[beta-testing] multi timeframe support for automatic trading, ideas are welcome!

• 08/08/2018 at 3:58 PM #77788
  Nicolas

  Or in this article I wrote today:

  Partial closure of positions when price is retracing – A complete function

  

  Nicolas

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  08/09/2018 at 4:14 PM #77878
  Marc

  Hola together,   this is probably a MTF system for which I need some help from you. Pls find more information attached Rgds Marc

  P.s.: there is already a thread within this forum for this idea I’ve opened yesterday

  

  Marc

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  08/10/2018 at 9:18 PM #77987
  Gianluca

  Nicolas wrote:

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  Ok, but i tried with a Daily code like Pathfinder Swing, and using the Timeframe 1h for the trailing stop funcion, PRT said that the the all the timeframes should be multiplies of the main TF.

  

  Gianluca

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  08/10/2018 at 9:54 PM #77989
  robertogozzi

  Yes, they need to be multiple of the main timeframe, which is the lowest one, the one you choose to launch your strategy.

  If you use the daily TF, you are allowed to launch it from a 1-hour chart.

  If you are using Daily+1-hour TF you will not be allowed to launch your strategy from a 4-hour chart because it’s not the lowest TF,

  If you are using 4-hour TF + 15-minute TF you won’t be allowed  to launch your strategy from a 10-minute because 15 is not a multiple of 10, in this case use 5 minutes instead, or change 15 to 30.

  

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  08/16/2018 at 11:00 AM #78355
  robertogozzi

  BARINDEX always keeps track of the bars in the lowest TF (the one used to launch a strategy, or default TF), so we need to set up variables to count bars on higher TFs as time goes by.

  To avoid this overhead I suggest that, mirroring the TIMEFRAME syntax, also BARINDEX accepts a TF within parenthesis, like:

  BarIndex (10 seconds) BarIndex (1 hours) Barindex (Monthly)

  1 2 3

  BarIndex (10 seconds) BarIndex (1 hours) Barindex (Monthly)

  and that referencing past bars would still be allowed:

  BarIndex (4 hours)[0] //or just BarIndex (4 hours) BarIndex (4 hours)[1] . .

  1 2 3 4

  BarIndex (4 hours)[0]    //or just BarIndex (4 hours) BarIndex (4 hours)[1] . .

   

  

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  08/18/2018 at 3:13 PM #78548
  Vonasi

  It would be nice if we could optimize the time frame. For example:

  //x = 52 //(variable to be optimized) timeframe (x weeks, default) a = weightedclose[1] timeframe (weekly, default) (strategy here with filter using 'a')

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  //x = 52 //(variable to be optimized)   timeframe (x weeks, default) a = weightedclose[1]   timeframe (weekly, default) (strategy here with filter using 'a')

   

  

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  08/21/2018 at 6:04 PM #78717
  Gianluca

  Ok, but results are not the same, i tried to use a 4h strategy in a 30m Timeframe, at the beginning of the code i’ve wrote

  timeframe(4h)

  1	timeframe(4h)

  so the strategy should work exactly as a 4hr TF but not, doesn’t happened and results are totally differents, can i post the code?

  

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  08/21/2018 at 7:00 PM #78719
  Vonasi

  Gianluca wrote:

  can i post the code?

  That would be helpful – every problem can be solved with the maximum amount of information! 🙂

  

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  08/21/2018 at 8:22 PM #78720
  Gianluca

  Ok, let us take the Pathfinder Code of the Eur/Usd

  robertogozzi wrote:

  BARINDEX always keeps track of the bars in the lowest TF (the one used to launch a strategy, or default TF), so we need to set up variables to count bars on higher TFs as time goes by.

  To avoid this overhead I suggest that, mirroring the TIMEFRAME syntax, also BARINDEX accepts a TF within parenthesis, like:

  BarIndex (10 seconds)<br /> BarIndex (1 hours)<br /> Barindex (Monthly)

  1 2 3

  BarIndex (10 seconds) BarIndex (1 hours) Barindex (Monthly)

  and that referencing past bars would still be allowed:

  BarIndex (4 hours)[0] //or just BarIndex (4 hours)<br /> BarIndex (4 hours)[1]<br /> .<br /> .

