Automated trading with Pivot Points and Dojis

• 05/07/2018 at 10:19 PM #69975
  cgraubner

  Hi everyone,

  I’m new to this community and I would like to develop a code for automated trading within ProRealTime with Pivot Points and Dojis as triggers. That system should be able to automatically execute a trade when a doji (or a different reversal pattern) appears at a S2 or R2 pivot line. These patterns could occur within a specific distance to the S2 and R2 line (e. g. 10 – 20 points when trading the DAX). It should sell at the R2 and buy at the S2 line. Furthermore the exit of the trade should be on the close or on the first open of a candle that makes a lower low after a prolonged uptrend, or on the first higher high after a downtrend.

  The potential markets I want to trade are DAX, DOW JONES and EUR/USD.

  Any help is highly appreciated!

  Thank you very much;)

   

  

  cgraubner

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  05/08/2018 at 2:36 PM #69997
  Nicolas

  It reminds me of this code I made as a scanner: Doji entry scanner

  Could be easily converted to an automatic trading program. Someone? 😉

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  Nicolas

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  05/08/2018 at 4:15 PM #70001
  GraHal

  // --- settings DEFPARAM CumulateOrders = False DojiSize = 20 //x% percent of body size compared to the complete range of the candlestick mode = 1 //Pivot calculation method // --- If Day>Day[1] then If mode = 0 then Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 Elsif mode = 1 then Pivot = (Open + DHigh(1) + DLow(1) + Close[1]) / 4 Elsif mode = 2 then Pivot = (DHigh(1) + DLow(1) + Close[1]*2) / 4 Else Pivot = (Open*2 + DHigh(1) + DLow(1)) / 4 Endif R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) Endif doji=(abs(open - close) <= (high - low) * DojiSize/100) bullish = doji and (high crosses over pivot or high crosses over r1 or high crosses over s1 or high crosses over rr2 or high crosses over s2 or high crosses over r3 or high crosses over s3) bearish = doji and (low crosses under pivot or low crosses under r1 or low crosses under s1 or low crosses under rr2 or low crosses under s2 or low crosses under r3 or low crosses under s3) If bullish Then Buy 1 Contract at Market Endif If bearish Then SellShort 1 Contract at Market Endif SET TARGET PPROFIT 150 SET STOP PLOSS 300

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  // --- settings DEFPARAM CumulateOrders = False DojiSize = 20 //x% percent of body size compared to the complete range of the candlestick mode = 1 //Pivot calculation method // ---   If Day>Day[1] then If mode = 0 then Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 Elsif mode = 1 then Pivot = (Open + DHigh(1) + DLow(1) + Close[1]) / 4 Elsif mode = 2 then Pivot = (DHigh(1) + DLow(1) + Close[1]*2) / 4 Else Pivot = (Open*2 + DHigh(1) + DLow(1)) / 4 Endif R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) Endif doji=(abs(open - close) <= (high - low) * DojiSize/100) bullish = doji and (high crosses over pivot or high crosses over r1 or high crosses over s1 or high crosses over rr2 or high crosses over s2 or high crosses over r3 or high crosses over s3) bearish = doji and (low crosses under pivot or low crosses under r1 or low crosses under s1 or low crosses under rr2 or low crosses under s2 or low crosses under r3 or low crosses under s3) If bullish Then Buy 1 Contract at Market Endif   If bearish Then SellShort 1 Contract at Market Endif   SET TARGET PPROFIT 150 SET STOP PLOSS 300

  I’m sure it can be improved, ideas anybody?

  Feel free to change / add code etc?

  All credit goes to Nicolas as it’s his Scanner quickly converted to an Auto-System.

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  GraHal

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  05/08/2018 at 4:45 PM #70005
  cgraubner

  Wow, that is pretty awesome, thank you very much!:)

  Does the code automatically consider my Pivot Point time frame? Where can I adjust the distance from the dojis to the R2 and S2 line?

   

  

  cgraubner

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  05/08/2018 at 4:57 PM #70007
  GraHal

  All credit goes to Nicolas as it’s his Scanner quickly converted to an Auto-System.

  I was in from jobs in the garden having a coffee and saw Nicolas post.

  So no, it’s not tailored specifically  to your System specification. I just thought it might get you going and save Nicolas some time! 😉

  Oh well … back to my summerhouse painting! 🙂

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  GraHal

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  05/08/2018 at 7:17 PM #70010
  Nicolas

  Thank you Grahal, I was in my swimming pool, that’s why I didn’t code the strategy and asked a mate to code it for me 😆

  I hope you enjoyed the sun today!

