Breakout M5 / H4 Nasdaq

• 11/29/2021 at 3:00 PM #182475
  phoentzs

  So weit bin ich heute nicht. Ich denke, M3 auch, oder M2 würde auch funktionieren. Gleicher Zeithorizont, nur schneller. Die Langversion von M3 funktioniert am besten an der Nasdaq. M1 auf SP500 und Dax. Ich habe Dow Jones noch nicht ausprobiert.

  I’m not that far today. I think M3 too, or M2 would work too. Same time horizon, only faster. The long version of M3 works best on the Nasdaq. M1 on SP500 and Dax. I haven’t tried Dow Jones yet.

   

  

  phoentzs

  Participant

  Topics: 86

  Replies: 955

  Been thanked: 195 times
  11/29/2021 at 3:02 PM #182476
  phoentzs

  @nonethless: Sorry, I misspelled you.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 955

  Been thanked: 195 times
  11/29/2021 at 3:08 PM #182477
  murre87

  I Combined Phonetzs code and made a long/short-version

  How to make i better?

  Break-H4 Nasdaq M3

  //Break-H4 Nasdaq M3 //================================================ DEFPARAM CUMULATEORDERS = false defparam preloadbars = 5000 //Risk Management PositionSize=1 timeframe(4hour, updateonclose) barCount = barIndex c1 = high D1 = low c2 = (Close > Open) //green c3 = (Close < Open) //red c4 = (high < high[1])//lowerhigh c5 = (high > high[1])//higherhigh //MACDLiniex = MACDline[12,26,9](close) > 0 MA5xx = Average[3,1](typicalprice) //close MA10xx = Average[10,1](typicalprice) //close MA15xx = Average[15,1](typicalprice) //15,1 close mylongx = MA15xx > MA15xx[1] //and MA5xx > MA15xx// and MA10xx > MA15xx MA5xxs = Average[19,1](typicalprice) //close //MA10xx = Average[m2,1](typicalprice) MA15xxs = Average[20,1](typicalprice) //15,1...40,6 close //MA100xx = Average[m3,1](typicalprice) //close myshortx = MA15xxs < MA15xxs[1] and MA5xxs < MA15xxs //and MA10xx < MA15xx //mylongx2 = MA100xx > MA100xx[1] shortcond = myshortx timeframe(default) once tradeOn = 1 if intradayBarIndex = 0 then tradeOn = 1 endif tradeBar = barCount if not onMarket and tradeBar<>tradeBar[1] then tradeOn = 1 endif //Volaititätfilter AvgRange = average[20,0](range) TradeOFF = range > (AvgRange * 3) //no trading if the current range > twice its average //3 //myshort = MA < MA[1] // trading window ONCE BuyTime = 080000 ONCE SellTime = 215500 // position management IF Time >= BuyTime AND Time <= SellTime THEN If not onmarket and close crosses over c1 and mylongx and c3 and tradeOn Then //and not c5 Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.9 //100 SET TARGET %PROFIT 1 //125 tradeOn = 0 ENDIF If not onmarket and close crosses over c1 and mylongx and c2 and tradeOn Then //and not TradeOFF and c3 close crosses over c1 Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.8 //100 SET TARGET %PROFIT 1 //125 tradeOn = 0 ENDIF If not onmarket and close crosses under D1 and shortcond and tradeOn Then sellshort PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.7 //0.8 SET TARGET %PROFIT 0.8 //1 tradeOn = 0 ENDIF endif if time = 220000 and dayofweek=5 and (PositionPerf * PositionPrice / PipSize) >= 5 then // sell at market exitshort at market endif //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong = 0.32 // % trailingpercentshort = 0.55 // % once acceleratorlong = 0.015 // typically tst*0.1 once acceleratorshort= 0.025 // typically tss*0.1 ts2sensitivity = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189

