Automated trading with Pivot Points and Dojis

• 05/14/2018 at 5:11 PM #70395
  cgraubner

  I tried to change the time frame for the daily pivot conditions by only considering the 34 candles before 16:30. But apparently that is also not working:(

  if time = 163000 then newdailyhigh = highest[34](high)[0] newdailylow = lowest[34](low)[0] newdailyclose = close[0] endif Pivot = (newdailyhigh[1] + newdailylow[1] + newdailyclose[1]) / 3 R1 = 2*Pivot - newdailylow[1] S1 = 2*Pivot - newdailyhigh[1] rR2 = Pivot + (newdailyhigh[1] - newdailylow[1]) S2 = Pivot - (newdailyhigh[1] - newdailylow[1]) R3 = R1 + (newdailyhigh[1] - newdailylow[1]) S3 = S1 - (newdailyhigh[1] - newdailylow[1])

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  if time = 163000 then newdailyhigh = highest[34](high)[0] newdailylow = lowest[34](low)[0] newdailyclose = close[0] endif   Pivot = (newdailyhigh[1] + newdailylow[1] + newdailyclose[1]) / 3 R1 = 2*Pivot - newdailylow[1] S1 = 2*Pivot - newdailyhigh[1] rR2 = Pivot + (newdailyhigh[1] - newdailylow[1]) S2 = Pivot - (newdailyhigh[1] - newdailylow[1]) R3 = R1 + (newdailyhigh[1] - newdailylow[1]) S3 = S1 - (newdailyhigh[1] - newdailylow[1])

   

  

  cgraubner

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  05/14/2018 at 7:11 PM #70426
  GraHal

  Is anything working? 🙂

  Why don’t you get a simplified / cut down version working then start building it back up again?

  If anybody else can offer any help here then feel free? 🙂

   

  

  GraHal

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  05/14/2018 at 7:25 PM #70429
  cgraubner

  Everything else is working:) There is just this little time issue left.

  

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  05/14/2018 at 8:37 PM #70430
  cgraubner

  Sorry to bother you again, but it is almost working:) I enhanced to range of the day to the whole day from 0:00 till 23:59 and the pivot lines match those of the chart:) The profit is also still high. But now I have a new issue:( As you can see in the picture, the pivot lines are good for tuesdays till friedays but they are pretty messed up on mondays. I have no idea why that happens.

  

  cgraubner

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  05/14/2018 at 9:46 PM #70434
  GraHal

  cgraubner wrote:

  the pivot lines are good for tuesdays till friedays but they are pretty messed up on mondays

  Now I’ve forgotten again what market this is on sorry? 🙂

  Are the Pivot lines based on price the day before? If Yes, then the DAX and other markets  open for 2 or 3 hours on Sunday night (e.g. EUR/USD @ 22:00 and DAX @ 23:00) so this could be screwing the Pivots for Monday??

  Just an idea / immediate thoughts?

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  GraHal

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  05/14/2018 at 11:39 PM #70436
  cgraubner

  You don’t have to say sorry:) Yes it is the DAX, and you where right about sunday. Now I change the code to this and the pivot lines for mondays are align with those within the chart:) Thank you so much!!!

  DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 000000 DEFPARAM FlatAfter = 234500 if OpenDayOfWeek = 1 then Pivot = (DHigh(2) + DLow(2) + DClose(2)) / 3 R1 = 2*Pivot - DLow(2) S1 = 2*Pivot - DHigh(2) rR2 = Pivot + (DHigh(2) - DLow(2)) S2 = Pivot - (DHigh(2) - DLow(2)) R3 = R1 + (DHigh(2) - DLow(2)) S3 = S1 - (DHigh(2) - DLow(2)) endif if OpenDayOfWeek = 2 then 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)) endif if OpenDayOfWeek = 3 then 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)) endif if OpenDayOfWeek = 4 then 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)) endif if OpenDayOfWeek = 5 then 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)) endif

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  DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 000000 DEFPARAM FlatAfter = 234500       if OpenDayOfWeek = 1 then   Pivot = (DHigh(2) + DLow(2) + DClose(2)) / 3 R1 = 2*Pivot - DLow(2) S1 = 2*Pivot - DHigh(2) rR2 = Pivot + (DHigh(2) - DLow(2)) S2 = Pivot - (DHigh(2) - DLow(2)) R3 = R1 + (DHigh(2) - DLow(2)) S3 = S1 - (DHigh(2) - DLow(2))   endif   if OpenDayOfWeek = 2 then   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))   endif   if OpenDayOfWeek = 3 then   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))   endif   if OpenDayOfWeek = 4 then   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))   endif   if OpenDayOfWeek = 5 then   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))   endif

   

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  cgraubner

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  05/15/2018 at 7:18 AM #70457
  GraHal

  Why not code fewer lines re days other than Day 1 and use …

  if OpenDayOfWeek <> 1 then 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))

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  if OpenDayOfWeek <> 1 then 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))

   

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  GraHal

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  05/15/2018 at 11:09 PM #70557
  cgraubner

  You are right, that looks better!:)

  Unfortunately there still seems to be a problem with my stops.

