Breakeven- en trailingstop on different securities & indexes & forex

Paul · Tue, 05 Feb 2019 03:25:26 +0000

Use breakeven- en trailingstop on different securities & indexes & forex I want it to work well in every scenario, regardless of forex, shares etc. So i’am testing one variable extra and called it underlaying. It seems I got it to work for SL & PT & BE. Underlaying1 is not meant to optimize. It’s either 0.01 0.1 1 10 100 depending on forex, index etc. With the right value the lines match the SL and PT. If that’s correct the BE value is correct too. i.e. use for gdpusd underlaying1=0.01 but for the dax underlaying1=100 and for shares 1. And so far no need to touch underlaying2 I’am open for suggestions, for a cleaner code and a solution for the TS. // test trailingstop and breakeven on the dax defparam cumulateorders = false once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 0 // trailing stop once enableBE = 1 // breakeven stop once displaySL = 1 // stop loss once displayPT = 1 // profit target once displayTS = 0 // trailing stop once displayBE = 1 // breakeven stop SL = 0.75 // % stop loss PT = 0.50 // % profit target TS = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level // underlaying security / index / forex // profittargets and stoploss have to match the lines // 0.01 FOREX [i.e. GBPUSD=0.01] // 1.00 SECURITIES [i.e. aapl=1 ; // 100.00 INDEXES [i.e. dax=100] // XAUUSD = 100 // CL US Crude = 100 underlaying1=1 // SL & PT underlaying2=underlaying1/100 // BE [ don't change] //underlaying3=1 // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif pclong = longtradecounter<1 pcshort = shorttradecounter<1 shortma = average[sm](close) longma = average[lm](close) // conditions to enter long positions l1 = (shortma crosses over longma) // conditions to enter short s1 = (shortma crosses under longma) if pclong and l1 then buy 1 contract at market longtradecounter=longtradecounter+1 endif if pcshort and s1 then sellshort 1 contract at market shorttradecounter=shorttradecounter+1 endif // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS*pointsize if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pointsize then priceexit=maxprice-trailingstop*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pointsize then priceexit=minprice+trailingstop*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif if displayTS then graphonprice priceexit coloured(0,0,255,255) as "trailingstop" endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=(((tradeprice(1)/100)*BESG)/underlaying2)*pointsize then newsl=tradeprice(1)+(((tradeprice(1)/100)*BESL)/underlaying2)*pointsize endif endif if shortonmarket then if tradeprice(1)-close>=(((tradeprice(1)/100)*BESG)/underlaying2)*pointsize then newsl=tradeprice(1)-(((tradeprice(1)/100)*BESL)/underlaying2)*pointsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif if displayBE then graphonprice newsl coloured(244,102,27,255) as "breakevenstop" endif endif // to set & display profittarget if enablePT then set target %profit PT if displaypt then if not onmarket then ptarget=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then ptarget=0 endif if onmarket then if longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*PT)/underlaying1)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*PT)/underlaying1)*pointsize endif endif graphonprice ptarget coloured(121,141,35,255) as "profittarget" endif endif // to set & display stoploss if enableSL then set stop %loss SL if displaysl then if not onmarket then sloss=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then sloss=0 endif if onmarket then if longonmarket then sloss=tradeprice(1)-((tradeprice(1)*SL)/underlaying1)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*SL)/underlaying1)*pointsize endif endif graphonprice sloss coloured(255,0,0,255) as "stoploss" endif endif graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

This topic has 79 replies, 15 voices, and was last updated 4 years ago by Paul.

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04/16/2020 at 6:10 PM #126439

Paul

I understand your interest in other markets. You will have to start excluding parameters to the point where it starts taking trades. But it breaks the coherence of the parameters. Not sure it’s worth the effort though.

Paul

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04/16/2020 at 9:31 PM #126454

Dr Manhattan

>> meant to quote GraHal here but something happened…

1st is for set up of what to use, the 2nd is the bread and butter if you dont make the home run, the third is the execution of it all if I can understand it correctly. I will try to apply this when standard deviation of range goes outside of a regular day. Usually there is a small profit to be collected there on both sides, but it is usually a quick one and needs a really good trailing to make it before a reversal. Maybe this can do it. 🙂

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05/02/2020 at 12:15 PM #129380

GraHal

I am clearing the decks of loads of Systems … off PRT and onto my PC.

