Break of Opening 5 min bar

• 10/11/2016 at 11:23 AM #14679
  Dymjohn

  Hi Nicolas

  I’ve written a strategy to take the break of the first 5 minute candle on the DAX with a couple of other criteria. It is very similar to something already in the database.

  I’m happy to share on the database but not sure if it will add anything.

  I am trading live and although testing works well with good profits in live it sometimes falls over because I’ve specified a “BuyPrice” or “SellPrice” of zero.

  If I change these prices to day 10 it will not work properly and takes trades at other times. I want it to always use the 5 minute candle that starts at 8:00 UK time. Note also that entry should be 2 points above or below the opening candle as this is not working properly either.

  The code is as follows so if you can help can you give me a price please to complete the work if necessary.

  //------------------------------------------------------------------------- // Main code : JAP Breakout 5 min open //------------------------------------------------------------------------- // JAP Breakout 5min // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 162000 DEFPARAM PRELOADBARS = 500 LastEntryTime = 083000 //market analysis starts at the 5 min. candle which closes at 8:00 StartTime = 080000 //ignore saturday and Sunday trading TD=Trading Day if DayOfWeek = 6 OR DayOfWeek = 7 THEN TD = 0 else TD = 1 endif //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif // Money Management Capital = 4000 Risk = 0.03 StopLoss = 45 // VARY TO DETERMINE RISK //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) if PositionSize >= 10 Then PositionSize = 10 endif // variables set t personal preferences OrderDistance = 2 //initialize variable once at beginning of trading system ONCE StartTradingDay = -1 //The variables which can change during the day are initialized //at the beginning of each new trading day If (Time <= StartTime AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyPrice = 0 SellPrice = 0 StartTradingDay = 0 ELSIF Time >= StartTime AND StartTradingDay = 0 AND TD = 1 THEN //We store the index of the first bar of the trading day IndexStartDay = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 and Time <= LastEntryTime THEN IF BuyPrice = 0 OR SellPrice = 0 THEN UpperLevel = Highest[IntradayBarIndex - IndexStartDay +1] (High) LowerLevel = Lowest [IntradayBarIndex - IndexStartDay +1] (Low) endif BuyPrice = UpperLevel + OrderDistance*PointSize SellPrice = LowerLevel - OrderDistance*Pointsize endif //Long position indicator3 = Average[100](close) c3= (close > indicator3) IF Time <= LastEntryTime AND c3 THEN BUY PositionSize CONTRACTS AT BuyPrice STOP ENDIF // Conditions to enter short positions indicator4 = Average[100](close) c4 = (close < indicator4) indicator7 = DClose(1) indicator8 = SellPrice c7 = (indicator7 < indicator8) indicator6 = (high-low) c6 = (indicator6 < 42) IF Time <= LastEntryTime AND c6 AND c4 AND C7 THEN SELLSHORT PositionSize CONTRACTS AT SellPrice STOP ENDIF //trailing stop trailingstop = 45 //case SHORT order trailshort = 40 if shortonmarket then MINPRICE = MIN(MINPRICE,Low) //saving the MFE of the current trade if tradeprice(1)-MINPRICE> 0 then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailshort*pointsize //set the exit price at the MFE + trailing stop price level endif if tradeprice(1)-MINPRICE<= 0 then priceexit = tradeprice(1)+trailshort*pointsize endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,High) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>= 0 then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif if MAXPRICE-tradeprice(1)<= 0 then priceexit = tradeprice-trailingstop*pointsize// ensures trailing stop is in place mJAP improvement endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  //------------------------------------------------------------------------- // Main code : JAP Breakout 5 min open //------------------------------------------------------------------------- // JAP Breakout 5min // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 162000 DEFPARAM PRELOADBARS = 500 LastEntryTime = 083000 //market analysis starts at the 5 min. candle which closes at 8:00 StartTime = 080000 //ignore saturday and Sunday trading TD=Trading Day if DayOfWeek = 6 OR DayOfWeek = 7 THEN TD = 0 else TD = 1 endif //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif // Money Management Capital = 4000 Risk = 0.03 StopLoss = 45 // VARY TO DETERMINE RISK //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) if PositionSize >= 10 Then PositionSize = 10 endif // variables set t personal preferences OrderDistance = 2 //initialize variable once at beginning of trading system ONCE StartTradingDay = -1 //The variables which can change during the day are initialized //at the beginning of each new trading day If (Time <= StartTime AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyPrice = 0 SellPrice = 0 StartTradingDay = 0 ELSIF Time >= StartTime AND StartTradingDay = 0 AND TD = 1 THEN //We store the index of the first bar of the trading day IndexStartDay = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 and Time <= LastEntryTime THEN IF BuyPrice = 0 OR SellPrice = 0 THEN UpperLevel = Highest[IntradayBarIndex - IndexStartDay +1] (High) LowerLevel = Lowest [IntradayBarIndex - IndexStartDay +1] (Low) endif BuyPrice = UpperLevel + OrderDistance*PointSize SellPrice = LowerLevel - OrderDistance*Pointsize endif //Long position indicator3 = Average[100](close) c3= (close > indicator3) IF Time <= LastEntryTime AND c3 THEN BUY PositionSize CONTRACTS AT BuyPrice STOP ENDIF // Conditions to enter short positions indicator4 = Average[100](close) c4 = (close < indicator4) indicator7 = DClose(1) indicator8 = SellPrice c7 = (indicator7 < indicator8) indicator6 = (high-low) c6 = (indicator6 < 42) IF Time <= LastEntryTime AND c6 AND c4 AND C7  THEN SELLSHORT PositionSize CONTRACTS AT SellPrice STOP ENDIF //trailing stop trailingstop = 45 //case SHORT order trailshort = 40 if shortonmarket then MINPRICE = MIN(MINPRICE,Low) //saving the MFE of the current trade if tradeprice(1)-MINPRICE> 0 then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailshort*pointsize //set the exit price at the MFE + trailing stop price level endif if tradeprice(1)-MINPRICE<= 0 then priceexit = tradeprice(1)+trailshort*pointsize endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,High) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>= 0 then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif if MAXPRICE-tradeprice(1)<= 0 then priceexit = tradeprice-trailingstop*pointsize// ensures trailing stop is in place mJAP improvement endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  Best regards

  

  

  Dymjohn

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