  1 2 3 4

  BarIndex (4 hours)[0] //or just BarIndex (4 hours) BarIndex (4 hours)[1] . .

  i think is the problem that i found with the code like pathfinder, but if i change the Barindex as you said there is a sintax error:

  // ProOrder code parameter DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000 timeframe (4h, default) // define intraday trading window ONCE startTime = 90000 // start time of trading window in CET ONCE endTime = 210000 // end time of trading window in CET // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 // 5 is center of gravity, do not change ONCE periodSecondMA = 10 // 10 is center of gravity, do not change ONCE periodThirdMA = 3 // heartbeat of the instrument // define filter parameter ONCE periodLongMA = 150 // period lenght of the long moving average that works as filter ONCE periodShortMA = 210 // period lenght of the short moving average that works as filter // define money and position management parameter // dynamic scaling of the chance/risk profile depending on account size ONCE startRisk = 1//1 // start risk level e.g 0.25 - 25%, 0.5 - 50%, 0.75 - 75%, 1 - 100% and so on ONCE maxRisk = 20 // max risk level e.g 1.5 - 150% ONCE increaseRiskLevel = 500// amount of profit from which the risk is to be increased ONCE increaseRiskStep = 1.5//1//1//1 // step by which the risk should be increased // size calculation: size = positionSize * trendMultiplier * saisonalPatternMultiplier * scaleFactor ONCE positionSize = 1 // default start size ONCE trendMultiplier = 2 // >1 with dynamic position sizing; 1 without ONCE maxPositionSizePerTrade = 500 // maximum size per trade ONCE maxPositionSizeLong = 500 // maximum size for long positions ONCE maxPositionSizeShort = 500 // maximum size for short positions ONCE stopLossLong = 1.6//2.8 //in % ONCE stopLossShort = 2.4//2.4 //in % ONCE takeProfitLong = 1.7//1 //in % ONCE takeProfitShort =0.8// 0.8 //in % ONCE trailingStartLong = 0.2 //in % ONCE trailingStartShort = 0.1 //in % ONCE trailingStepLong = 0.1 //in % ONCE trailingStepShort = 0.1 //in % timeframe (4h) ONCE maxCandlesLongWithProfit = 1//1//1 //take long profit latest after x candles ONCE maxCandlesShortWithProfit = 2//2 // take short profit latest after x candles ONCE maxCandlesLongWithoutProfit = 18 // limit long loss latest after x candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after x candles // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3 ONCE January2 = 0 ONCE February1 = 1 ONCE February2 = 3 ONCE March1 = 0 ONCE March2 = 3 ONCE April1 = 3 ONCE April2 = 3 ONCE May1 = 3 ONCE May2 = 1 ONCE June1 = 3 ONCE June2 = 3 ONCE July1 = 0 ONCE July2 = 0 ONCE August1 = 3 ONCE August2 = 3 ONCE September1 = 3 ONCE September2 = 0 ONCE October1 = 3 ONCE October2 = 3 ONCE November1 = 3 ONCE November2 = 2 ONCE December1 = 3 ONCE December2 = 3 // calculate the scaling factor based on the parameter scaleFactor = MIN(maxRisk, MAX(startRisk, ROUND(StrategyProfit / increaseRiskLevel) * increaseRiskStep)) // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 IF DayOfWeek <> DayOfWeek[1] AND DayOfWeek = 1 THEN IF StrategyProfit > profitLastWeek + 1 THEN positionSize = MIN(trendMultiplier, positionSize + 1) // increase risk ELSE positionSize = MAX(1, positionSize - 1) // decrease risk ENDIF profitLastWeek = strategyProfit ENDIF // calculate daily high/low (include sunday values if available) dailyHigh = DHigh(1) dailyLow = DLow(1) previousDailyHigh = DHigh(2) // calculate weekly high, weekly low is a poor signal If DayOfWeek < DayOfWeek[1] AND lastweekbarindex = 0 THEN lastWeekBarIndex = BarIndex ELSE IF DayOfWeek < DayOfWeek[1] THEN weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF ENDIF // calculate monthly high/low IF Month <> Month[1] AND lastMonthBarIndex=0 THEN lastMonthBarIndex=barindex ELSIF Month <> Month[1] THEN monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA) // save position before trading window is open IF Time < startTime THEN startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES ENDIF // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // set saisonal multiplier currentDayOfTheMonth = OpenDay midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF ENDIF // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow s3 = signalline CROSSES UNDER previousDailyHigh // long entry with order cumulation IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) AND NOT alreadyReducedLongPosition THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * saisonalPatternMultiplier) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF // short entry with order cumulation IF ( (s1 AND f3) OR (s2 AND f1) OR (s3 AND f3) ) AND NOT alreadyReducedShortPosition THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * ABS(saisonalPatternMultiplier)) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize numberCandles = (BarIndex - TradeIndex) m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit m2 = posProfit > 0 AND numberCandles >= maxCandlesShortWithProfit m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND numberCandles >= maxCandlesShortWithoutProfit // take profit after max candles IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF // trailing stop function (convert % to pips) trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100 trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100 trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100 trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100 // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize stopLoss = stopLossLong * 0.1 takeProfit = takeProfitLong * 2 ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF // stop order to exit the positions IF newSL > 0 THEN IF LONGONMARKET THEN SELL AT newSL STOP ENDIF IF SHORTONMARKET THEN EXITSHORT AT newSL STOP ENDIF ENDIF // superordinate stop and take profit SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // ProOrder code parameter DEFPARAM CUMULATEORDERS            = true   // cumulate orders if not turned off DEFPARAM PRELOADBARS               = 10000   timeframe (4h, default) // define intraday trading window ONCE startTime                     = 90000  // start time of trading window in CET ONCE endTime                       = 210000 // end time of trading window in CET   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA                 = 5     // 5 is center of gravity, do not change ONCE periodSecondMA                = 10    // 10 is center of gravity, do not change ONCE periodThirdMA                 = 3     // heartbeat of the instrument   // define filter parameter ONCE periodLongMA                  = 150   // period lenght of the long moving average that works as filter ONCE periodShortMA                 = 210    // period lenght of the short moving average that works as filter   // define money and position management parameter   // dynamic scaling of the chance/risk profile depending on account size ONCE startRisk                     = 1//1  // start risk level e.g 0.25 - 25%, 0.5 - 50%, 0.75 - 75%, 1 - 100% and so on ONCE maxRisk                       = 20     // max risk level e.g  1.5 - 150% ONCE increaseRiskLevel             = 500// amount of profit from which the risk is to be increased ONCE increaseRiskStep              = 1.5//1//1//1  // step by which the risk should be increased   // size calculation: size = positionSize * trendMultiplier * saisonalPatternMultiplier * scaleFactor ONCE positionSize                  = 1     // default start size ONCE trendMultiplier               = 2     // >1 with dynamic position sizing; 1 without ONCE maxPositionSizePerTrade       = 500     // maximum size per trade ONCE maxPositionSizeLong           = 500    // maximum size for long positions ONCE maxPositionSizeShort          = 500    // maximum size for short positions   ONCE stopLossLong                  = 1.6//2.8  //in % ONCE stopLossShort                 = 2.4//2.4  //in % ONCE takeProfitLong                = 1.7//1    //in % ONCE takeProfitShort               =0.8// 0.8  //in % ONCE trailingStartLong             = 0.2  //in % ONCE trailingStartShort            = 0.1  //in % ONCE trailingStepLong              = 0.1  //in % ONCE trailingStepShort             = 0.1  //in % timeframe (4h) ONCE maxCandlesLongWithProfit      = 1//1//1    //take long profit latest after x candles ONCE maxCandlesShortWithProfit     = 2//2    // take short profit latest after x candles ONCE maxCandlesLongWithoutProfit   = 18    // limit long loss latest after x candles ONCE maxCandlesShortWithoutProfit  = 25    // limit short loss latest after x candles   // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1                      = 3 ONCE January2                      = 0 ONCE February1                     = 1 ONCE February2                     = 3 ONCE March1                        = 0 ONCE March2                        = 3 ONCE April1                        = 3 ONCE April2                        = 3 ONCE May1                          = 3 ONCE May2                          = 1 ONCE June1                         = 3 ONCE June2                         = 3 ONCE July1                         = 0 ONCE July2                         = 0 ONCE August1                       = 3 ONCE August2                       = 3 ONCE September1                    = 3 ONCE September2                    = 0 ONCE October1                      = 3 ONCE October2                      = 3 ONCE November1                     = 3 ONCE November2                     = 2 ONCE December1                     = 3 ONCE December2                     = 3   // calculate the scaling factor based on the parameter scaleFactor = MIN(maxRisk, MAX(startRisk, ROUND(StrategyProfit / increaseRiskLevel) * increaseRiskStep))   // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 IF DayOfWeek <> DayOfWeek[1] AND DayOfWeek = 1 THEN IF StrategyProfit > profitLastWeek + 1  THEN positionSize = MIN(trendMultiplier, positionSize + 1) // increase risk ELSE positionSize = MAX(1, positionSize - 1) // decrease risk ENDIF profitLastWeek = strategyProfit ENDIF   // calculate daily high/low (include sunday values if available) dailyHigh = DHigh(1) dailyLow = DLow(1) previousDailyHigh = DHigh(2)   // calculate weekly high, weekly low is a poor signal If DayOfWeek < DayOfWeek[1] AND lastweekbarindex = 0 THEN lastWeekBarIndex = BarIndex ELSE IF DayOfWeek < DayOfWeek[1] THEN weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF ENDIF   // calculate monthly high/low IF Month <> Month[1] AND lastMonthBarIndex=0 THEN lastMonthBarIndex=barindex ELSIF Month <> Month[1] THEN monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF   // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA)   // save position before trading window is open IF Time < startTime THEN startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES ENDIF   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // set saisonal multiplier currentDayOfTheMonth = OpenDay midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF ENDIF   // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES  < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort   // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow   // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow s3 = signalline CROSSES UNDER previousDailyHigh   // long entry with order cumulation IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) AND NOT alreadyReducedLongPosition THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * saisonalPatternMultiplier) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ENDIF   stopLoss = stopLossLong takeProfit = takeProfitLong   ENDIF   // short entry with order cumulation IF ( (s1 AND f3) OR (s2 AND f1) OR (s3 AND f3) ) AND NOT alreadyReducedShortPosition THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * ABS(saisonalPatternMultiplier)) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ENDIF   stopLoss = stopLossShort takeProfit = takeProfitShort   ENDIF   // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize numberCandles = (BarIndex - TradeIndex)   m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit m2 = posProfit > 0 AND numberCandles >= maxCandlesShortWithProfit m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND numberCandles >= maxCandlesShortWithoutProfit   // take profit after max candles IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF // trailing stop function (convert % to pips) trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100 trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100 trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100 trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100   // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF   // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize stopLoss = stopLossLong * 0.1 takeProfit = takeProfitLong * 2 ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF   // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF   // stop order to exit the positions IF newSL > 0 THEN IF LONGONMARKET THEN SELL AT newSL STOP ENDIF IF SHORTONMARKET THEN EXITSHORT AT newSL STOP ENDIF ENDIF   // superordinate stop and take profit SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

