3 MAs PullBack DAX daily on MTF ???

• 07/06/2018 at 6:12 PM #75493
  robertogozzi

  I’ve been playing around with this code for some time and I am asking whether someone (not me at present, since IG customers will have MTF… I don’t know when) could test it with MTF enabled, so it can be tested on a 2-year data history, both for the Daily TF and the 5/10-minute TF using MTF for the sole TRAILING STOP code, to see if any improvements occur:

  3 MAs Pullback DAX daily

  //************************************************************************ // 3 MAs Pullback DAX daily // // (Ema 10 + Ema 20 + Ema 120) //************************************************************************ DEFPARAM CumulateOrders = False ONCE nLots = 1 ONCE LookBack = 3 //3 bars to set SL to the highest/lowest ONCE Multiplier = 6 //6 times the Stop Loss IF OnMarket THEN CrossingUP = 0 //Reset flags to zero when... CrossingDN = 0 //... On Market ENDIF ONCE AvgType = 6 //6 = Time Series FastMA = average[10,AvgType](close) //10 SlowMA = average[20,AvgType](close) //20 LongMA = average[120,AvgType](close) //120 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // I don't care which order they are, it's important the highest MA is CROSSED OVER or // the lowest one is CROSSED UNDER // IF close CROSSES OVER Max(FastMA,Max(SlowMA,LongMA)) THEN CrossingUP = 1 CrossingDN = 0 ENDIF IF close CROSSES UNDER Min(FastMA,Min(SlowMA,LongMA)) THEN CrossingUP = 0 CrossingDN = 1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop code // to be tested on a 5/10-minute TF ONCE TrailStart = 50 //50 Start trailing profits from this point ONCE ProfitPerCent = 0.250 //25.0% Profit to keep IF Not OnMarket THEN y1 = 0 y2 = 0 ELSIF LongOnMarket AND high > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (high - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if TRAILSTART+ pips y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF IF y1 THEN y1 = y1 * pipsize //convert pips to price IF close < (TradePrice + y1) THEN //IF CLOSE < Tradeprice + Profit... SELL AT MARKET //... exit immediately ELSE SELL AT Tradeprice + y1 STOP //Place pending STOP order when y1>0 ENDIF ENDIF ELSIF ShortOnMarket AND low < (TradePrice - (y2 * pipsize)) THEN //SHORT x2 = (tradeprice - low) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if TRAILSTART+ pips y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF IF y2 THEN y2 = y2 * pipsize //convert Pips to Price IF (TradePrice + y2) > close THEN //IF Tradeprice + Profit > CLOSE ... EXITSHORT AT MARKET //... exit immediately ELSE EXITSHORT AT Tradeprice - y2 STOP //Place pending STOP order when y2>0 ENDIF ENDIF ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////// //************************************************************************ // LONG //************************************************************************ a0 = CrossingUP //There must have been a CROSS OVER a1 = close[1] < Min(FastMA,SlowMA) //Previous bar must have closed < lowest among FastMA/SlowMA a2 = close CROSSES OVER Max(FastMA,SlowMA) //a CROSS OVER is occurring this bar a3 = close > open //a bullish bar is mandatory ax = a0 AND a1 AND a2 AND a3 IF ax AND Not OnMarket THEN Sl = ((close - lowest[LookBack](low)) / pipsize) //SL at the lowest low within LOOKBACK bars Tp = Sl * Multiplier BUY nLots CONTRACT AT MARKET ENDIF //************************************************************************ // SHORT //************************************************************************ b0 = CrossingDN //There must have been a CROSS UNDER b1 = close[1] > Max(FastMA,SlowMA) //Previous bar must have closed > lowest among FastMA/SlowMA b2 = close CROSSES UNDER Min(FastMA,SlowMA)//a CROSS OVER is occurring this bar b3 = close < open //a bearish bar is mandatory bx = b0 AND b1 AND b2 AND b3 IF bx AND Not Onmarket THEN Sl = ((highest[LookBack](high) - close) / pipsize) //SL at the highest high within LOOKBACK bars Tp = Sl * Multiplier SELLSHORT nLots CONTRACT AT MARKET ENDIF SET TARGET pPROFIT Tp SET STOP pLOSS Sl

