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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05/27/2020 at 12:17 PM #133433

GraHal

Paul wrote:

wasn’t this a test version?

Maybe that was why I put ?? in the title.

Wide spread overnight does not necessarily have to be bad thing provided the wide spread is not accompanied by illogical volatility which a System has no chance of predicting?

Spread at 6 overnight may be better compared to 40 to 80 points movement on a 1 min bar when spread is 2.4 and the professionals are tricking / faking us and our Systems into taking the wrong direction!? 🙁

Then 5 mins or so later … oh sorry you’re going the wrong way again now, us pro’s have reversed our positions … you must try and keep up with us if you want to make money!!?? 🙂

GraHal

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05/27/2020 at 12:45 PM #133435

Paul

after posting ofcouse I see the first line of the code… 🙂

// test trailingstop and breakeven on the dax

indeed high spread doesn’t need to be a bad thing. Looking at barhunter it acts only when the spread is the highest and still it preforms!

About tricking, something to use with barhunter? Maybe there are special times where the markets makes a move to do the opposite? Like before closing or opening, or of other markets? I don’t give it much chance but if it can be coded quick it would be fun to test on a higher timeframe.

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GraHal

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05/27/2020 at 1:52 PM #133441

Paul

@grahal, there’s a quick try on 15min dax

It searches for the bar(=time) of the crosses from the moving average.

It can then go 1x long and 1x short within the next xx (=4) bars. Max trades is 2 a day. I didn’t look at sl/pt/ts and just took some averages and tested only 15m.

//-------------------------------------------------------------------------
// hoofd code : BarHunter v4.5p 15m dax trick 
//-------------------------------------------------------------------------
// dax 1 hour timeframe backtest / dax 1 minute live
// spread 4

// test

defparam cumulateorders = false
defparam preloadbars    = 1000

timeframe (default)

once positionsize = 1

once mode     = 1 // use [1] for 1 hour timeframe, [0] for 1 minute timeframe

once tds      = 0 // off when optimising [trend detection system]

// separate long/short or go both
once longtrading  =1
once shorttrading =1

once holiday      =1
once closefriday  =1

once displaydim   =1 // displays the number of days in market (activated graph)
once maxdim       =5 // maximum days in market (first day = 0)

// select which intradaybar should be analysed (depends on timeframe settings)
once barnumberlong =13 //long (timezone dependent)
once barnumbershort=13 //short (timezone dependent)


sm=3
lm=15

// reset low timeframe
if intradaybarindex=0 then
tradecounter=0
tradecounterlong=0
tradecountershort=0
tradeday=1
endif

// holiday
if holiday then
if (month = 5 and day = 1) or (month = 12 and day >=24) then
tradeday=0
else
tradeday=1
endif
endif

// set high / low points to break
if longtrading or (longtrading and shorttrading) then
longma = average[lm](close)
shortma = average[sm](close)
endif
if shorttrading or (longtrading and shorttrading) then
longma = average[lm](close)
shortma = average[sm](close)
endif

// trend detection system
if tds=0 then
trendup=1
trenddown=1
else
if tds=1 then
trendup=(average[10](close)>average[10](close)[1])
trenddown=(average[10](close)<average[10](close)[1])
else
if tds=2 then
period= 2
inner = 2*weightedaverage[round( period/2)](typicalprice)-weightedaverage[period](typicalprice)
hull = weightedaverage[round(sqrt(period))](inner)
trendup = hull > hull[1]
trenddown = hull < hull[1]
else
if tds=3 then
period= 2
inner = 2*weightedaverage[round( period/2)](totalprice)-weightedaverage[period](totalprice)
hull = weightedaverage[round(sqrt(period))](inner)
trendup = hull > hull[1]
trenddown = hull < hull[1]
endif
endif
endif
endif

// conditions
condbuy=intradaybarindex >= barnumberlong
condbuy=condbuy and shortma crosses over longma
condbuy=condbuy and trendup

condsell=intradaybarindex >= barnumbershort
condsell=condsell and shortma crosses under longma
condsell=condsell and trenddown