  //Break-H4 Nasdaq M3 //================================================   DEFPARAM CUMULATEORDERS = false defparam preloadbars = 5000     //Risk Management PositionSize=1   timeframe(4hour, updateonclose) barCount = barIndex   c1 = high D1 = low c2 = (Close > Open) //green c3 = (Close < Open) //red c4 = (high < high[1])//lowerhigh c5 = (high > high[1])//higherhigh //MACDLiniex = MACDline[12,26,9](close) > 0 MA5xx  = Average[3,1](typicalprice) //close MA10xx  = Average[10,1](typicalprice) //close MA15xx = Average[15,1](typicalprice) //15,1 close mylongx   = MA15xx > MA15xx[1] //and MA5xx > MA15xx// and MA10xx > MA15xx   MA5xxs  = Average[19,1](typicalprice) //close //MA10xx  = Average[m2,1](typicalprice) MA15xxs = Average[20,1](typicalprice) //15,1...40,6 close //MA100xx  = Average[m3,1](typicalprice) //close myshortx   = MA15xxs < MA15xxs[1] and MA5xxs < MA15xxs //and MA10xx < MA15xx //mylongx2   = MA100xx > MA100xx[1] shortcond = myshortx   timeframe(default) once tradeOn = 1 if intradayBarIndex = 0 then tradeOn = 1 endif tradeBar = barCount if  not onMarket and tradeBar<>tradeBar[1] then tradeOn = 1 endif     //Volaititätfilter AvgRange = average[20,0](range) TradeOFF  = range > (AvgRange * 3) //no trading if the current range > twice its average //3     //myshort = MA < MA[1]   // trading window ONCE BuyTime  = 080000 ONCE SellTime = 215500 // position management IF Time >= BuyTime AND Time <= SellTime THEN   If not onmarket and close crosses over c1 and mylongx and c3 and tradeOn Then //and not c5 Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.9 //100 SET TARGET %PROFIT 1 //125   tradeOn = 0 ENDIF   If not onmarket and close crosses over c1 and mylongx and c2 and tradeOn Then //and not TradeOFF and c3  close crosses over c1 Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.8 //100 SET TARGET %PROFIT 1 //125   tradeOn = 0 ENDIF   If not onmarket and close crosses under D1 and shortcond and tradeOn Then sellshort PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.7 //0.8 SET TARGET %PROFIT 0.8 //1   tradeOn = 0 ENDIF   endif     if time = 220000 and dayofweek=5 and (PositionPerf * PositionPrice / PipSize) >= 5 then  // sell at market exitshort at market endif   //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong  = 0.32 // % trailingpercentshort = 0.55 // % once acceleratorlong = 0.015 // typically tst*0.1 once acceleratorshort= 0.025 // typically tss*0.1 ts2sensitivity  = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif   if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  11/29/2021 at 3:13 PM #182479
  phoentzs

  Mein Plan wäre, beide Versionen, lang und kurz, einzeln laufen zu lassen. Ohne eine Vollversion daraus zu machen.

  My plan would be to run both versions, long and short, individually. Without making a full version out of it.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 955

  Been thanked: 195 times
  11/29/2021 at 4:01 PM #182483
  robertogozzi

  @phoentzs

  Only post in the language of the forum that you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.

  Thank you 🙂

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17130

  Been thanked: 4026 times
  11/29/2021 at 4:03 PM #182484
  robertogozzi

  phoentzs wrote:

  Maybe one more question for the great masters … Nicolas? Robertogozzi? If you manage entries from large time units with a trailing stop … which TF is best used for this? M1… 5? Is more data history better or faster reaction to a trailing stop?

  I usually use 5-minute or 10-minute TFs for the trailing stop, mainly because they grants more data history, compared to smaller TFs.

   

   

  1 user thanked author for this post.

  phoentzs

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17130

  Been thanked: 4026 times
  11/29/2021 at 4:36 PM #182488
  nonetheless

  I made a quick attempt to add short to this but it didn’t seem worth it, I’ll have another try when I get time.

