Basic pivot point intraday trading strategy

• 05/04/2017 at 8:29 AM #34489
  Seemore Profit

  A very basic strat i have used manually but with more flexability. Would require
  further back testing. Happy for your comments, very new to code so go easy on me!

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. DEFPARAM FLATBEFORE = 070000 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 184500 // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions ignored, ignored, ignored, ignored, ignored, ignored, indicator1 = CALL "Daily Pivots Points" c1 = (close CROSSES UNDER indicator1) IF c1 AND not daysForbiddenEntry THEN BUY 1 PERPOINT AT MARKET ENDIF // Conditions to enter short positions ignored, ignored, ignored, indicator2, ignored, ignored, ignored = CALL "Daily Pivots Points" c2 = (close CROSSES OVER indicator2) IF c2 AND not daysForbiddenEntry THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF // Stops and targets SET STOP pLOSS 10 SET TARGET pPROFIT 20

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. DEFPARAM FLATBEFORE = 070000 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 184500 // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions ignored, ignored, ignored, ignored, ignored, ignored, indicator1 = CALL "Daily Pivots Points" c1 = (close CROSSES UNDER indicator1) IF c1 AND not daysForbiddenEntry THEN BUY 1 PERPOINT AT MARKET ENDIF // Conditions to enter short positions ignored, ignored, ignored, indicator2, ignored, ignored, ignored = CALL "Daily Pivots Points" c2 = (close CROSSES OVER indicator2) IF c2 AND not daysForbiddenEntry THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF // Stops and targets SET STOP pLOSS 10 SET TARGET pPROFIT 20

   

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  05/04/2017 at 9:47 AM #34495
  Despair

  You should attach also your “Daily PP indicator”.

  

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  05/04/2017 at 9:50 AM #34496
  Maz

  Hiya, thanks for starting the topic. Would you care to explain a bit more around the premise – why it works, etc?

  Apart from eurodollar M3 what other assets and resolutions have you tested this on?

  Here is a template / boilerplate that will make it more portable and easier for the community to back test different instruments.

  // ====================================== \\ // :: System Parameters -- // -------------------------------------- // DEFPARAM cumulateOrders = false DEFPARAM flatBefore = 070000 DEFPARAM flatAfter = 184500 // ====================================== \\ // :: Globals -- // -------------------------------------- // once positionSize = 1 // ====================================== \\ // :: Optimizations -- // -------------------------------------- // once optimization = 1 // -- Optimization selection sets if optimization = 1 then // EUR_USD M3 dayStart = 230000 // for pivot points tradingTime = not (openDayOfWeek = 6 OR openDayOfWeek = 0) pointTarget = 20 pointRisk = 10 elsif optimization = 2 then // ANOTHER MARKET //dayStart = 230000 //tradingTime = not (openDayOfWeek = 6 OR openDayOfWeek = 0) //pointTarget = 20 //pointRisk = 10 endif // ====================================== \\ // :: Indicator logic-- // -------------------------------------- // // -- Pivot points ================= \\ nd = dayStart if barindex = 0 then init = 1 lastClose = undefined lastHigh = undefined lastLow = undefined PP = undefined Res1 = undefined Res2 = undefined Res3 = undefined Sup1 = undefined Sup2 = undefined Sup3 = undefined else ndA = ( time[2] < nd and time[1] >= nd AND dayofweek <> 0) ndB = ( time[2] < nd and time[1] >= nd and dayofweek[1] <> 0 and dayofweek[0] = 0) isNewDay = ndA or ndB // bit of speed optimziation if isNewDay then if init = 1 then lastHigh = High lastLow = Low init = 2 elsif init = 2 then lastClose = Close[1] PP = (lastClose + lastHigh + lastLow) / 3 hl = lastHigh - lastLow Res1 = 2 * PP - lastLow Sup1 = 2 * PP - lastHigh Res2 = PP + hl Sup2 = PP - hl Res3 = Res1 + hl Sup3 = Sup1 - hl lastHigh = High lastLow = Low endif endif if init = 2 then lastHigh = Max(lastHigh, High) lastLow = Min(lastLow, Low) endif endif // ----------------------------------- // // Ignored values to stop PRT kicking up a fuss if Res2 or Sup2 then endif // ====================================== \\ // :: Conditional logic-- // -------------------------------------- // closeAboveSup3 = (close CROSSES UNDER Sup3) closeBelowRes3 = (close CROSSES OVER Res3) bc1 = tradingTime and closeAboveSup3 sc1 = tradingTime and closeBelowRes3 // ====================================== \\ // :: Execution Handlers -- // -------------------------------------- // // -- Entry -- if bc1 then buy positionSize perPoint at Market endif if sc1 then sellShort positionSize perPoint at Market endif // -- Exit -- if onMarket then SET STOP pLOSS pointRisk SET TARGET pPROFIT pointTarget endif