I came across attached … good results so I thought I’d add to this Topic! I did not optimise at all, just backtested today!

Paul you put so much hard work … I hope this Topic might be revived.

I will put on Forward Test on Monday and report back … and if I forget to report back, please remind me at some stage anybody!? 🙂

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05/12/2020 at 7:15 PM #131367

Franro

@grahal im just here to remind you hehe 😀

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05/12/2020 at 8:44 PM #131385

GraHal

Ha and I needed reminding too … I had put it in my ‘4Test folder’ and then forgot to put it on test!

I’ve been doing very well this week on manual trades and it’s taken my eye off the Auto-Systems!

I’ve just set it going on Forward Test.

Thanks

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05/13/2020 at 11:15 PM #131573

nonetheless

Hi @Paul, I’ve been playing with the ATR TS code you used on the new Vectorial DAX and the results are fantastic – just wanted to say a big thanks for that!

Looking at this section of it,

once tsincrements = 0.5          // set to 0 to ignore tsincrements
once tsminatrdist = 4.0

once tsatrperiod    = 14         // ts atr parameter
once tsminstop      = 10         // ts minimum stop distance

once tssensitivity        = 0    // [0]close;[1]high/low

if trailingstoptype then
if barindex=tradeindex then
trailingstoplong     = 8   // ts atr distance
trailingstopshort    = 8   // ts atr distance

once tsincrements = 0.5 // set to 0 to ignore tsincrements

once tsminatrdist = 4.0

once tsatrperiod = 14 // ts atr parameter

once tsminstop = 10 // ts minimum stop distance

once tssensitivity = 0 // [0]close;[1]high/low

if trailingstoptype then

if barindex=tradeindex then

trailingstoplong = 8 // ts atr distance

trailingstopshort = 8 // ts atr distance

I tend to leave tsatrperiod and tsminstop as they are, as those values seem to work on any instrument and TF. But changes to ts atr distance, tsminatrdist, and tsincrements all have a huge effect. I’m still a bit unclear as to how these 3 work together. A lower ts atr distance, 3 to 6 for example, def gives a higher win % and seems better for scalping.

Do you have any basic rule of thumb as to how you select values for those on different instruments or TFs?

At the moment I’m working on a 2m TF with atr distance =5, tsminatrdist=2 and increments=0, seems to get good results overall.

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05/14/2020 at 7:56 AM #131601

bertrandpinoy

what do you mean by ATR = 5
I put the screen copy for more understanding

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05/14/2020 at 8:48 AM #131614

nonetheless

i mean trailingstoplong / short = 5

ts atr distance is rem’d out

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05/14/2020 at 2:44 PM #131671

Paul

Hi Nonetheless. Thanks for your comment!

I do the same with the tsatrperiod, leaving it at 14 regardless instrument.

the tsminstop is different. For this it’s best to have the correct value from IG.

It means if the current price is too close to the ts exit stop price, it will reject the exit when using the wrong value. (not visible in a backtest)

Because of this I added an extra exit criteria, if index crosses over/under the tsnewsl it still exits next bar at open on market. My purpose was for fast timeframes, because if the stop is rejected, the next bar will be fast. On a hourly timeframe it doesn’t bring much.

Then there’s tssensitivity. If you have often a spike and a close considerably away from the new high/low, the system originally only use the close. With some algo’s I thought might be interesting to calculate from the real high/low instead of close.

The trailingstop long/short is used to set the atr distance when the gains are sufficient. I do not have a basic rule on this, but when the trailing stop starts working, it has to have gains which makes sense compared to a loss on stoploss or average losses.

In the old situation, with tsincrements at 0 and tssensitivity at 0, it means a fixed (besides the round difference) number of points for the trailing stop. Those points are calculated from the highest/lowest close.

In the other situation, it starts working when the atr distance trailingstoplong/short is reached.

