] < CLOSE[2] AND OPEN[1] < CLOSE[1] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

 
//Buy @ open of nextcandle if condition l1 is met
IF l1 AND Not OnMarket THEN       //Not OnMarket will prevent SL & TP to be recalculated
SL = TP               //difference between current price and LOW of candle 1
TP = (AverageTrueRange[x]((open+close+low+high)/4))*2               //difference between the HIGH of candle 2 and current price (a lower current price is assumed)
BUY 1 SHARES AT MARKET //MarketOrder
SET STOP   LOSS   SL
SET TARGET PROFIT TP
ENDIF
 
//Sell @ open of nextcandle if condition s1 is met
IF s1 AND Not OnMarket THEN      //Not OnMarket will prevent SL & TP to be recalculated
SL = TP              //difference between current price and HIGH of candle 1
TP = (AverageTrueRange[x]((open+close+low+high)/4))*2              //difference between the LOW of candle 2 and current price (a higher current price is assumed)
SELLSHORT 1 SHARE AT MARKET //MarketOrder
SET STOP   LOSS   SL
SET TARGET PROFIT TP
ENDIF

DEFPARAM CumulateOrders = false

//Buy-Condition

l1 = OPEN[2] > CLOSE[2] AND OPEN[1] > CLOSE[1] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Close[2]

//Sell-Condition

s1 = OPEN[2] < CLOSE[2] AND OPEN[1] < CLOSE[1] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

//Buy @ open of nextcandle if condition l1 is met

IF l1 AND Not OnMarket THEN //Not OnMarket will prevent SL & TP to be recalculated

SL = TP //difference between current price and LOW of candle 1

TP = (AverageTrueRange[x]((open+close+low+high)/4))*2 //difference between the HIGH of candle 2 and current price (a lower current price is assumed)

BUY 1 SHARES AT MARKET //MarketOrder

SET STOP LOSS SL

SET TARGET PROFIT TP

ENDIF

//Sell @ open of nextcandle if condition s1 is met

IF s1 AND Not OnMarket THEN //Not OnMarket will prevent SL & TP to be recalculated

SL = TP //difference between current price and HIGH of candle 1

TP = (AverageTrueRange[x]((open+close+low+high)/4))*2 //difference between the LOW of candle 2 and current price (a higher current price is assumed)

SELLSHORT 1 SHARE AT MARKET //MarketOrder

SET STOP LOSS SL

SET TARGET PROFIT TP

ENDIF

Marc

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08/08/2018 at 2:53 PM #77776

Marc

With more variables

DEFPARAM CumulateOrders = false

TPL = (AverageTrueRange[TPLATR]((open+close+low+high)/4))*TPLMOD
SLL = (AverageTrueRange[SLLATR]((open+close+low+high)/4))*SLLMOD

TPS = (AverageTrueRange[TPSATR]((open+close+low+high)/4))*TPSMOD
SLS = (AverageTrueRange[SLSATR]((open+close+low+high)/4))*SLSMOD
 
//Buy-Condition
l1 = OPEN[2] > CLOSE[2] AND OPEN[1] > CLOSE[1] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Close[2]
 
//Sell-Condition
s1 = OPEN[2] < CLOSE[2] AND OPEN[1] < CLOSE[1] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

 
//Buy @ open of nextcandle if condition l1 is met
IF l1 AND Not OnMarket THEN
BUY 1 SHARES AT MARKET //MarketOrder
SET STOP   LOSS   SLL
SET TARGET PROFIT TPL
ENDIF
 
//Sell @ open of nextcandle if condition s1 is met
IF s1 AND Not OnMarket THEN
SELLSHORT 1 SHARE AT MARKET //MarketOrder
SET STOP   LOSS   SLS
SET TARGET PROFIT TPS
ENDIF

DEFPARAM CumulateOrders = false

TPL = (AverageTrueRange[TPLATR]((open+close+low+high)/4))*TPLMOD

SLL = (AverageTrueRange[SLLATR]((open+close+low+high)/4))*SLLMOD

TPS = (AverageTrueRange[TPSATR]((open+close+low+high)/4))*TPSMOD

SLS = (AverageTrueRange[SLSATR]((open+close+low+high)/4))*SLSMOD

//Buy-Condition

l1 = OPEN[2] > CLOSE[2] AND OPEN[1] > CLOSE[1] AND High[2] > High [1] AND High[1] > High AND Low[2] > Low[1] AND Low[1] > Low AND Close > Close[2]

//Sell-Condition

s1 = OPEN[2] < CLOSE[2] AND OPEN[1] < CLOSE[1] AND High[2] < High [1] AND High[1] < High AND Low[2] < Low[1] AND Low[1] < Low AND Close < Close[2]

//Buy @ open of nextcandle if condition l1 is met

IF l1 AND Not OnMarket THEN

BUY 1 SHARES AT MARKET //MarketOrder

SET STOP LOSS SLL

SET TARGET PROFIT TPL

ENDIF

//Sell @ open of nextcandle if condition s1 is met

IF s1 AND Not OnMarket THEN

SELLSHORT 1 SHARE AT MARKET //MarketOrder

SET STOP LOSS SLS

SET TARGET PROFIT TPS

ENDIF

Marc

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08/08/2018 at 4:17 PM #77792

GraHal

@Marc thank you for sharing, please could you also share the .itf file of the multi-variable System as then it saves me entering all the Labels (and probably getting it wrong!? 🙂 ).

Many Thanks
Graham

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08/08/2018 at 4:28 PM #77793

Marc

Hi GraHal,

pls find attached 3 Candle Strategy itf attached.

Marc

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08/08/2018 at 7:56 PM #77804

GraHal

Marc big thank you!

I’ve set it going on Demo Fwd Test as I get attached on 5 min TF on DJI on 100,000 bars!

Bigger drawdown than I like, but if it’s out of money already gained by the System then I can live with that! 🙂 🙂

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Marc

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08/08/2018 at 8:45 PM #77807

Vonasi

Draw down has to be accepted as relative to run up or overall profit. As a rule of thumb I like to see at a glance that draw down multiplied by ten is less than run up and overall profit. So for example if draw down is £2000 then I want to see at least £20000 run up or £20000 overall profit. It is not a ‘set in stone’ rule but is an easy way to assess how bad draw down really is by comparison.

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GraHal

Vonasi

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08/08/2018 at 9:26 PM #77811

GraHal

Well by your rule of thumb Vonasi it more or less passes! 🙂

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08/08/2018 at 9:40 PM #77812

Marc

I think that the 5 minute backtest looks okay…which settings did you use?

Marc

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