automatic trading supertrend

• 03/21/2016 at 11:37 AM #4032
  groen200

  Entry date	Exit date	Type	Nbr Bars	Abs Perf	Relat Perf(%)	Brokerage fee
  21-Mar-2016 08:10:00	21-Mar-2016 09:45:00	Short	19	-154	-0.31%	4
  21-Mar-2016 08:00:00	21-Mar-2016 08:10:00	Long	2	-51.5	-0.10%	4
  18-Mar-2016 10:05:00	18-Mar-2016 10:45:00	Long	8	-154	-0.31%	4
  18-Mar-2016 09:05:00	18-Mar-2016 09:40:00	Short	7	-154	-0.31%	4
  18-Mar-2016 08:05:00	18-Mar-2016 09:00:00	Long	11	-154	-0.31%	4
  18-Mar-2016 08:00:00	18-Mar-2016 08:05:00	Short	1	-108	-0.22%	4
  17-Mar-2016 09:10:00	17-Mar-2016 12:00:00	Short	34	1,185.50	2.36%	4
  17-Mar-2016 08:00:00	17-Mar-2016 09:10:00	Long	14	-27.5	-0.05%	4
  16-Mar-2016 11:15:00	16-Mar-2016 12:00:00	Short	9	-32.5	-0.07%	4
  16-Mar-2016 09:05:00	16-Mar-2016 11:15:00	Long	26	-16.5	-0.03%	4
  16-Mar-2016 08:00:00	16-Mar-2016 09:05:00	Short	13	-65	-0.13%	4
  15-Mar-2016 08:00:00	15-Mar-2016 12:00:00	Short	48	58.5	0.12%	4
  14-Mar-2016 10:50:00	14-Mar-2016 11:30:00	Short	8	-154	-0.31%	4
  14-Mar-2016 08:00:00	14-Mar-2016 10:50:00	Long	34	412	0.83%	4
  11-Mar-2016 08:00:00	11-Mar-2016 12:00:00	Long	48	705.5	1.46%	4
  10-Mar-2016 09:25:00	10-Mar-2016 09:50:00	Long	5	-154	-0.32%	4
  10-Mar-2016 08:25:00	10-Mar-2016 09:20:00	Short	11	-154	-0.32%	4
  10-Mar-2016 08:00:00	10-Mar-2016 08:25:00	Long	5	-90.5	-0.19%	4
  09-Mar-2016 09:20:00	09-Mar-2016 12:00:00	Long	32	137	0.28%	4
  09-Mar-2016 08:10:00	09-Mar-2016 09:20:00	Short	14	-119	-0.25%	4
  09-Mar-2016 08:00:00	09-Mar-2016 08:10:00	Long	2	-36.5	-0.08%	4
  08-Mar-2016 08:00:00	08-Mar-2016 12:00:00	Short	48	362.5	0.75%	4
  07-Mar-2016 08:35:00	07-Mar-2016 12:00:00	Short	41	326.5	0.67%	4
  07-Mar-2016 08:00:00	07-Mar-2016 08:35:00	Long	7	-54	-0.11%	4
  04-Mar-2016 11:40:00	04-Mar-2016 12:00:00	Long	4	84.5	0.17%	4
  04-Mar-2016 09:10:00	04-Mar-2016 11:40:00	Short	30	-45	-0.09%	4
  04-Mar-2016 08:00:00	04-Mar-2016 09:10:00	Long	14	-3.5	-0.01%	4
  03-Mar-2016 08:00:00	03-Mar-2016 12:00:00	Short	48	99	0.20%	4
  02-Mar-2016 10:25:00	02-Mar-2016 12:00:00	Short	19	200	0.41%	4
  02-Mar-2016 09:50:00	02-Mar-2016 10:15:00	Long	5	-154	-0.31%	4
  02-Mar-2016 08:00:00	02-Mar-2016 09:50:00	Short	22	5	0.01%	4
  01-Mar-2016 08:00:00	01-Mar-2016 12:00:00	Long	48	1,038.50	2.20%	4
  29/02/2016 11:10	29/02/2016 11:25	Long	3	-154	-0.33%	4
  29/02/2016 9:40	29/02/2016 11:10	Short	18	77.5	0.16%	4
  29/02/2016 9:35	29/02/2016 9:35	Short	0	-154	-0.33%	4
  29/02/2016 8:00	29/02/2016 8:05	Long	1	-154	-0.33%	4
  26/02/2016 11:55	26/02/2016 12:00	Short	1	6.5	0.01%	4
  26/02/2016 8:00	26/02/2016 11:55	Long	47	532	1.13%	4
  25/02/2016 8:00	25/02/2016 12:00	Short	48	51	0.11%	4
  24/02/2016 9:10	24/02/2016 12:00	Short	34	957.5	2.04%	4
  24/02/2016 8:00	24/02/2016 9:10	Long	14	14.5	0.03%	4
  23/02/2016 9:55	23/02/2016 10:45	Long	10	-154	-0.32%	4
  23/02/2016 8:00	23/02/2016 9:55	Short	23	-129	-0.27%	4
  22/02/2016 11:55	22/02/2016 12:00	Short	1	-18.5	-0.04%	4
  22/02/2016 8:10	22/02/2016 11:55	Long	44	440.5	0.93%	4
  22/02/2016 8:00	22/02/2016 8:10	Short	2	-117	-0.25%	4

