Bollinger Bounce – Tweezer Strategy – Dax 1h

• 02/07/2017 at 1:38 PM #24211
  StantonR

  Hi There

  Yes ignore the above code as it not working correctly.

  I am trying to figure out ptrailing as I have used it in a number of simulations on demo and the stoploss doesnt kick in it only acts a a trailing stop once you have reached 10 pips in profit.

  So I am not sure what it is doing still testing that.

  I have only been using PRT for 2 weeks now so still fumbling around.

  The strategy seems to be working nicely when it comes to entry points just cant work out a good exit strategy or stoploss ( Maybe that means the strategy sucks 🙂 )

  Thanks

   

  

  StantonR

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  02/07/2017 at 2:00 PM #24216
  GraHal

  @Stanton what about zero spread … results are unrealistic with no spread?

  Also I get big loss when I include tick-tick, results are unrealistic with no tick-tick?

  No not sucks … exits are more difficult to get right than entries in my opinion … keep at it! Maybe pick / copy good / working / successful exit conditions from another Strategy altother and paste into your code!? 🙂

  

  GraHal

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  02/07/2017 at 2:51 PM #24221
  CN

  It does not suck, you are doing a great job StantonR! It gave me 50$ in profit today, thank you!!!

  As @grahal is saying, keep at it and yes, exits are the hardest!!

  

  CN

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  02/07/2017 at 4:30 PM #24232
  Nicolas

  <span class="token keyword">SET STOP</span> <span class="token keyword">pLOSS</span> <span class="token number">10</span> <span class="token keyword">pTRAILING</span> <span class="token number">10 </span>

  1 2	<span class="token keyword">SET STOP</span> <span class="token keyword">pLOSS</span> <span class="token number">10</span> <span class="token keyword">pTRAILING</span> <span class="token number">10 </span>

  This kind of statement can’t be used in IG live trading FYI. But it does work for backtests for sure.

  1 user thanked author for this post.

  CN

  

  Nicolas

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  02/07/2017 at 7:00 PM #24258
  CN

  Ok, Great to have that sorted, but Nicolas, below, what is wrong with the SL/TSL ?

  It does not work in live mode..

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 150 n = 1 tweezerTop = ABS(High -(High[1]))<= High * 0.0075 tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075 bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE Boll = 20 Boldown = BollingerDown[Boll](close) Bolup = BollingerUp[Boll](close) BolliLong = (low < Boldown) and tweezerBottom and bullindicator Bolishort = (high > Bolup) and tweezerTop and bearindicator IF NOT LongOnMarket AND BolliLong THEN BUY n CONTRACTS AT MARKET ENDIF // Conditions to enter short positions IF NOT ShortOnMarket and Bolishort THEN SELLSHORT n CONTRACTS AT MARKET ENDIF //trailing stop function trailingstart = 10 //trailing will start @trailinstart points profit trailingstep = 5 //trailing step to move the "stoploss" //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 150   n = 1   tweezerTop = ABS(High -(High[1]))<= High * 0.0075 tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075   bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE Boll = 20   Boldown = BollingerDown[Boll](close) Bolup = BollingerUp[Boll](close)     BolliLong = (low < Boldown) and tweezerBottom and bullindicator Bolishort = (high > Bolup) and tweezerTop and bearindicator   IF NOT LongOnMarket AND BolliLong THEN BUY n CONTRACTS AT MARKET     ENDIF   // Conditions to enter short positions IF NOT ShortOnMarket and Bolishort THEN SELLSHORT n CONTRACTS AT MARKET   ENDIF   //trailing stop function trailingstart = 10 //trailing will start @trailinstart points profit trailingstep = 5 //trailing step to move the "stoploss"   //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

  

  CN

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  02/08/2017 at 11:09 AM #24293
  Nicolas

  CN wrote:

  It does not work in live mode..

  What does not work exactly? Entries? or trailing stop?

  I do not see any stoploss in the strategy, only the trailing stop that will start once you reach 10 points profit.