From that moment on it starts reducing the atr distance to the tsminatrdist with he increments set. Values which make sense normally are 0-0.25 with increments of 0.05. At the vectorial dax I’ve put them even higher.

In other words, if the trailing stop value in points was originally +/- 80, it starts reducing it to +/- 40 points quickly once it kicks in (using values in vectorial dax)

To have a better visual, try to use graph tgl/tgs and graphonprice tsnewsl and see the difference using increments at zero and higher.

The trailingstop doesn’t do completely what I had in mind though, but for me it’s good.

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05/14/2020 at 4:24 PM #131681

nonetheless

Thanks very much for the explanation, that makes a lot of things clearer. ATR TS is so much more sophisticated than the standard version where all you really have is the start and the step. Yours does a much better job of catching a bigger piece of the MFE for trades that don’t ever get to the TP.

It’s a brilliant contribution, consider me a convert. 👍

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05/15/2020 at 6:10 PM #131809

swedshare

I have a “trailing challenge” for anyone up to it. I would guess that @Paul and @nonetheless might like this.

Attached is the Kama Sma strategy originally posted by robertogozzi. It includes his sophisticated trail. However the gain/loss ratio is about the same (2.6-2.7) with and without the trail. The win-rate is better with trail. But the interesting part is the MFE/MAE ratio at 3.7 (!) meaning there is way more candy to steal. I have tried a lot of trails and breakevens from this forum but can’t find a good one boosting the G/L above 3. Any suggestions on a suitable trail? A side note is that the equity curve will never be straight so don’t get hung up on that.

DEFPARAM CumulateOrders = false
DEFPARAM PreLoadBars    = 2000

//code re-invest
Capital = 1000 // initial capital
Equity = Capital + StrategyProfit
Position = Max(1, Equity * (1/Capital))
Position = Round(Position*100)
Position = Position/100
//********************

ONCE TP            = 4.5
ONCE SL            = 0.3

//code quit strategy
maxequity = max(equity,maxequity)
DrawdownNeededToQuit = 40   // percent drawdown from max equity to stop strategy
if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then
quit
endif
//*****************

////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)
//ONCE nLots         = 1
ONCE LongTrading   = 1                                //1=allowed   0=banned
ONCE ShortTrading  = 1                                //1=allowed   0=banned