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  // ====================================== \\ // :: System Parameters -- // -------------------------------------- // DEFPARAM cumulateOrders = false DEFPARAM flatBefore     = 070000 DEFPARAM flatAfter      = 184500   // ====================================== \\ // :: Globals -- // -------------------------------------- // once positionSize = 1   // ====================================== \\ // :: Optimizations -- // -------------------------------------- // once optimization = 1   // -- Optimization selection sets if optimization = 1 then // EUR_USD M3 dayStart    = 230000 // for pivot points tradingTime = not (openDayOfWeek = 6 OR openDayOfWeek = 0) pointTarget = 20 pointRisk   = 10   elsif optimization = 2 then // ANOTHER MARKET //dayStart    = 230000 //tradingTime = not (openDayOfWeek = 6 OR openDayOfWeek = 0) //pointTarget = 20 //pointRisk   = 10   endif     // ====================================== \\ // :: Indicator logic-- // -------------------------------------- //   // -- Pivot points ================= \\ nd = dayStart if barindex = 0 then init = 1 lastClose = undefined lastHigh  = undefined lastLow   = undefined PP   = undefined Res1 = undefined Res2 = undefined Res3 = undefined Sup1 = undefined Sup2 = undefined Sup3 = undefined else ndA = ( time[2] < nd and time[1] >= nd AND dayofweek <> 0) ndB = ( time[2] < nd and time[1] >= nd and dayofweek[1] <> 0 and dayofweek[0] = 0) isNewDay = ndA or ndB  // bit of speed optimziation if isNewDay then if init = 1 then lastHigh = High lastLow = Low init = 2 elsif init = 2 then lastClose = Close[1] PP = (lastClose + lastHigh + lastLow) / 3 hl = lastHigh - lastLow Res1 = 2 * PP - lastLow Sup1 = 2 * PP - lastHigh Res2 = PP + hl Sup2 = PP - hl Res3 = Res1 + hl Sup3 = Sup1 - hl lastHigh = High lastLow = Low endif endif if init = 2 then lastHigh = Max(lastHigh, High) lastLow = Min(lastLow, Low) endif endif // ----------------------------------- //     // Ignored values to stop PRT kicking up a fuss if Res2 or Sup2 then endif   // ====================================== \\ // :: Conditional logic-- // -------------------------------------- // closeAboveSup3 = (close CROSSES UNDER Sup3) closeBelowRes3 = (close CROSSES OVER Res3)   bc1 = tradingTime and closeAboveSup3 sc1 = tradingTime and closeBelowRes3     // ====================================== \\ // :: Execution Handlers -- // -------------------------------------- // // -- Entry -- if bc1 then buy positionSize perPoint at Market endif if sc1 then sellShort positionSize perPoint at Market endif   // -- Exit -- if onMarket then SET STOP pLOSS pointRisk SET TARGET pPROFIT pointTarget endif

  Hope that’s of use

  Best,

  M

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  05/04/2017 at 9:51 AM #34498
  Maz

  Indicator is included in above template btw

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  Maz

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  05/04/2017 at 4:18 PM #34554
  Seemore Profit

  HI Maz.

  Its just a simple fade trading strat really. Wanted to put it out there for traders like yourself to maybe think of ways to add and improve it.

  Tested on FSTE wasnt great, but was good on the AUD/USD. I tried 5m but wasnt as good.

  Thanks for the code, much more like it!!

  

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  05/04/2017 at 9:58 PM #34578
  Cosmic1

  I’ve thought about this algo idea many times. Great starting point. Is this pivot point code calculating the Spreadbet / CFD market or real market?

  

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  05/05/2017 at 10:22 AM #34611
  Seemore Profit

  I used it on my spreadbet market IG. I included the spread size of 0.8 tick which is larger than the 0.6 i pay. I done this to allow for slippage.

  

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  05/05/2017 at 10:25 AM #34615
  Seemore Profit

  It might be even more effective if combined with daily ATR.

  

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  05/05/2017 at 1:32 PM #34619
  Elsborgtrading

  @MAZ did you format this code with Notepad++ and copy pasted it? It seems like it’s keeping the formatting when I copy it into onenote- that is nice 🙂

  Cheers Kasper

   

   

  

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