  This is a minor revision to my long version, trying to get the DD as low as poss (positionsize = 0.5)

  These are the key changes:

  timeframe(4 hour, updateonclose) H4 = high MA = Average[p,t](close) cb1 = MA > MA[1] timeframe(15 minutes) mb = average[p1,t1](typicalprice) cb4 = mb > mb[1] timeframe(default) ST = SuperTrend[m,n] STa = SAR[q,w,e] cb2 = (close > ST) or (close > STa) cb3 = close crosses over H4

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

  timeframe(4 hour, updateonclose) H4 = high   MA = Average[p,t](close) cb1   = MA > MA[1]   timeframe(15 minutes) mb = average[p1,t1](typicalprice) cb4 = mb > mb[1]   timeframe(default) ST = SuperTrend[m,n] STa = SAR[q,w,e] cb2 = (close > ST) or (close > STa)   cb3 = close crosses over H4

   

  2 users thanked author for this post.

  phoentzs, murre87

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  11/30/2021 at 9:46 AM #182510
  murre87

  an impressive piece of work, nonetheless.
  What if it would be possible to make a long/short version of this algo 🙂

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  11/30/2021 at 11:47 AM #182517
  nonetheless

  You can have a go if you have time to crunch the numbers. The core of it would look like this:

  timeframe(4 hour, updateonclose) H4 = high L4 = Low MA = Average[p,t](close) cb1 = MA > MA[1] MAs = Average[p2,t2](close) cs1 = MAs < MAs[1] timeframe(15 minutes) mb = average[p3,t3](typicalprice) cb2 = mb > mb[1] mbs = average[p4,t4](typicalprice) cs2 = mbs < mbs[1] timeframe(default) ST = SuperTrend[m,n] STa = SAR[q,w,e] cb3 = (close > ST) or (close > STa) cs3 = (close < ST) or (close < STa) cb4 = close crosses over H4 cs4 = close crosses under L4

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

  timeframe(4 hour, updateonclose) H4 = high L4 = Low MA = Average[p,t](close) cb1   = MA > MA[1] MAs = Average[p2,t2](close) cs1   = MAs < MAs[1]   timeframe(15 minutes) mb = average[p3,t3](typicalprice) cb2 = mb > mb[1] mbs = average[p4,t4](typicalprice) cs2 = mbs < mbs[1] timeframe(default) ST = SuperTrend[m,n] STa = SAR[q,w,e] cb3 = (close > ST) or (close > STa) cs3 = (close < ST) or (close < STa) cb4 = close crosses over H4 cs4 = close crosses under L4

  1 user thanked author for this post.

  phoentzs

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  11/30/2021 at 12:08 PM #182520
  nonetheless

  If you haven’t used this syntax before

  Average[p,t]

  1	Average[p,t]

  the ‘t’ represents the type of MA, can be 0 – 8
  ‘p’ I usually optimize from 5 – 50 in steps of 5

  (apologies if you know this already 😁)

  2 users thanked author for this post.

  murre87, phoentzs

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  12/02/2021 at 3:52 PM #182728
  murre87

  Thanks alot for the input nonetheless. I made an attempt for long/short-version.
  Do u guys see any improvements? nonetheless, robertogozzi, phoentzs?
  I want to get rid of the big drawdown in december 2021.

  Backtest with Size 0.5
CUMULATEORDERS = false

  1 user thanked author for this post.

  nonetheless

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  12/02/2021 at 4:50 PM #182736
  nonetheless

  In the itf both the % trail and ATR trail are active, which one did you want to use?

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  12/02/2021 at 5:00 PM #182737
  murre87

  Using both gets better results then just one when i backtested

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  12/02/2021 at 5:13 PM #182739
  phoentzs

  I am not sure if the idea is a good one. Isn’t that what affects each other? Unfortunately, due to the sudden drop in the Nasdaq over the last few days, the SL had to take action. That’s why the last few days lost in long mode. I personally help myself with this by splitting the risk over several systems. In that case I use half a position in TF M3 and a half position in TF M1. M1 made a profit from the faster trailing stop, M3 a loss.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 955

  Been thanked: 195 times
  12/02/2021 at 5:20 PM #182741
  nonetheless

  that sounds weird to me, I think there will be conflicts in the code, I’ll have a closer look at it later.

   

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
• Author
  Posts