TIMEFRAME (1 hour, updateonclose)                                             //h1
IF Not OnMarket THEN
BarCount = 0
ELSE
BarCount = BarCount + 1
ENDIF
//------------------------------------------------------------------------------------
//                         Kama & Sma Strategy
//
//https://www.forexstrategiesresources.com/trend-following-forex-strategies/111-kama-strategy/
//
Period     = 2                                              //2        (standard 10)
FastPeriod = 2                                              //standard
SlowPeriod = 30                                             //standard
//
Fastest  = 2 / (FastPeriod + 1)
Slowest  = 2 / (SlowPeriod + 1)
if barindex >= (Period + 1) then
Num   = abs(close-close[Period])
Den   = summation[Period](abs(close-close[1]))
ER    = Num / Den
Alpha = SQUARE(ER *(Fastest - Slowest )+ Slowest)
Kama  = (Alpha * Close) + ((1 -Alpha)* Kama[1])
else
Kama  = close
endif
//------------------------------------------------------------------------------------
Sma        = average[22,0](close)                           //22
//------------------------------------------------------------------------------------
a1 = Kama CROSSES OVER  Sma
// --- SHORT
b1 = Kama CROSSES UNDER Sma
////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)                                                           //1 min
ONCE TradeON = 1
IF IntraDayBarIndex = 0 THEN
TradeON = 1
ENDIF
TradeBar = BarCount
IF Not OnMarket AND TradeBar <> TradeBar[1] THEN
TradeON = 1
ENDIF
//************************************************************************
//                           LONG  trades
//************************************************************************
IF a1 AND TradeON AND LongTrading and TradeOK THEN
BUY 1 CONTRACT AT MARKET
TradeON = 0
ENDIF
//************************************************************************
//                           SHORT trades
//************************************************************************
IF b1 AND TradeON AND ShortTrading and TradeOK THEN
SELLSHORT 1 CONTRACT AT MARKET
TradeON = 0
ENDIF
//
SET TARGET %PROFIT TP
SET STOP   %LOSS   SL
//////////////////////////////////////////////////////////////////////////////////////////////////////////
//                                Trailing Stop
//------------------------------------------------------------------------------------
IF Not OnMarket THEN
TrailStart    = 50          //50     Start trailing profits from this point
BasePerCent   = 0.07 //0.07       //10.0%  Profit to keep
StepSize      = 6           //6      Pips chunks to increase Percentage
PerCentInc    = 0.1       //10.0%  PerCent increment after each StepSize chunk
RoundTO       = -0.5        //-0.5   rounds to Lower integer,  +0.4 rounds to Higher integer
PriceDistance = 7 * pipsize//8.9    minimun distance from current price
y1            = 0
y2            = 0
ProfitPerCent = BasePerCent
ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG
x1 = (close - tradeprice) / pipsize                            //convert price to pips
IF x1 >= TrailStart THEN                                       //go ahead only if N+ pips
Diff1         = abs(TrailStart - x1)
Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc))
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))
y1 = max(x1 * ProfitPerCent, y1)                            //y = % of max profit
ENDIF
ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT
x2 = (tradeprice - close) / pipsize                            //convert price to pips
IF x2 >= TrailStart THEN                                       //go ahead only if N+ pips
Diff2         = abs(TrailStart - x2)
Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc))
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))
y2 = max(x2 * ProfitPerCent, y2)                           //y = % of max profit
ENDIF
ENDIF
IF y1 THEN                                        //Place pending STOP order when y>0
SellPrice = Tradeprice + (y1 * pipsize)        //convert pips to price
IF abs(close - SellPrice) > PriceDistance THEN
IF close >= SellPrice THEN
SELL AT SellPrice STOP
ELSE
SELL AT SellPrice LIMIT
ENDIF
ELSE
SELL AT Market
ENDIF
ENDIF
IF y2 THEN                                        //Place pending STOP order when y>0
ExitPrice = Tradeprice - (y2 * pipsize)        //convert pips to price
IF abs(close - ExitPrice) > PriceDistance THEN
IF close <= ExitPrice THEN
EXITSHORT AT ExitPrice STOP
ELSE
EXITSHORT AT ExitPrice LIMIT
ENDIF
ELSE
EXITSHORT AT Market
ENDIF
ENDIF

// (GER) No trade after friday 16:00:00 (UTC+2 Europe/Berlin) or on holidays
If dayofweek = 5 AND Time > 160000 then
TradeOK = 0
elsif dayofweek = 0 then
TradeOK = 0
elsif dayofweek = 1 AND Time < 000100 then
TradeOK = 0
elsif year = 2019 and month = 12 and day = 24 then //
TradeOK = 0
elsif year = 2019 and month = 12 and day = 25 then //
TradeOK = 0
elsif year = 2019 and month = 12 and day = 26 then //
TradeOK = 0
elsif year = 2019 and month = 12 and day = 31 then //
TradeOK = 0
elsif year = 2020 and month = 1 and day = 1 then // New Year's Day
TradeOK = 0
elsif year = 2020 and month = 4 and day = 9 then // Easter
TradeOK = 0
elsif year = 2020 and month = 4 and day = 10 then // Easter
TradeOK = 0
elsif year = 2020 and month = 4 and day = 13 then // Easter
TradeOK = 0
elsif year = 2020 and month = 5 and day = 1 then //
TradeOK = 0
elsif year = 2020 and month = 6 and day = 1 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 24 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 25 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 26 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 31 then //
TradeOK = 0
else
TradeOK = 1
endif
// Add TradeOK to buy condition
//*************

// (GER) Close positions before weekend or day before holiday at 17:15:00 (UTC+2 Europe/Berlin)
if dayofweek = 5 and time = 171500 THEN
Endbeforeholiday = 1
elsif year = 2019 and month = 12 and day = 23 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2019 and month = 12 and day = 30 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 4 and day = 8 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 4 and day = 30 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 12 and day = 23 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 12 and day = 30 and time = 171500 then
Endbeforeholiday = 1
else
Endbeforeholiday = 0
endif
IF Endbeforeholiday THEN
SELL AT MARKET
EXITSHORT AT MARKET
ENDIF
//*************