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  Nicolas

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  05/09/2018 at 6:06 PM #70100
  cgraubner

  Thanks again!:) I really tried to adjust the code to do the following tasks:

  1. It should only place a trade if the first candle after the doji closes higher or lower than the high or the low of the doji, this depends wether it is a buy or a sell.
  2. It should place a stop at the high or the low of the entry doji.
  3. It should get out of a position (set target) right after a candle closes below the low of a previous candle in an uptrend and vice versa in a downtrend.

  I’m really not sure if it will work like I wanted it to do.

  Thank you!;)

   

  // Bedingungen zum Einstieg in Long-Positionen// --- settings DEFPARAM CumulateOrders = False Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) doji = Range > ABS(Open - Close) * 5 bullish = doji and (high crosses over pivot or high crosses over r1 or high crosses over s1 or high crosses over rr2 or high crosses over s2 or high crosses over r3 or high crosses over s3) and close>high[1] bearish = doji and (low crosses under pivot or low crosses under r1 or low crosses under s1 or low crosses under rr2 or low crosses under s2 or low crosses under r3 or low crosses under s3) and close<low[1] If bullish Then Buy 1 Contract at Market set stop ploss high[1] set target pprofit (close<low[1]) Endif If bearish Then SellShort 1 Contract at Market set stop ploss low[1] set target pprofit (close>high[1]) Endif

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  // Bedingungen zum Einstieg in Long-Positionen// --- settings DEFPARAM CumulateOrders = False   Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1))   doji = Range > ABS(Open - Close) * 5   bullish = doji and (high crosses over pivot or high crosses over r1 or high crosses over s1 or high crosses over rr2 or high crosses over s2 or high crosses over r3 or high crosses over s3) and close>high[1] bearish = doji and (low crosses under pivot or low crosses under r1 or low crosses under s1 or low crosses under rr2 or low crosses under s2 or low crosses under r3 or low crosses under s3) and close<low[1] If bullish Then   Buy 1 Contract at Market set stop ploss high[1] set target pprofit (close<low[1]) Endif   If bearish Then SellShort 1 Contract at Market set stop ploss low[1] set target pprofit (close>high[1]) Endif

  

  cgraubner

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  05/11/2018 at 8:57 PM #70229
  cgraubner

  Hi,

  sorry to bother you guys again! I made a few changes to the code but for some reason the stops and the exits do not work.

  Do you have any idea why that is?

  Thank you so much! 🙂

  // Bedingungen zum Einstieg in Long-Positionen// --- settings DEFPARAM CumulateOrders = true Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) DojiSize = 20 doji=(abs(open[1] - close[1]) <= (high[1] - low[1]) * DojiSize/100) bullish = (doji and (high[1] crosses over pivot or high[1] crosses over r1 or high[1] crosses over s1 or high[1] crosses over rr2 or high[1] crosses over s2 or high[1] crosses over r3 or high[1] crosses over s3) and close[0]>high[1]) bearish = (doji and (low[1] crosses under pivot or low[1] crosses under r1 or low[1] crosses under s1 or low[1] crosses under rr2 or low[1] crosses under s2 or low[1] crosses under r3 or low[1] crosses under s3) and close[0]<low[1]) stoplownextcandle = low<low[1] stoplowdoji = low>low[1] stophighdoji = high<high[1] stophighnextcandle = high>high[1] If bullish Then Buy 1 Contract at Market Endif IF longonmarket and bullish and stoplowdoji then set stop ploss (low[1]) endif If longonmarket and bullish and stoplownextcandle then set stop ploss (low) endif IF longonmarket and bullish and (close < low[1]) then sell 1 contract at market endif If bearish Then SellShort 1 Contract at Market Endif if shortonmarket and bearish and stophighnextcandle then set stop ploss (high) endif if shortonmarket and bearish and stophighdoji then set stop ploss high[1] endif IF shortonmarket and bearish and (close >high[1]) then exitshort 1 contract at market ENDIF

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  // Bedingungen zum Einstieg in Long-Positionen// --- settings DEFPARAM CumulateOrders = true   Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1))   DojiSize = 20 doji=(abs(open[1] - close[1]) <= (high[1] - low[1]) * DojiSize/100)   bullish = (doji and (high[1] crosses over pivot or high[1] crosses over r1 or high[1] crosses over s1 or high[1] crosses over rr2 or high[1] crosses over s2 or high[1] crosses over r3 or high[1] crosses over s3) and close[0]>high[1]) bearish = (doji and (low[1] crosses under pivot or low[1] crosses under r1 or low[1] crosses under s1 or low[1] crosses under rr2 or low[1] crosses under s2 or low[1] crosses under r3 or low[1] crosses under s3) and close[0]<low[1])   stoplownextcandle = low<low[1] stoplowdoji = low>low[1]   stophighdoji = high<high[1] stophighnextcandle = high>high[1]   If bullish Then   Buy 1 Contract at Market Endif   IF longonmarket and bullish and stoplowdoji then   set stop ploss (low[1])   endif   If longonmarket and bullish and stoplownextcandle then set stop ploss (low)   endif   IF longonmarket and bullish and (close < low[1]) then   sell 1 contract at market endif   If bearish Then   SellShort 1 Contract at Market   Endif   if shortonmarket and bearish and stophighnextcandle then set stop ploss (high) endif   if shortonmarket and bearish and stophighdoji then set stop ploss high[1] endif   IF shortonmarket and bearish and (close >high[1]) then exitshort 1 contract at market   ENDIF

   

  

  cgraubner

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  05/12/2018 at 7:50 AM #70238
  GraHal

  Is it because you set the Stops within If statements and so conditions (other than price level) have to be met to trigger the stop?