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  //************************************************************************ //                       3 MAs Pullback DAX daily // //                      (Ema 10 + Ema 20 + Ema 120) //************************************************************************ DEFPARAM CumulateOrders = False ONCE nLots              = 1 ONCE LookBack           = 3                                //3 bars to set SL to the highest/lowest ONCE Multiplier         = 6                                //6 times the Stop Loss IF OnMarket THEN CrossingUP = 0                                          //Reset flags to zero when... CrossingDN = 0                                          //... On Market ENDIF ONCE AvgType            = 6                                //6  = Time Series FastMA                  = average[10,AvgType](close)       //10 SlowMA                  = average[20,AvgType](close)       //20 LongMA                  = average[120,AvgType](close)      //120 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // I don't care which order they are, it's important the highest MA is CROSSED OVER or // the lowest one is CROSSED UNDER // IF close CROSSES OVER Max(FastMA,Max(SlowMA,LongMA)) THEN    CrossingUP = 1    CrossingDN = 0 ENDIF IF close CROSSES UNDER Min(FastMA,Min(SlowMA,LongMA)) THEN    CrossingUP = 0    CrossingDN = 1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////// //                               Trailing Stop code // to be tested on a 5/10-minute TF ONCE TrailStart    = 50        //50     Start trailing profits from this point ONCE ProfitPerCent = 0.250     //25.0%  Profit to keep IF Not OnMarket THEN    y1 = 0    y2 = 0 ELSIF LongOnMarket AND high > (TradePrice + (y1 * pipsize)) THEN                   //LONG    x1 = (high - tradeprice) / pipsize            //convert price to pips    IF x1 >= TrailStart THEN                      //go ahead only if TRAILSTART+ pips       y1 = max(x1 * ProfitPerCent, y1)           //y = % of max profit    ENDIF    IF y1 THEN       y1 = y1 * pipsize                         //convert pips to price       IF close < (TradePrice + y1) THEN         //IF CLOSE < Tradeprice + Profit...          SELL AT MARKET                         //... exit immediately       ELSE          SELL AT Tradeprice + y1 STOP           //Place pending STOP order when y1>0       ENDIF    ENDIF ELSIF ShortOnMarket AND low < (TradePrice - (y2 * pipsize)) THEN                  //SHORT    x2 = (tradeprice - low) / pipsize             //convert price to pips    IF x2 >= TrailStart THEN                      //go ahead only if TRAILSTART+ pips       y2 = max(x2 * ProfitPerCent, y2)           //y = % of max profit    ENDIF    IF y2 THEN       y2 = y2 * pipsize                          //convert Pips to Price       IF (TradePrice + y2) > close THEN          //IF Tradeprice + Profit > CLOSE ...          EXITSHORT AT MARKET                     //... exit immediately       ELSE          EXITSHORT AT Tradeprice - y2 STOP       //Place pending STOP order when y2>0       ENDIF    ENDIF ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////// //************************************************************************ //                           LONG //************************************************************************ a0 = CrossingUP                            //There must have been a CROSS OVER a1 = close[1] < Min(FastMA,SlowMA)         //Previous bar must have closed < lowest among FastMA/SlowMA a2 = close CROSSES OVER Max(FastMA,SlowMA) //a CROSS OVER is occurring this bar a3 = close > open                          //a bullish bar is mandatory ax = a0 AND a1 AND a2 AND a3 IF ax AND Not OnMarket THEN    Sl = ((close - lowest[LookBack](low)) / pipsize)   //SL at the lowest low within LOOKBACK bars    Tp = Sl * Multiplier    BUY nLots CONTRACT AT MARKET ENDIF //************************************************************************ //                           SHORT //************************************************************************ b0 = CrossingDN                            //There must have been a CROSS UNDER b1 = close[1] > Max(FastMA,SlowMA)         //Previous bar must have closed > lowest among FastMA/SlowMA b2 = close CROSSES UNDER Min(FastMA,SlowMA)//a CROSS OVER is occurring this bar b3 = close < open                          //a bearish bar is mandatory bx = b0 AND b1 AND b2 AND b3 IF bx AND Not Onmarket THEN    Sl = ((highest[LookBack](high) - close) / pipsize) //SL at the highest high within LOOKBACK bars    Tp = Sl * Multiplier    SELLSHORT nLots CONTRACT AT MARKET ENDIF SET TARGET pPROFIT Tp SET STOP   pLOSS   Sl

  

  robertogozzi

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  07/06/2018 at 6:36 PM #75494
  Vonasi

  I’m afraid my platform is only giving me daily or longer time frames but here is the daily results with 2 pip spread.

   

  

  Vonasi

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  07/06/2018 at 6:39 PM #75497
  Vonasi

  Just noticed that you use STOP orders so ignore those results as there is no tick by tick option either!