  

  

  Gianluca

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  08/21/2018 at 10:56 PM #78732
  robertogozzi

  Gianluca, I don’t understand what use is my post for your startegy. Mine were jus suggestions for PRT, what’s wrong with your code?

  You are uning 1 TF (4 hours), not MTF.

  If you want to make it MTF, what TFs would you like to run it?

  

  robertogozzi

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  08/22/2018 at 9:28 AM #78747
  Nicolas

  with: timeframe (4h, default)

  Your strategy has a different behavior than using it without the timeframe instruction in a 4 hours timeframe. “Default” means that the code is read at Close of the timeframe you launch the strategy on.

  

  Nicolas

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  08/23/2018 at 12:04 PM #78845
  Gianluca

  In order to use the MTF in a trailing stop like using a strategy 4h and a trailing stop code every 30 minutes, we have to launch the default code (originally from 4h) in the 30m TF, then use the function

  timeframe (4h)

  1	timeframe (4h)

  Right? First of all i tried to compare the behavior of the sistem (the code i posted) to see if it work in the same way but it didn’t.

  If i launch a code (originally 4h) in the TF 30m or 1h… and i use the function “timeframe (4h)” that should work in the same way of the originally 4h no?

  

  Gianluca

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  08/23/2018 at 3:29 PM #78855
  Vonasi

  You must put

  timeframe(4 hour) (your strategy code that works in 4 hour time frame) timeframe (default) (any code such as your trailing stop that needs to work in the 30 minute time frame)

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  timeframe(4 hour) (your strategy code that works in 4 hour time frame)   timeframe (default) (any code such as your trailing stop that needs to work in the 30 minute time frame)

  and then run the strategy on a 30 minute chart.

  

  Vonasi

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  08/24/2018 at 7:58 AM #78889
  Gianluca

  Vonasi wrote:

  You must put

  timeframe(4 hour)<br /> (your strategy code that works in 4 hour time frame)</p> <p>timeframe (default)<br /> (any code such as your trailing stop that needs to work in the 30 minute time frame)

  1 2 3 4 5

  timeframe(4 hour) (your strategy code that works in 4 hour time frame) timeframe (default) (any code such as your trailing stop that needs to work in the 30 minute time frame)

  and then run the strategy on a 30 minute chart.

  yes, and the code of the 4hrs should work normally like in the 4hrs right? and if it doesn’t? should be a bug right?

  

  Gianluca

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  08/24/2018 at 9:41 AM #78912
  Vonasi

  Gianluca wrote:

  yes, and the code of the 4hrs should work normally like in the 4hrs right? and if it doesn’t? should be a bug right?

  or it could be that you are not using the correct setting DEFAULT or UPDATEONCLOSE.

  timeframe(4 hour,default) timeframe(4 hour,updateonclose)

  1 2 3

  timeframe(4 hour,default)   timeframe(4 hour,updateonclose)

  UPDATEONCLOSE will only change the 4 hour codes values, conditions being met etc when the 4 hour candle closes.

  DEFAULT will change them when the candle closes in the timeframe that you are trading on.

  

  Vonasi

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