  Normally it would be price level ONLY that would trigger Set Stop PLoss xx ?

  

  GraHal

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  05/13/2018 at 1:50 AM #70274
  cgraubner

  Thank you! If you delete the conditions “bullish” and “bearish” within the statements, then the stops are working:) Is there also a way to exit the trade immediately when hitting a specific resistance or support line and not just when the next new candle begins?

  

  cgraubner

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  05/13/2018 at 8:23 AM #70275
  GraHal

  Yes but first you would have to code the Supp or Res Line into the System.

  You could use Alerts and then pick off one of the horizontal default PRT Supp / Res line conditions (see attached) or set your own price level line.

  Make sure you get that drop down box set correct on the red arrow  … read up on the optional settings.

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  GraHal

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  05/13/2018 at 12:47 PM #70288
  cgraubner

  So far the performance is not bad as you can see in the attached picture. But the exit strategy when hitting the next pivot line does still not work. It should have stopped out as soon as the candle in the red first circle of the first picture was touched, but the exit was made in the second red circle because of the end of the trading day. For example for the case when a doji forms within a range of 4 points next to the R1 line and is supposed to exit at the pivot line, the code looks like this:

  DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 171500 Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) dojisize = 4.2 doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishr1 = (doji and (close[1] <= r1+4 and close[1] >= r1-4) and close<low[1]) stoplownextcandle = low<low[1] stoplowdoji = low>low[1] stophighdoji = high<high[1] stophighnextcandle = high>high[1] size = 30 stopbull = 2 stopbear = 2 If bearishr1 Then SellShort size Contract at Market Endif if shortonmarket and stophighnextcandle then set stop ploss (high+stopbear) endif if shortonmarket and stophighdoji then set stop ploss (high[1]+stopbear) endif IF shortonmarket and (close >high[1]) then exitshort size contract at market ENDIF IF shortonmarket then SET TARGET PROFIT pivot ENDIF

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  DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 171500   Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1))   dojisize = 4.2 doji = Range >= ABS(Open[1] - Close[1]) * dojisize   bearishr1 = (doji and (close[1] <= r1+4 and close[1] >= r1-4) and close<low[1])   stoplownextcandle = low<low[1] stoplowdoji = low>low[1]   stophighdoji = high<high[1] stophighnextcandle = high>high[1]   size = 30 stopbull = 2 stopbear = 2   If bearishr1 Then   SellShort size Contract at Market   Endif   if shortonmarket  and stophighnextcandle then set stop ploss (high+stopbear) endif   if shortonmarket  and stophighdoji then set stop ploss (high[1]+stopbear) endif   IF shortonmarket  and (close >high[1]) then exitshort size contract at market   ENDIF   IF shortonmarket then SET TARGET PROFIT pivot   ENDIF

  And the second Problem is, that I’m not even sure if the trade is only triggered when the doji is within the range of +- 4 points, because when you take a look at picture number 3 I don’t understand why it sold 1 contract short. There is no pivot line close to it.

  Is it because the code is not right?

   

  Thank you so much for your help!!:)

  

  cgraubner

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  05/13/2018 at 1:04 PM #70292
  GraHal

  cgraubner wrote:

  IF shortonmarket then SET TARGET PROFIT pivot

  So taking one step at a time, are you saying that the Piv T Line equates to Pivot in your code?

  See attached … and that is why you expected to ExitShort as price had reached Piv T / your code pivot??

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  GraHal

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  05/13/2018 at 1:15 PM #70295
  cgraubner

  Yes that is what I was thinking. I thought, that the calculated pivot lines from the code should be the same as the pivot lines from the indicators.

  

  cgraubner

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  05/13/2018 at 2:06 PM #70298
  GraHal

  Right let’s slow this down a bit! 🙂  Which I don’t do when I’m working on my own Systems! 🙂 If something doesn’t jump right out at me, I move on and let it knaw away at my subconscious and often when I wake up the answer is there! 🙂

  Where does the T come from in Piv T?

  I can only get it to show Piv D (for Daily) of Piv for less than 1 day (e.g. 15 mins).

  

  GraHal

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