timeframe (default)
// entry criteria
if mode then // mode[1] backtesting on 1 hour timeframe
if tradeday and tradecounter < 100 then
if (longtrading and not shorttrading) or (longtrading and shorttrading) then
if condbuy and tradecounterlong < 1 and (tradecounter<2 and (intradaybarindex < barnumberlong+4)) then
buy positionsize contract at market
tradecounter=tradecounter+1
endif
endif
if (shorttrading and not longtrading) or (longtrading and shorttrading) then
if condsell and tradecountershort < 1 and (tradecounter<2 and (intradaybarindex < barnumbershort+4)) then
sellshort positionsize contract at market
tradecounter=tradecounter+1
endif
endif
endif
else        // mode[0] running demo / live on 1 minute timeframe
if tradeday and tradecounter < 1 then
if (longtrading and not shorttrading) or (longtrading and shorttrading) then
if condbuy and tradecounterlong < 1 then
buy positionsize contract at market
tradecounter=tradecounter+1
endif
endif
if (shorttrading and not longtrading) or (longtrading and shorttrading) then
if condsell and tradecountershort < 1 then
sellshort positionsize contract at market
tradecounter=tradecounter+1
endif
endif
endif
endif

//timeframe (1 hour, updateonclose)

// trailing atr stop on high timeframe
once trailingstoptype     = 1    // trailing stop - 0 off, 1 on
once trailingstoplong     = 5    // trailing stop atr relative distance
once trailingstopshort    = 5    // trailing stop atr relative distance

once atrtrailingperiod    = 14   // atr parameter value
once minstop              = 10   // minimum trailing stop distance
//----------------------------------------------
atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000
trailingstartl = round(atrtrail*trailingstoplong)
trailingstarts = round(atrtrail*trailingstopshort)
if trailingstoptype = 1 then
tgl =trailingstartl
tgs=trailingstarts
if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
maxprice = 0
minprice = close
newsl = 0
endif
if longonmarket then
maxprice = max(maxprice,close)
if maxprice-tradeprice(1)>=tgl*pointsize then
if maxprice-tradeprice(1)>=minstop then
newsl = maxprice-tgl*pointsize
else
newsl = maxprice - minstop*pointsize
endif
endif
endif
if shortonmarket then
minprice = min(minprice,close)
if tradeprice(1)-minprice>=tgs*pointsize then
if tradeprice(1)-minprice>=minstop then
newsl = minprice+tgs*pointsize
else
newsl = minprice + minstop*pointsize
endif
endif
endif
endif

timeframe (default)

// trailing atr stop exits on low timeframe
if longonmarket then
if newsl>0 then
sell at newsl stop
endif
endif
if shortonmarket then
if newsl>0 then
exitshort at newsl stop
endif
endif

// close to reduce risk in the weekend
if closefriday then
if onmarket then
if (dayofweek=5 and hour=22) then
sell at market
exitshort at market
endif
endif
endif

// stoploss & profit target
set target %profit 2
set stop %loss 2

// display days in market
if displaydim then
if (not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket))) then
dim=0
endif
if  not ( dayofweek=1 and hour <= 1) then
if onmarket then
if openday <> openday[1] then
dim = dim + 1
endif
endif
endif
if onmarket and dayofweek=1 and hour=1 then
//dim=-1 // shows when position is active on monday first hour
endif
if onmarket and dim>=maxdim then
sell at market
exitshort at market
endif
endif

//graph dim // display days in market
//graphonprice newsl coloured(0,0,255,255) as "trailingstop atr"

//graphonprice breakvaluelong coloured(121,141,35,255) as "breakpoint"
//graphonprice breakvalueshort coloured(121,141,35,255) as "breakpoint"
//graph breakvaluelong coloured(255,0,0,255) as "breakvaluelong"
//graph breakvalueshort coloured(255,0,0,255) as "breakvalueshort"

//graph barindex-tradeindex
//graph intradaybarindex

graphonprice longma
graphonprice shortma

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

// hoofd code : BarHunter v4.5p 15m dax trick

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

// dax 1 hour timeframe backtest / dax 1 minute live

// spread 4

// test

defparam cumulateorders = false

defparam preloadbars = 1000

timeframe (default)

once positionsize = 1

once mode = 1 // use [1] for 1 hour timeframe, [0] for 1 minute timeframe

once tds = 0 // off when optimising [trend detection system]

// separate long/short or go both

once longtrading =1

once shorttrading =1

once holiday =1

once closefriday =1

once displaydim =1 // displays the number of days in market (activated graph)

once maxdim =5 // maximum days in market (first day = 0)

