Breakout strategy – coding help

• 02/18/2017 at 6:13 PM #25518
  cbrycey23

  Hi all,

  First post here. I’ve been trying to code a breakout strategy, but I haven’t been able to get all of it to work. I have searched around the site for any useful code posted by others, but haven’t found anything that does what I need it to. Details are below:

  • GBP/USD 15 mins
  • Breakout box for 4am-6am (GMT) including 6am bar
  • If EMA89 crosses inside this box, no trades that day
  • Order closed if not filled by 4:30PM
  • Flat after 9:45pm

  Entry

  • If EMA89 is always above breakout box in this time period, sell 5 pips below the low of breakout box
  • If EMA89 is always below breakout box in this time period, buy 5 pips above the high of breakout box

  Exit

  • Target: 75 pips
  • Stop: 20 pips. Stop moved to breakeven when profit is 20 pips, and trailed to halfway between high and breakeven.

  Is it possible to put this strategy into code? I can give more detail if necessary

  Kind regards,

  Carl

  

  cbrycey23

  Participant

  Topics: 1

  Replies: 1

  Been thanked: 0 times
  09/26/2020 at 12:24 AM #145431
  robertogozzi

  There you go:

  DEFPARAM CumulateOrders = false DEFPARAM FlatAfter = 214500 ONCE Offset = 5 * PipSize ONCE TP = 75 ONCE SL = 20 IF Not OnMarket THEN NewSL = 0 ENDIF IF LongOnMarket THEN EmaBelow = 0 ENDIF IF ShortOnMarket THEN EmaAbove = 0 ENDIF IF OpenTime >= 040000 AND OpenTime <= 060000 THEN Ema89 = average[89,1](close) IF OpenTime = 040000 THEN HH = high LL = low EmaBelow = 1 EmaAbove = 1 ENDIF HH = max(HH,high) LL = min(LL,low) IF Ema89 <= HH THEN EmaAbove = 0 ELSIF Ema89 >= LL THEN EmaBelow = 0 ENDIF ENDIF TradeON = OpenTime >= 060000 AND OpenTime <= 163000 IF TradeON AND Not OnMarket AND EmaAbove THEN SELLSHORT 1 Contract AT LL - Offset STOP SET TARGET pPROFIT TP SET STOP pLOSS SL ENDIF IF TradeON AND Not OnMarket AND EmaBelow THEN BUY 1 Contract AT HH + Offset STOP SET TARGET pPROFIT TP SET STOP pLOSS SL ENDIF IF LongOnMarket THEN MyProfit = close - PositionPrice IF MyProfit >= SL * PipSize THEN IF NewSL = 0 THEN NewSL = PositionPrice ELSE TempSL= PositionPrice + (abs(close - PositionPrice) / 2) NewSL = max(NewSL,TempSL) ENDIF ENDIF ELSIF ShortOnMarket THEN MyProfit = PositionPrice - close IF MyProfit >= SL * PipSize THEN IF NewSL = 0 THEN NewSL = PositionPrice ELSE TempSL= PositionPrice - (abs(PositionPrice - close) / 2) NewSL = min(NewSL,TempSL) ENDIF ENDIF ENDIF IF Onmarket AND NewSL > 0 THEN SELL AT NewSL STOP EXITSHORT AT NewSL STOP 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