  

  Nicolas

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  02/08/2017 at 11:14 AM #24297
  CN

  The trailing does not work. It sets itself 10pts down and stops there. Does not follow the movement.

  

  CN

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  02/08/2017 at 11:26 AM #24301
  Nicolas

  It works, please try to debug with GRAPH ! 🙂 this is the only instruction to debug variables, so please use it!

  Please find attached example of the “newSL” variable GRAPHed on chart in a backtest, you see that it moves correctly, at each new candlestick.

   

   

  

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  02/09/2017 at 11:16 AM #24474
  CN

  Here is the stats atm in demo with full-size AUD/USD, realy realy big possibilitys if we get the stop sorted.

  

  CN

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  02/11/2017 at 3:29 PM #24791
  GraHal

  To keep the momentum up, I’ve done a bit on this AUD/USD 100,000 units @ 1H average spread 1.4 (from link below).

  http://www.myfxbook.com/forex-broker-spreads/IG-AUDUSD-real-spread/1768,11

  // Main code : GS BollBounceTweez AUDUSD 1H //------------------------------------------------------------------------- DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 150 //DEFPARAM FlatAfter = 110000 //DEFPARAM FlatBefore = 190000 n = 1 tweezerTop = ABS(High -(High[1]))<= High * 0.0075 tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075 bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE Boll = 20 Boldown = BollingerDown[Boll](close) Bolup = BollingerUp[Boll](close) BolliLong = (low < Boldown) and tweezerBottom and bullindicator Bolishort = (high > Bolup) and tweezerTop and bearindicator IF NOT LongOnMarket AND BolliLong and SMI[14,3,5](close) < 45 THEN BUY n CONTRACTS AT MARKET ENDIF // Conditions to enter short positions IF NOT ShortOnMarket and Bolishort and SMI[14,3,5](close) > 45 THEN SELLSHORT n CONTRACTS AT MARKET ENDIF If ExponentialAverage[30](close) crosses under ExponentialAverage[250](close) Then Sell at Market Endif If ExponentialAverage[5](close) crosses over ExponentialAverage[40](close) Then EXITShort at Market Endif

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  // Main code : GS BollBounceTweez AUDUSD 1H //------------------------------------------------------------------------- DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 150 //DEFPARAM FlatAfter = 110000 //DEFPARAM FlatBefore = 190000 n = 1   tweezerTop = ABS(High -(High[1]))<= High * 0.0075 tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075   bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE Boll = 20   Boldown = BollingerDown[Boll](close) Bolup = BollingerUp[Boll](close)     BolliLong = (low < Boldown) and tweezerBottom and bullindicator Bolishort = (high > Bolup) and tweezerTop and bearindicator   IF NOT LongOnMarket AND BolliLong  and SMI[14,3,5](close) < 45 THEN BUY n CONTRACTS AT MARKET ENDIF   // Conditions to enter short positions IF NOT ShortOnMarket and Bolishort and SMI[14,3,5](close) > 45  THEN SELLSHORT n CONTRACTS AT MARKET ENDIF   If ExponentialAverage[30](close) crosses under ExponentialAverage[250](close) Then Sell at Market Endif   If ExponentialAverage[5](close) crosses over ExponentialAverage[40](close) Then EXITShort at Market Endif

   

   

  

  GraHal

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  02/12/2017 at 12:46 AM #24823
  GraHal

  Use below for exits if you think above is too optimised, but fear / down and greed / up are not ‘psychologically symmetrical activities’ so why would we expect symmetrical variables for EMA (any thoughts on that logic welcome)?

  Revised equity curve atached.

  If ExponentialAverage[30](close) crosses under ExponentialAverage[240](close) Then Sell at Market Endif If ExponentialAverage[30](close) crosses over ExponentialAverage[240](close) Then EXITShort at Market Endif

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  If ExponentialAverage[30](close) crosses under ExponentialAverage[240](close) Then Sell at Market Endif   If ExponentialAverage[30](close) crosses over ExponentialAverage[240](close) Then EXITShort at Market Endif

   

  

  GraHal

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