// select which intradaybar should be analysed (depends on timeframe settings)

once barnumberlong =13 //long (timezone dependent)

once barnumbershort=13 //short (timezone dependent)

sm=3

lm=15

// reset low timeframe

if intradaybarindex=0 then

tradecounter=0

tradecounterlong=0

tradecountershort=0

tradeday=1

endif

// holiday

if holiday then

if (month = 5 and day = 1) or (month = 12 and day >=24) then

tradeday=0

else

tradeday=1

endif

// set high / low points to break

if longtrading or (longtrading and shorttrading) then

longma = average[lm](close)

shortma = average[sm](close)

endif

if shorttrading or (longtrading and shorttrading) then

longma = average[lm](close)

shortma = average[sm](close)

endif

// trend detection system

if tds=0 then

trendup=1

trenddown=1

else

if tds=1 then

trendup=(average[10](close)>average[10](close)[1])

trenddown=(average[10](close)<average[10](close)[1])

else

if tds=2 then

period= 2

inner = 2*weightedaverage[round( period/2)](typicalprice)-weightedaverage[period](typicalprice)

hull = weightedaverage[round(sqrt(period))](inner)

trendup = hull > hull[1]

trenddown = hull < hull[1]

else

if tds=3 then

period= 2

inner = 2*weightedaverage[round( period/2)](totalprice)-weightedaverage[period](totalprice)

hull = weightedaverage[round(sqrt(period))](inner)

trendup = hull > hull[1]

trenddown = hull < hull[1]

endif

// conditions

condbuy=intradaybarindex >= barnumberlong

condbuy=condbuy and shortma crosses over longma

condbuy=condbuy and trendup

condsell=intradaybarindex >= barnumbershort

condsell=condsell and shortma crosses under longma

condsell=condsell and trenddown

timeframe (default)

// entry criteria

if mode then // mode[1] backtesting on 1 hour timeframe

if tradeday and tradecounter < 100 then

if (longtrading and not shorttrading) or (longtrading and shorttrading) then

if condbuy and tradecounterlong < 1 and (tradecounter<2 and (intradaybarindex < barnumberlong+4)) then

buy positionsize contract at market

tradecounter=tradecounter+1

endif

if (shorttrading and not longtrading) or (longtrading and shorttrading) then

if condsell and tradecountershort < 1 and (tradecounter<2 and (intradaybarindex < barnumbershort+4)) then

sellshort positionsize contract at market

tradecounter=tradecounter+1

endif

else // mode[0] running demo / live on 1 minute timeframe

if tradeday and tradecounter < 1 then

if (longtrading and not shorttrading) or (longtrading and shorttrading) then

if condbuy and tradecounterlong < 1 then

buy positionsize contract at market

tradecounter=tradecounter+1

endif

if (shorttrading and not longtrading) or (longtrading and shorttrading) then

if condsell and tradecountershort < 1 then

sellshort positionsize contract at market

tradecounter=tradecounter+1

endif

//timeframe (1 hour, updateonclose)

// trailing atr stop on high timeframe

once trailingstoptype = 1 // trailing stop - 0 off, 1 on

once trailingstoplong = 5 // trailing stop atr relative distance

once trailingstopshort = 5 // trailing stop atr relative distance

once atrtrailingperiod = 14 // atr parameter value

once minstop = 10 // minimum trailing stop distance

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

atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000

trailingstartl = round(atrtrail*trailingstoplong)

trailingstarts = round(atrtrail*trailingstopshort)

if trailingstoptype = 1 then

tgl =trailingstartl

tgs=trailingstarts

if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then

maxprice = 0

minprice = close

newsl = 0

endif

if longonmarket then

maxprice = max(maxprice,close)

if maxprice-tradeprice(1)>=tgl*pointsize then

if maxprice-tradeprice(1)>=minstop then

newsl = maxprice-tgl*pointsize

else

newsl = maxprice - minstop*pointsize

endif

if shortonmarket then

minprice = min(minprice,close)

if tradeprice(1)-minprice>=tgs*pointsize then

if tradeprice(1)-minprice>=minstop then

newsl = minprice+tgs*pointsize

else

newsl = minprice + minstop*pointsize

endif

timeframe (default)

// trailing atr stop exits on low timeframe

if longonmarket then

if newsl>0 then

sell at newsl stop

endif

if shortonmarket then

if newsl>0 then

exitshort at newsl stop

endif

// close to reduce risk in the weekend

if closefriday then

if onmarket then

if (dayofweek=5 and hour=22) then

sell at market

exitshort at market

endif

// stoploss & profit target

set target %profit 2

set stop %loss 2

// display days in market

if displaydim then

if (not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket))) then

dim=0

endif

if not ( dayofweek=1 and hour <= 1) then

if onmarket then

if openday <> openday[1] then

dim = dim + 1

endif

if onmarket and dayofweek=1 and hour=1 then

//dim=-1 // shows when position is active on monday first hour

endif

if onmarket and dim>=maxdim then

sell at market

exitshort at market

endif

//graph dim // display days in market

//graphonprice newsl coloured(0,0,255,255) as "trailingstop atr"