  DEFPARAM CumulateOrders = false DEFPARAM FlatAfter      = 214500 ONCE Offset = 5 * PipSize ONCE TP     = 75 ONCE SL     = 20 IF Not OnMarket THEN    NewSL = 0 ENDIF IF LongOnMarket THEN    EmaBelow = 0 ENDIF IF ShortOnMarket THEN    EmaAbove = 0 ENDIF IF OpenTime >= 040000 AND OpenTime <= 060000 THEN    Ema89 = average[89,1](close)    IF OpenTime = 040000 THEN       HH        = high       LL        = low       EmaBelow  = 1       EmaAbove  = 1    ENDIF    HH = max(HH,high)    LL = min(LL,low)    IF Ema89 <= HH THEN       EmaAbove  = 0    ELSIF Ema89 >= LL THEN       EmaBelow  = 0    ENDIF ENDIF TradeON = OpenTime >= 060000 AND OpenTime <= 163000 IF TradeON AND Not OnMarket AND EmaAbove THEN    SELLSHORT 1 Contract AT LL - Offset STOP    SET TARGET pPROFIT TP    SET STOP   pLOSS   SL ENDIF IF TradeON AND Not OnMarket AND EmaBelow THEN    BUY 1 Contract AT HH + Offset STOP    SET TARGET pPROFIT TP    SET STOP   pLOSS   SL ENDIF IF LongOnMarket THEN    MyProfit = close - PositionPrice    IF MyProfit >= SL * PipSize THEN       IF NewSL = 0 THEN          NewSL = PositionPrice       ELSE          TempSL= PositionPrice + (abs(close - PositionPrice) / 2)          NewSL = max(NewSL,TempSL)       ENDIF    ENDIF ELSIF ShortOnMarket THEN    MyProfit = PositionPrice - close    IF MyProfit >= SL * PipSize THEN       IF NewSL = 0 THEN          NewSL = PositionPrice       ELSE          TempSL= PositionPrice - (abs(PositionPrice - close) / 2)          NewSL = min(NewSL,TempSL)       ENDIF    ENDIF ENDIF IF Onmarket AND NewSL > 0 THEN    SELL      AT NewSL STOP    EXITSHORT AT NewSL STOP ENDIF

   

  2 users thanked author for this post.

  cbrycey23, Mauro T. "Algorithm System"

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16913

  Been thanked: 3899 times
  10/03/2020 at 4:12 PM #146282
  cbrycey23

  Thanks Roberto, this is great. I’ve been playing around with this to improve performance (now on 1hr timeframe, added code to reinvest profits, etc), but I now want to limit this to only 2 orders per day. The system will currently take the same trade again on the same day if it has already opened and closed a trade. I’ve added some code I found here https://www.prorealcode.com/topic/3-trades-per-day/ but this hasn’t made a difference. Can you see what I’ve done wrong?

  DEFPARAM CumulateOrders = false DEFPARAM FlatAfter = 204500 ONCE Offset = 5 * PipSize ONCE TP = 80 ONCE SL = 12 IF Not OnMarket THEN NewSL = 0 ENDIF REM Money Management Capital = 20000 Risk = 0.01 // = % Risk REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/SL)/PointValue*100)*pipsize/100) IF LongOnMarket THEN EmaBelow = 0 ENDIF IF ShortOnMarket THEN EmaAbove = 0 ENDIF IF OpenTime >= 040000 AND OpenTime < 060000 THEN Ema89 = average[89,1](close) IF OpenTime = 040000 THEN HH = high LL = low EmaBelow = 1 EmaAbove = 1 ENDIF HH = max(HH,high) LL = min(LL,low) IF Ema89 <= HH THEN EmaAbove = 0 ELSIF Ema89 >= LL THEN EmaBelow = 0 ENDIF ENDIF IF intradaybarindex=0 or day<>day[1] then count=0 ENDIF IF ( (Not OnMarket AND OnMarket[1] AND Not OnMarket[2]) OR (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1] and tradeindex(1)>0) or (not onmarket and onmarket[1])) then count=count+1 endif TradeON = OpenTime >= 060000 AND OpenTime <= 163000 IF TradeON AND Not OnMarket AND EmaAbove AND Count<3 THEN SELLSHORT PositionSize Contract AT LL - Offset STOP SET TARGET pPROFIT TP SET STOP pLOSS SL ENDIF IF TradeON AND Not OnMarket AND EmaBelow AND Count<3 THEN BUY PositionSize Contract AT HH - Offset STOP SET TARGET pPROFIT TP SET STOP pLOSS SL ENDIF IF LongOnMarket THEN MyProfit = close - PositionPrice IF MyProfit >= SL * PipSize THEN IF NewSL = 0 THEN NewSL = PositionPrice ELSE TempSL= PositionPrice + (abs(close - PositionPrice) / 2) NewSL = max(NewSL,TempSL) ENDIF ENDIF ELSIF ShortOnMarket THEN MyProfit = PositionPrice - close IF MyProfit >= SL * PipSize THEN IF NewSL = 0 THEN NewSL = PositionPrice ELSE TempSL= PositionPrice - (abs(PositionPrice - close) / 2) NewSL = min(NewSL,TempSL) ENDIF ENDIF ENDIF IF Onmarket AND NewSL > 0 THEN SELL AT NewSL STOP EXITSHORT AT NewSL STOP 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