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DEFPARAM CumulateOrders = false

DEFPARAM PreLoadBars = 2000

//code re-invest

Capital = 1000 // initial capital

Equity = Capital + StrategyProfit

Position = Max(1, Equity * (1/Capital))

Position = Round(Position*100)

Position = Position/100

//********************

ONCE TP = 4.5

ONCE SL = 0.3

//code quit strategy

maxequity = max(equity,maxequity)

DrawdownNeededToQuit = 40 // percent drawdown from max equity to stop strategy

if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then

quit

endif

//*****************

////////////////////////////////////////////////////////////////////////

TIMEFRAME (default)

//ONCE nLots = 1

ONCE LongTrading = 1 //1=allowed 0=banned

ONCE ShortTrading = 1 //1=allowed 0=banned

TIMEFRAME (1 hour, updateonclose) //h1

IF Not OnMarket THEN

BarCount = 0

ELSE

BarCount = BarCount + 1

ENDIF

//------------------------------------------------------------------------------------

// Kama & Sma Strategy

//https://www.forexstrategiesresources.com/trend-following-forex-strategies/111-kama-strategy/

Period = 2 //2 (standard 10)

FastPeriod = 2 //standard

SlowPeriod = 30 //standard

Fastest = 2 / (FastPeriod + 1)

Slowest = 2 / (SlowPeriod + 1)

if barindex >= (Period + 1) then

Num = abs(close-close[Period])

Den = summation[Period](abs(close-close[1]))

ER = Num / Den

Alpha = SQUARE(ER *(Fastest - Slowest )+ Slowest)

Kama = (Alpha * Close) + ((1 -Alpha)* Kama[1])

else

Kama = close

endif

//------------------------------------------------------------------------------------

Sma = average[22,0](close) //22

//------------------------------------------------------------------------------------

a1 = Kama CROSSES OVER Sma

// --- SHORT

b1 = Kama CROSSES UNDER Sma

////////////////////////////////////////////////////////////////////////

TIMEFRAME (default) //1 min

ONCE TradeON = 1

IF IntraDayBarIndex = 0 THEN

TradeON = 1

ENDIF

TradeBar = BarCount

IF Not OnMarket AND TradeBar <> TradeBar[1] THEN

TradeON = 1

ENDIF

//************************************************************************

// LONG trades

//************************************************************************

IF a1 AND TradeON AND LongTrading and TradeOK THEN

BUY 1 CONTRACT AT MARKET

TradeON = 0

ENDIF

//************************************************************************

// SHORT trades

//************************************************************************

IF b1 AND TradeON AND ShortTrading and TradeOK THEN

SELLSHORT 1 CONTRACT AT MARKET

TradeON = 0

ENDIF

SET TARGET %PROFIT TP

SET STOP %LOSS SL

//////////////////////////////////////////////////////////////////////////////////////////////////////////

// Trailing Stop

//------------------------------------------------------------------------------------

IF Not OnMarket THEN

TrailStart = 50 //50 Start trailing profits from this point

BasePerCent = 0.07 //0.07 //10.0% Profit to keep

StepSize = 6 //6 Pips chunks to increase Percentage

PerCentInc = 0.1 //10.0% PerCent increment after each StepSize chunk

RoundTO = -0.5 //-0.5 rounds to Lower integer, +0.4 rounds to Higher integer

PriceDistance = 7 * pipsize//8.9 minimun distance from current price

y1 = 0

y2 = 0

ProfitPerCent = BasePerCent

ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG

x1 = (close - tradeprice) / pipsize //convert price to pips

IF x1 >= TrailStart THEN //go ahead only if N+ pips

Diff1 = abs(TrailStart - x1)

Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO))

ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc))

ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))

y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit

ENDIF

ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT

x2 = (tradeprice - close) / pipsize //convert price to pips

IF x2 >= TrailStart THEN //go ahead only if N+ pips

Diff2 = abs(TrailStart - x2)

Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO))

ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc))

ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))

y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit

ENDIF

IF y1 THEN //Place pending STOP order when y>0

SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price

IF abs(close - SellPrice) > PriceDistance THEN

IF close >= SellPrice THEN

SELL AT SellPrice STOP

ELSE

SELL AT SellPrice LIMIT

ENDIF

ELSE

SELL AT Market

ENDIF

IF y2 THEN //Place pending STOP order when y>0

ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price

IF abs(close - ExitPrice) > PriceDistance THEN

IF close <= ExitPrice THEN

EXITSHORT AT ExitPrice STOP

ELSE

EXITSHORT AT ExitPrice LIMIT

ENDIF

ELSE

EXITSHORT AT Market

ENDIF

// (GER) No trade after friday 16:00:00 (UTC+2 Europe/Berlin) or on holidays

If dayofweek = 5 AND Time > 160000 then

TradeOK = 0

elsif dayofweek = 0 then

TradeOK = 0

elsif dayofweek = 1 AND Time < 000100 then

TradeOK = 0

elsif year = 2019 and month = 12 and day = 24 then //

TradeOK = 0

elsif year = 2019 and month = 12 and day = 25 then //

TradeOK = 0

elsif year = 2019 and month = 12 and day = 26 then //

TradeOK = 0

elsif year = 2019 and month = 12 and day = 31 then //

TradeOK = 0

elsif year = 2020 and month = 1 and day = 1 then // New Year's Day

TradeOK = 0

elsif year = 2020 and month = 4 and day = 9 then // Easter

TradeOK = 0

elsif year = 2020 and month = 4 and day = 10 then // Easter

TradeOK = 0

elsif year = 2020 and month = 4 and day = 13 then // Easter

TradeOK = 0

elsif year = 2020 and month = 5 and day = 1 then //

TradeOK = 0

elsif year = 2020 and month = 6 and day = 1 then //

TradeOK = 0

elsif year = 2020 and month = 12 and day = 24 then //

TradeOK = 0

elsif year = 2020 and month = 12 and day = 25 then //

TradeOK = 0

elsif year = 2020 and month = 12 and day = 26 then //

TradeOK = 0

elsif year = 2020 and month = 12 and day = 31 then //

TradeOK = 0

else

TradeOK = 1

endif

// Add TradeOK to buy condition

//*************

// (GER) Close positions before weekend or day before holiday at 17:15:00 (UTC+2 Europe/Berlin)

if dayofweek = 5 and time = 171500 THEN

Endbeforeholiday = 1

elsif year = 2019 and month = 12 and day = 23 and time = 171500 then

Endbeforeholiday = 1

elsif year = 2019 and month = 12 and day = 30 and time = 171500 then

Endbeforeholiday = 1

elsif year = 2020 and month = 4 and day = 8 and time = 171500 then

Endbeforeholiday = 1

elsif year = 2020 and month = 4 and day = 30 and time = 171500 then

Endbeforeholiday = 1

elsif year = 2020 and month = 12 and day = 23 and time = 171500 then

Endbeforeholiday = 1

elsif year = 2020 and month = 12 and day = 30 and time = 171500 then

Endbeforeholiday = 1

else

Endbeforeholiday = 0

endif

IF Endbeforeholiday THEN

SELL AT MARKET

EXITSHORT AT MARKET

ENDIF

//*************

2 users thanked author for this post.

Paul,

Florian

swedshare

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05/15/2020 at 6:51 PM #131816

swedshare

And of course thank you @robertogozzi for converting the strategy to PRT. It’s still awesome!

1 user thanked author for this post.

robertogozzi

swedshare

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05/15/2020 at 8:16 PM #131827

nonetheless

I doubt that Roberto’s version can be bettered … if it could he would have done it!

nonetheless

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05/15/2020 at 8:59 PM #131832

robertogozzi

There’s never an end to new ideas to improve things.

I made it, but then I never updated it.

robertogozzi

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05/16/2020 at 5:55 PM #131875

Paul

here’s a version with atr ts/be

Paul

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