  

  groen200

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  03/21/2016 at 12:38 PM #4035
  Nicolas

  Ok groen! you did it! you have posted something on the forum 🙂

  So if this the result of a backtest or a real-traded strategy performance? And tell us what is your question?

  

  Nicolas

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  03/21/2016 at 8:10 PM #4051
  groen200

  i want not more loss then 300 a day

  this is my code

  // Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd DEFPARAM FLATBEFORE=080000 DEFPARAM FLATAFTER=120000 dayprofitmax=1500 daylossmax=300 if intradaybarindex=0 then trading=1 lastdayprofit=strategyprofit endif if trading=1 and (strategyprofit > lastdayprofit+dayprofitmax or strategyprofit < lastdayprofit-daylossmax) then trading=0 sell at market exitshort at market endif //indi st = SuperTrend[2.8,3] //resetting variable once lasttrade = 0 IF LONGONMARKET then lasttrade = 1 elsif SHORTONMARKET then lasttrade = -1 elsif hour<8 OR hour>12 then lasttrade = 0 endif // Condities om long posities te openen IF close>st AND lasttrade<>1 THEN EXITSHORT AT MARKET BUY 1 LOT AT MARKET nextbaropen ENDIF // Condities om long posities te sluiten IF close<st AND lasttrade<>-1 THEN SELL AT MARKET SELLSHORT 1 lot at market nextbaropen ENDIF // Stops en targets SET STOP $LOSS 150 SET TARGET $PROFIT 1500

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49

  // Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd   DEFPARAM FLATBEFORE=080000 DEFPARAM FLATAFTER=120000 dayprofitmax=1500 daylossmax=300   if intradaybarindex=0 then trading=1 lastdayprofit=strategyprofit endif   if trading=1 and (strategyprofit > lastdayprofit+dayprofitmax or strategyprofit < lastdayprofit-daylossmax) then trading=0 sell at market exitshort at market endif //indi st = SuperTrend[2.8,3]   //resetting variable once lasttrade = 0   IF LONGONMARKET then lasttrade = 1 elsif SHORTONMARKET then lasttrade = -1 elsif hour<8 OR hour>12 then lasttrade = 0 endif   // Condities om long posities te openen IF close>st AND lasttrade<>1 THEN EXITSHORT  AT MARKET BUY 1 LOT AT MARKET nextbaropen   ENDIF   // Condities om long posities te sluiten IF close<st AND lasttrade<>-1 THEN SELL  AT MARKET SELLSHORT 1 lot at market nextbaropen   ENDIF   // Stops en targets SET STOP $LOSS 150 SET TARGET $PROFIT 1500

   

   

  

  groen200

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  03/21/2016 at 8:13 PM #4052
  groen200

  i hope it is ok now

  

  groen200

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  03/23/2016 at 8:28 PM #4172
  Nicolas

  Hello groen200, I see that someone else have changed the code a bit since the last time I helped you.