  DEFPARAM CumulateOrders = false DEFPARAM FlatAfter      = 204500 ONCE Offset = 5 * PipSize ONCE TP     = 80 ONCE SL     = 12 IF Not OnMarket THEN NewSL = 0 ENDIF REM Money Management Capital = 20000 Risk = 0.01 // = % Risk REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/SL)/PointValue*100)*pipsize/100) IF LongOnMarket THEN EmaBelow = 0 ENDIF IF ShortOnMarket THEN EmaAbove = 0 ENDIF IF OpenTime >= 040000 AND OpenTime < 060000 THEN Ema89 = average[89,1](close) IF OpenTime = 040000 THEN HH        = high LL        = low EmaBelow  = 1 EmaAbove  = 1 ENDIF HH = max(HH,high) LL = min(LL,low) IF Ema89 <= HH THEN EmaAbove  = 0 ELSIF Ema89 >= LL THEN EmaBelow  = 0 ENDIF ENDIF IF intradaybarindex=0 or day<>day[1] then count=0 ENDIF IF  ( (Not OnMarket AND OnMarket[1] AND Not OnMarket[2]) OR (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1] and tradeindex(1)>0) or (not onmarket and onmarket[1])) then count=count+1 endif TradeON = OpenTime >= 060000 AND OpenTime <= 163000 IF TradeON AND Not OnMarket AND EmaAbove AND Count<3 THEN SELLSHORT PositionSize Contract AT LL - Offset STOP SET TARGET pPROFIT TP SET STOP   pLOSS   SL ENDIF IF TradeON AND Not OnMarket AND EmaBelow AND Count<3 THEN BUY PositionSize Contract AT HH - Offset STOP SET TARGET pPROFIT TP SET STOP   pLOSS   SL ENDIF IF LongOnMarket THEN MyProfit = close - PositionPrice IF MyProfit >= SL * PipSize THEN IF NewSL = 0 THEN NewSL = PositionPrice ELSE TempSL= PositionPrice + (abs(close - PositionPrice) / 2) NewSL = max(NewSL,TempSL) ENDIF ENDIF ELSIF ShortOnMarket THEN MyProfit = PositionPrice - close IF MyProfit >= SL * PipSize THEN IF NewSL = 0 THEN NewSL = PositionPrice ELSE TempSL= PositionPrice - (abs(PositionPrice - close) / 2) NewSL = min(NewSL,TempSL) ENDIF ENDIF ENDIF IF Onmarket AND NewSL > 0 THEN SELL      AT NewSL STOP EXITSHORT AT NewSL STOP ENDIF

   

  

  cbrycey23

  Participant

  Topics: 1

  Replies: 1

  Been thanked: 0 times
  10/04/2020 at 8:30 AM #146315
  robertogozzi

  Try replacing line 41 with:

  If STRATEGYPROFIT <> STRATEGYPROFIT[1] Then Count = Count + 1 Endif

  1 2 3

  If STRATEGYPROFIT <> STRATEGYPROFIT[1] Then    Count = Count + 1 Endif

  and use Count <2 at lines 45 and 50.

  Using <3 will set your max number of trades to 3.

   

  1 user thanked author for this post.

  cbrycey23

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16913

  Been thanked: 3899 times
  10/04/2020 at 9:40 AM #146325
  GraHal

  Link to above added as Log 248 to here …

  Snippet Link Library

  1 user thanked author for this post.

  robertogozzi

  

  GraHal

  Participant

  Topics: 209

  Replies: 8698

  Been thanked: 2140 times
• Author
  Posts