  

  Vonasi

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  07/07/2018 at 10:48 AM #75518
  Nicolas

  I changed the code this way to be compatible with MTF: (trading entries are calculated with the daily chart, while trailing stop is made with the 5 minutes one)

  //************************************************************************ // 3 MAs Pullback DAX daily // // (Ema 10 + Ema 20 + Ema 120) //************************************************************************ DEFPARAM CumulateOrders = False timeframe(daily,updateonclose) ONCE nLots = 1 ONCE LookBack = 3 //3 bars to set SL to the highest/lowest ONCE Multiplier = 6 //6 times the Stop Loss IF OnMarket THEN CrossingUP = 0 //Reset flags to zero when... CrossingDN = 0 //... On Market ENDIF ONCE AvgType = 6 //6 = Time Series FastMA = average[10,AvgType](close) //10 SlowMA = average[20,AvgType](close) //20 LongMA = average[120,AvgType](close) //120 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // I don't care which order they are, it's important the highest MA is CROSSED OVER or // the lowest one is CROSSED UNDER // IF close CROSSES OVER Max(FastMA,Max(SlowMA,LongMA)) THEN CrossingUP = 1 CrossingDN = 0 ENDIF IF close CROSSES UNDER Min(FastMA,Min(SlowMA,LongMA)) THEN CrossingUP = 0 CrossingDN = 1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////// //************************************************************************ // LONG //************************************************************************ a0 = CrossingUP //There must have been a CROSS OVER a1 = close[1] < Min(FastMA,SlowMA) //Previous bar must have closed < lowest among FastMA/SlowMA a2 = close CROSSES OVER Max(FastMA,SlowMA) //a CROSS OVER is occurring this bar a3 = close > open //a bullish bar is mandatory ax = a0 AND a1 AND a2 AND a3 IF ax AND Not OnMarket THEN Sl = ((close - lowest[LookBack](low)) / pipsize) //SL at the lowest low within LOOKBACK bars Tp = Sl * Multiplier BUY nLots CONTRACT AT MARKET ENDIF //************************************************************************ // SHORT //************************************************************************ b0 = CrossingDN //There must have been a CROSS UNDER b1 = close[1] > Max(FastMA,SlowMA) //Previous bar must have closed > lowest among FastMA/SlowMA b2 = close CROSSES UNDER Min(FastMA,SlowMA)//a CROSS OVER is occurring this bar b3 = close < open //a bearish bar is mandatory bx = b0 AND b1 AND b2 AND b3 IF bx AND Not Onmarket THEN Sl = ((highest[LookBack](high) - close) / pipsize) //SL at the highest high within LOOKBACK bars Tp = Sl * Multiplier SELLSHORT nLots CONTRACT AT MARKET ENDIF SET TARGET pPROFIT Tp SET STOP pLOSS Sl timeframe(default) ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop code // to be tested on a 5/10-minute TF ONCE TrailStart = 50 //50 Start trailing profits from this point ONCE ProfitPerCent = 0.250 //25.0% Profit to keep IF Not OnMarket THEN y1 = 0 y2 = 0 ELSIF LongOnMarket AND high > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (high - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if TRAILSTART+ pips y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF IF y1 THEN y1 = y1 * pipsize //convert pips to price IF close < (TradePrice + y1) THEN //IF CLOSE < Tradeprice + Profit... SELL AT MARKET //... exit immediately ELSE SELL AT Tradeprice + y1 STOP //Place pending STOP order when y1>0 ENDIF ENDIF ELSIF ShortOnMarket AND low < (TradePrice - (y2 * pipsize)) THEN //SHORT x2 = (tradeprice - low) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if TRAILSTART+ pips y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF IF y2 THEN y2 = y2 * pipsize //convert Pips to Price IF (TradePrice + y2) > close THEN //IF Tradeprice + Profit > CLOSE ... EXITSHORT AT MARKET //... exit immediately ELSE EXITSHORT AT Tradeprice - y2 STOP //Place pending STOP order when y2>0 ENDIF ENDIF ENDIF graph fastMA coloured(0,200,0) graph slowma coloured(200,0,0) graph longma coloured(0,0,200) graph close