  I tried to set the stop to the highest high of the doji or of the confirmation candle right next to the doji. So if the high of the doji is higher, then this is my stop, and vice versa. Additionally the stop should be placed 2 points higher than those highs, because of the spread. But as you can see in the picture the trade is exited by the condition when a close ist higher than the previous high. It should have been closed somewhere around the red line. It would be nice if the stop was triggerd immediately and not at the open of the next candle. Thank you very much for your help!:)

  //DAX //15 min DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 173000 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*pipsize doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishp = (doji and close[1] <= pivot+2 and close[1] >= pivot-2 and close<low[1]) If bearishp Then SellShort size Contract at Market if shortonmarket and high>high[1] then exitshort at (high+2*pipsize) stop endif if shortonmarket and high<high[1] then exitshort at (high[1]+2*pipsize) stop endif Endif IF shortonmarket and (close >high[1]) then exitshort at market ENDIF

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  //DAX //15 min   DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 173000   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*pipsize doji = Range >= ABS(Open[1] - Close[1]) * dojisize   bearishp = (doji and close[1] <= pivot+2 and close[1] >= pivot-2 and close<low[1])   If bearishp Then   SellShort size Contract at Market   if  shortonmarket and high>high[1] then exitshort at (high+2*pipsize) stop endif if  shortonmarket and high<high[1] then exitshort at (high[1]+2*pipsize) stop endif Endif   IF shortonmarket  and (close >high[1]) then exitshort at market   ENDIF

   

  

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  05/16/2018 at 7:58 AM #70567
  GraHal

  To get an immediate exit (not at end of candle) try this …

  The difference is that you are setting the Stop at Trade Open.

  If bearishp Then SellShort size Contract at Market ExitShort at (close >high[1]) Stop Endif

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  If bearishp Then SellShort size Contract at Market ExitShort at (close >high[1]) Stop                     Endif

   

  

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  05/16/2018 at 2:09 PM #70627
  cgraubner

  This did not change anything. And the conditions where it places the stop would also be neglected.

  //DAX //15 min exit strategy If bearishp Then SellShort size Contract at Market exitshort at (high+2*pipsize) stop exitshort at (high+2*pipsize) stop Endif IF shortonmarket and (close >high[1]) then exitshort at market ENDIF

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  //DAX //15 min exit strategy   If bearishp Then   SellShort size Contract at Market exitshort at (high+2*pipsize) stop exitshort at (high+2*pipsize) stop   Endif   IF shortonmarket  and (close >high[1]) then exitshort at market   ENDIF

   

  

  cgraubner

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  05/16/2018 at 6:19 PM #70643
  cgraubner

  I tried a different approach but as soon as I added one more Pivot Line the system fails again and messes up. It works for only one Line, though. Within this approach I tried to store the candle conditions of the entry. It was also not possible to write the exitshort commands within the “if bearishp” conditions. I had to write them into new if conditions afterwards.

  I don’t know what to try anymore, or if it will work at all like I planned. Any suggestions?:)

  //DAX // 15 min DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 173000 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*pipsize doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishp = (doji and close[1] <= pivot+2 and close[1] >= pivot-2 and close<low[1]) bearishr1 = (doji and close[1] <= r1+2 and close[1] >= r1-2 and close<low[1]) If bearishp then if high<high[1] Then hdbp = high[1]+2 SellShort size Contract at Market elsif high>high[1] then hnbp = high+2 sellshort size contract at market endif endif if shortonmarket then if hdbp then exitshort at hdbp stop elsif hnbp then exitshort at hnbp stop endif endif If bearishr1 then if high<high[1] Then hdbr1 = high[1]+2 SellShort size Contract at Market elsif high>high[1] then hnbr1 = high+2 sellshort size contract at market endif endif if shortonmarket and hdbr1 then exitshort at hdbr1 stop endif if shortonmarket and hnbr1 then exitshort at hnbr1 stop endif exitshort at (close >high[1]) stop

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  //DAX // 15 min   DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 173000 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*pipsize doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishp = (doji and close[1] <= pivot+2 and close[1] >= pivot-2 and close<low[1]) bearishr1 = (doji and close[1] <= r1+2 and close[1] >= r1-2 and close<low[1])   If bearishp then if high<high[1] Then hdbp = high[1]+2 SellShort size Contract at Market   elsif high>high[1] then hnbp = high+2 sellshort size contract at market endif endif   if shortonmarket then if hdbp then exitshort at hdbp stop elsif hnbp then exitshort at hnbp stop endif endif   If bearishr1 then if high<high[1] Then hdbr1 = high[1]+2 SellShort size Contract at Market   elsif high>high[1] then hnbr1 = high+2 sellshort size contract at market   endif endif   if shortonmarket and hdbr1 then exitshort at hdbr1 stop endif   if shortonmarket and hnbr1 then exitshort at hnbr1 stop endif   exitshort at (close >high[1]) stop

   

  

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  05/16/2018 at 6:33 PM #70645
  cgraubner

  Sorry to write again, but I coudn’t edit it anymore. A simple solution might be to set up 8 different trading systems where each system consideres a different Pivot line and execute all of them at the same time. Does that make sense?