//graphonprice breakvaluelong coloured(121,141,35,255) as "breakpoint"

//graphonprice breakvalueshort coloured(121,141,35,255) as "breakpoint"

//graph breakvaluelong coloured(255,0,0,255) as "breakvaluelong"

//graph breakvalueshort coloured(255,0,0,255) as "breakvalueshort"

//graph barindex-tradeindex

//graph intradaybarindex

graphonprice longma

graphonprice shortma

1 user thanked author for this post.

GraHal

Paul

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05/27/2020 at 2:52 PM #133454

Paul

well didn’t expect that!

here’s a new one , same code, change in moving average.

2 users thanked author for this post.

nonetheless,

GraHal

Paul

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06/13/2020 at 12:08 PM #135807

GraHal

1 month on this one is still doing very good … see attached.

I put the equity curve on 15 mins TF so you could see the steadily increasing equity curve!

@Paul what lines of code cause most trades to open between 230000 and 240000 (but there a few after 240000 and before 020000)? See Paul 3 to see trade open times.

I did search for time, hour etc. It can’t be coincidence … the time band over which trades open is too regular to be a random occurence??

GraHal

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06/13/2020 at 6:30 PM #135841

Paul

@GraHal That there’s sometimes a trade between 23h-24h could be because of the weekend and how it handles the first hour on monday, perhaps in combination with uk settings? Because the trade is taking on sunday 23h on 31 may & 7 june. Using extra criteria like dayofweek should work to skip those trades on sunday. Nice find btw. Didn’t expect that was necessary!

Paul

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06/14/2020 at 7:27 PM #135918

Scooby

nonetheless wrote:

Hi @GraHal, every time I say ‘no more’ to sub-1m TFs I seem to get drawn back in. It’s all your fault.

Anyway, I did a quick and dirty optimisation and you might want to try the following values:

SL = 0.75 // % stop loss PT = 1.50 // % profit target TS = .3 // % trailing stop BESG = .15 // % break even stop gain BESL = 0.00 // % break even stop level sm = 20 lm = 40

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SL = 0.75 // % stop loss

PT = 1.50 // % profit target

TS = .3 // % trailing stop

BESG = .15 // % break even stop gain

BESL = 0.00 // % break even stop level

sm = 20

lm = 40

Or for a higher win rate, v2

SL = 0.75 // % stop loss PT = 1.50 // % profit target TS = .2 // % trailing stop BESG = .15 // % break even stop gain BESL = 0.00 // % break even stop level sm = 20 lm = 30

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SL = 0.75 // % stop loss

PT = 1.50 // % profit target

TS = .2 // % trailing stop

BESG = .15 // % break even stop gain

BESL = 0.00 // % break even stop level

sm = 20

lm = 30

For it not to have blown up in 14 days of forward testing is good going – maybe it’s a cash cow?

Hi @nonetheless !

Did you continue this strategy ?

I would like to do some test with it but I did’nt find the initial post of it. Can you share these 2 versions please ? 🙂

Thanks in advance,

Scooby

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06/14/2020 at 9:32 PM #135931

GraHal

Scooby wrote:

For it not to have blown up in 14 days of forward testing

Isn’t it 30 full days trading since 12 May?

Enthusiasm gets sapped by keep trying and trying with the same old code / strategy? Variety is the spice of life and sometimes the weirdest stuff works on odd timeframes and / or Instruments?? 🙂

Yeah thanks … I’ll try your settings also.

GraHal

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07/06/2020 at 8:51 AM #138534

zilliq

Hi Guys,

As we can’t do partial exits with IG (Who will be better for trailingstop), did you compare if it’s better to have a trailing stop / Breakeven or to exit all in one time with a R/R of 1/1 or 2/1 for example (No offense of course)

In my experience actually, I don’t have better results with TS/BE but may be I’m wrong

What’s your experience ?

SeeU

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07/06/2020 at 11:36 AM #138545

Paul

breakeven I agree fully. Giving higher winchance, but often really small wins. Could better be used i.e. to lower the stoploss in half. Trailingstop is a must for me. Always open for improvements, so let’s see your exit criteria & calculation so I can compare in a strategy!