  In your code, the “daylossmax” parameter cut only actual trade but do not un-allow new ones to be launched. I think that I solved your problem :

  // Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd DEFPARAM FLATBEFORE=080000 DEFPARAM FLATAFTER=120000 dayprofitmax=1500 daylossmax=300 if intradaybarindex=0 then trading=1 lastdayprofit=strategyprofit endif if trading=1 and (strategyprofit > lastdayprofit+dayprofitmax or strategyprofit < lastdayprofit-daylossmax) then trading=0 sell at market exitshort at market endif //indi st = SuperTrend[2.8,3] //resetting variable once lasttrade = 0 IF LONGONMARKET then lasttrade = 1 elsif SHORTONMARKET then lasttrade = -1 elsif hour<8 OR hour>12 then lasttrade = 0 endif // Condities om long posities te openen IF close>st AND lasttrade<>1 THEN EXITSHORT AT MARKET if trading>0 then BUY 1 LOT AT MARKET nextbaropen endif ENDIF // Condities om long posities te sluiten IF close<st AND lasttrade<>-1 THEN SELL AT MARKET if trading>0 then SELLSHORT 1 lot at market nextbaropen endif ENDIF // Stops en targets SET STOP $LOSS 150 SET TARGET $PROFIT 1500

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51

  // Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd   DEFPARAM FLATBEFORE=080000 DEFPARAM FLATAFTER=120000 dayprofitmax=1500 daylossmax=300   if intradaybarindex=0 then trading=1 lastdayprofit=strategyprofit endif   if trading=1 and (strategyprofit > lastdayprofit+dayprofitmax or strategyprofit < lastdayprofit-daylossmax) then trading=0 sell at market exitshort at market endif //indi st = SuperTrend[2.8,3]   //resetting variable once lasttrade = 0   IF LONGONMARKET then lasttrade = 1 elsif SHORTONMARKET then lasttrade = -1 elsif hour<8 OR hour>12 then lasttrade = 0 endif   // Condities om long posities te openen IF close>st AND lasttrade<>1 THEN EXITSHORT  AT MARKET if trading>0 then BUY 1 LOT AT MARKET nextbaropen endif ENDIF   // Condities om long posities te sluiten IF close<st AND lasttrade<>-1 THEN SELL  AT MARKET if trading>0 then SELLSHORT 1 lot at market nextbaropen endif ENDIF   // Stops en targets SET STOP $LOSS 150 SET TARGET $PROFIT 1500

   

  

  Nicolas

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  04/08/2016 at 1:46 PM #5097
  wp01

  Dear Nicolas,

  Thank you for the support on this forum.

  I’ve also tried your code with the supertrend. I understand that this is for trading with daily bars.

  My question is if this code easily can be modified for usage on the 15 or 20 minutes timeframe?

  Thanks in advance for your reply.

  Regards,

  Patrick

  

  wp01

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  04/08/2016 at 5:02 PM #5110
  Nicolas

  Hello wp01,

  Since SuperTrend is an indicator that can be traded in any timeframe, this automated trading strategy code can be used for 15 or 20 minutes ones with no problem. This is not my code but a strategy made/submitted by groen200.

  As I remember correctly this strategy is already traded by this member in intraday charts, so you can use it as is, or adapt the Supertrend period to the instrument or timeframe you’d like to trade with. Change the period at line 20 :

  st = SuperTrend[2.8,3]

  1	st = SuperTrend[2.8,3]

   

  

  Nicolas

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  04/08/2016 at 9:28 PM #5137
  wp01

  Thanks for the reply Nicolas.

  I understand that i can use it in 15 or 20 minutes but I have no idea what to change in line 20.

   

  

  wp01

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  04/11/2016 at 3:32 PM #5231
  Michael

  The System is performing very well , I ‘m using it with one more timesetup e.g from 09:00 – 13:00 with also good results

  

  Michael

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  04/11/2016 at 3:54 PM #5232
  Nicolas

  @wp01

  At line 20, you’ll find the Supertrend parameters to adapt, look at the documentation and you’ll understand what I mean : http://www.prorealcode.com/documentation/supertrend/

  

  Nicolas

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