  

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  05/16/2018 at 6:41 PM #70647
  GraHal

  I’m not one bit a supa-coder and have to visualise more complex actions happening in order to understand them and so all I have been doing is offering a solution to your snippets that you said did not work.

  Maybe supa-coder @RobertoGozzi (or AN Other) might happen along anytime soon and see what is wrong with your System?

  In the meantime, to make it easy for helpers …

  • Post an equity curve of results from a backtest.
  • What is the most significant function that is not working?

  

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  05/17/2018 at 1:17 AM #70660
  robertogozzi

  I was looking at code at post https://www.prorealcode.com/topic/automated-trading-with-pivot-points-and-dojis/page/3/#post-70557, these are the logical errors I could spot:

  1. lines 24 and 28 + 41 and 43 may assign new values to the variables that mimic a stoploss at each new bar because they do not tell between being or not ONMARKET and this behaviour will change the results of your attempts to exit due to SL, so they should not be changed ONCE a trade has been opened (line 22 should read If bearishp and Not OnMarket then)
  2. at lines 34, 36, 53 and 57 variables HDBP, HNBP, HDBR1 and HNBR1 will always be true once they have been set the first time, while you should reset them to ZERO when Not OnMarket, I guess;
  3. line 61 will NEVER be true, since you want to exit at a price which is either 0 or 1; for sure it won’t work with DAX, it may turn true with EUR/USD if that pair falls to 1.0000 and at that very moment that line is executed, what did you want to do with that line?

   

   

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  05/17/2018 at 12:23 PM #70698
  cgraubner

  First of all, thank you very much!!! 😉

  I changed a few things, but it is still not executing the exitshorts when hitting the highest high of the doji or the trigger candle. Where the red circle is, was it supposed to exit.

   

  //DAX //15 min DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 173000 if OpenDayOfWeek = 1 then Pivot = (DHigh(2) + DLow(2) + DClose(2)) / 3 R1 = 2*Pivot - DLow(2) endif if OpenDayOfWeek = 2 then Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) endif if OpenDayOfWeek = 3 then Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) endif if OpenDayOfWeek = 4 then Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) endif if OpenDayOfWeek = 5 then Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) endif dojisize = 4.2*pipsize doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishp = (doji and close[1] <= pivot+2 and close[1] >= pivot-2 and close<low[1]) bearishr1 = (doji and close[1] <= r1+2 and close[1] >= r1-2 and close<low[1]) size = 5 If bearishp and not onmarket then if high<high[1] Then hdbp = high[1]+2 SellShort size Contract at Market elsif high>high[1] then hnbp = high+2 sellshort size contract at market endif endif if shortonmarket then if hdbp then exitshort at hdbp stop elsif hnbp then exitshort at hnbp stop endif endif If bearishr1 and not onmarket then if high<high[1] Then hdbr1 = high[1]+2 SellShort size Contract at Market elsif high>high[1] then hnbr1 = high+2 sellshort size contract at market endif endif if shortonmarket and hdbr1 then exitshort at hdbr1 stop endif if shortonmarket and hnbr1 then exitshort at hnbr1 stop endif if shortonmarket and (close >high[1]) then exitshort at market endif if not onmarket then hdbp = 0 hnbp = 0 hdbr1 = 0 hnbr1 = 0 endif

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  //DAX //15 min   DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 173000       if OpenDayOfWeek = 1 then   Pivot = (DHigh(2) + DLow(2) + DClose(2)) / 3 R1 = 2*Pivot - DLow(2)     endif   if OpenDayOfWeek = 2 then   Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1)     endif   if OpenDayOfWeek = 3 then   Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1)     endif   if OpenDayOfWeek = 4 then   Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1)     endif   if OpenDayOfWeek = 5 then   Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1)     endif   dojisize = 4.2*pipsize doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishp = (doji and close[1] <= pivot+2 and close[1] >= pivot-2 and close<low[1]) bearishr1 = (doji and close[1] <= r1+2 and close[1] >= r1-2 and close<low[1])   size = 5   If bearishp and not onmarket then if high<high[1] Then hdbp = high[1]+2 SellShort size Contract at Market elsif high>high[1] then hnbp = high+2 sellshort size contract at market endif endif if shortonmarket then if hdbp then exitshort at hdbp stop elsif hnbp then exitshort at hnbp stop endif endif If bearishr1 and not onmarket then if high<high[1] Then hdbr1 = high[1]+2 SellShort size Contract at Market elsif high>high[1] then hnbr1 = high+2 sellshort size contract at market endif endif if shortonmarket and hdbr1 then exitshort at hdbr1 stop endif if shortonmarket and hnbr1 then exitshort at hnbr1 stop endif if shortonmarket and (close >high[1]) then exitshort at market endif   if not onmarket then hdbp = 0 hnbp = 0 hdbr1 = 0 hnbr1 = 0 endif

   

  

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