Paul

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07/06/2020 at 11:49 AM #138546

zilliq

Hi @Paul

I think we need to use a classical/simple algos code and compare results with and without TS/BE.

If I have time tomorrow I willl do that 😉

SeeU

zilliq

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07/07/2020 at 12:39 PM #138629

Paul

hi zilliq

meantime I wanted to try to have a dynamic pt but stumbled on a problem.

goal is to log the highest mfe for each (long) trade.

second is to have a tradecounterlong

both above are done.

But then I need an average MFE runup based on the highest mfe from each trade. I can’t get through that part.

With average there could be a factor x as profittarget. But how to get an average?

That average could also be used as a dynamic level to activate the trailingstop.

Here’s what I have.

if barindex=0 then
tradecounterlong=0
endif

if not longonmarket then
lbc=0 // long bar counter
endif

if longonmarket then
lbc=lbc+1
hh=highest[lbc](high)
mfe=(round((hh-tradeprice(1)))*pipvalue)
endif

//added tradecounterlong=tradecounterlong + 1 when bought.
//graph tradecounterlong coloured(255,0,0,255)
//graph mfe coloured(0,0,255,255)

if barindex=0 then

tradecounterlong=0

endif

if not longonmarket then

lbc=0 // long bar counter

endif

if longonmarket then

lbc=lbc+1

hh=highest[lbc](high)

mfe=(round((hh-tradeprice(1)))*pipvalue)

endif

//added tradecounterlong=tradecounterlong + 1 when bought.

//graph tradecounterlong coloured(255,0,0,255)

//graph mfe coloured(0,0,255,255)

to code above could also be added to reset mfe to zero if there short or not onmarket.

any advise here on the average part?

Paul

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Topics: 40

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07/07/2020 at 1:24 PM #138635

Paul

test setup dow or dax 1m tf

defparam cumulateorders = false
defparam preloadbars=0

c1=average[60](close)
c2=average[80](close)

condbuy=barindex>100 and c1 crosses over c2

timeframe (5 minutes,updateonclose)
st=supertrend[4,2]
timeframe (default)

condbuy = condbuy and close>st

if barindex=0 then
tradecounterlong=0
endif

if not longonmarket then
lbc=0 // long bar counter
endif

if longonmarket then
lbc=lbc+1
hh=highest[lbc](high)
mfeUP=round((hh-tradeprice(1)))*pipvalue
if mfeUP>0 then
mfelong=mfeUP
else
mfelong=0
endif
else
mfelong=0
endif

//
if condbuy and not longonmarket then
buy 1 contract at market
tradecounterlong=tradecounterlong + 1
endif

set stop ploss 100
set target pprofit 100

mfelong=mfelong
//graph tradecounterlong coloured(255,0,0,255)
graph mfelong coloured(0,0,255,255)

defparam cumulateorders = false

defparam preloadbars=0

c1=average[60](close)

c2=average[80](close)

condbuy=barindex>100 and c1 crosses over c2

timeframe (5 minutes,updateonclose)

st=supertrend[4,2]

timeframe (default)

condbuy = condbuy and close>st

if barindex=0 then

tradecounterlong=0

endif

if not longonmarket then

lbc=0 // long bar counter

endif

if longonmarket then

lbc=lbc+1

hh=highest[lbc](high)

mfeUP=round((hh-tradeprice(1)))*pipvalue

if mfeUP>0 then

mfelong=mfeUP

else

mfelong=0

endif

else

mfelong=0

endif

if condbuy and not longonmarket then

buy 1 contract at market

tradecounterlong=tradecounterlong + 1

endif

set stop ploss 100

set target pprofit 100

mfelong=mfelong

//graph tradecounterlong coloured(255,0,0,255)

graph mfelong coloured(0,0,255,255)

Paul

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Replies: 812

Been thanked: 660 times

07/07/2020 at 4:00 PM #138653

zilliq

Hi Paul

Why do you want to a high MFE ? (And not a small MAE, or small Max drawdown an so on ) ?

zilliq

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07/07/2020 at 5:39 PM #138670

Paul

Hey Zilliq, This is the first part but goal is to get mfe & mae for long & short separate working. A.t.m. just want to have the calculation right and then later look what’s preferable.

Does it make sense and can it improve a strategy? I don’t know.

But the problem, it needs to take the highest mfe from each long trade, added together and divide that by the amount of long trades. Any ideas? Sounds simple but I can’t find the right way yet!

Paul

Participant

Topics: 40

Replies: 812

Been thanked: 660 times

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