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  //************************************************************************ //                       3 MAs Pullback DAX daily // //                      (Ema 10 + Ema 20 + Ema 120) //************************************************************************ DEFPARAM CumulateOrders = False timeframe(daily,updateonclose) ONCE nLots              = 1 ONCE LookBack           = 3                                //3 bars to set SL to the highest/lowest ONCE Multiplier         = 6                                //6 times the Stop Loss IF OnMarket THEN CrossingUP = 0                                          //Reset flags to zero when... CrossingDN = 0                                          //... On Market ENDIF ONCE AvgType            = 6                                //6  = Time Series FastMA                  = average[10,AvgType](close)       //10 SlowMA                  = average[20,AvgType](close)       //20 LongMA                  = average[120,AvgType](close)      //120 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // I don't care which order they are, it's important the highest MA is CROSSED OVER or // the lowest one is CROSSED UNDER // IF close CROSSES OVER Max(FastMA,Max(SlowMA,LongMA)) THEN CrossingUP = 1 CrossingDN = 0 ENDIF IF close CROSSES UNDER Min(FastMA,Min(SlowMA,LongMA)) THEN CrossingUP = 0 CrossingDN = 1 ENDIF   ////////////////////////////////////////////////////////////////////////////////////////////////////////// //************************************************************************ //                           LONG //************************************************************************ a0 = CrossingUP                            //There must have been a CROSS OVER a1 = close[1] < Min(FastMA,SlowMA)         //Previous bar must have closed < lowest among FastMA/SlowMA a2 = close CROSSES OVER Max(FastMA,SlowMA) //a CROSS OVER is occurring this bar a3 = close > open                          //a bullish bar is mandatory ax = a0 AND a1 AND a2 AND a3 IF ax AND Not OnMarket THEN Sl = ((close - lowest[LookBack](low)) / pipsize)   //SL at the lowest low within LOOKBACK bars Tp = Sl * Multiplier BUY nLots CONTRACT AT MARKET ENDIF //************************************************************************ //                           SHORT //************************************************************************ b0 = CrossingDN                            //There must have been a CROSS UNDER b1 = close[1] > Max(FastMA,SlowMA)         //Previous bar must have closed > lowest among FastMA/SlowMA b2 = close CROSSES UNDER Min(FastMA,SlowMA)//a CROSS OVER is occurring this bar b3 = close < open                          //a bearish bar is mandatory bx = b0 AND b1 AND b2 AND b3 IF bx AND Not Onmarket THEN Sl = ((highest[LookBack](high) - close) / pipsize) //SL at the highest high within LOOKBACK bars Tp = Sl * Multiplier SELLSHORT nLots CONTRACT AT MARKET ENDIF SET TARGET pPROFIT Tp SET STOP   pLOSS   Sl   timeframe(default) ////////////////////////////////////////////////////////////////////////////////////////////////////////// //                               Trailing Stop code // to be tested on a 5/10-minute TF ONCE TrailStart    = 50        //50     Start trailing profits from this point ONCE ProfitPerCent = 0.250     //25.0%  Profit to keep IF Not OnMarket THEN y1 = 0 y2 = 0 ELSIF LongOnMarket AND high > (TradePrice + (y1 * pipsize)) THEN                   //LONG x1 = (high - tradeprice) / pipsize            //convert price to pips IF x1 >= TrailStart THEN                      //go ahead only if TRAILSTART+ pips y1 = max(x1 * ProfitPerCent, y1)           //y = % of max profit ENDIF IF y1 THEN y1 = y1 * pipsize                         //convert pips to price IF close < (TradePrice + y1) THEN         //IF CLOSE < Tradeprice + Profit... SELL AT MARKET                         //... exit immediately ELSE SELL AT Tradeprice + y1 STOP           //Place pending STOP order when y1>0 ENDIF ENDIF ELSIF ShortOnMarket AND low < (TradePrice - (y2 * pipsize)) THEN                  //SHORT x2 = (tradeprice - low) / pipsize             //convert price to pips IF x2 >= TrailStart THEN                      //go ahead only if TRAILSTART+ pips y2 = max(x2 * ProfitPerCent, y2)           //y = % of max profit ENDIF IF y2 THEN y2 = y2 * pipsize                          //convert Pips to Price IF (TradePrice + y2) > close THEN          //IF Tradeprice + Profit > CLOSE ... EXITSHORT AT MARKET                     //... exit immediately ELSE EXITSHORT AT Tradeprice - y2 STOP       //Place pending STOP order when y2>0 ENDIF ENDIF ENDIF graph fastMA coloured(0,200,0) graph slowma coloured(200,0,0) graph longma coloured(0,0,200) graph close

  The performance is not good (made with tick mode and spread=1.5), and as you can see in the attached picture, daily MA are not calculated until there is enough bars in the default timeframe (5-minute TF). This is something we should be aware of when backtesting… a test to verify if the SMA are superior to 0 could be enough..

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  Nicolas

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