Buy Close sell Open AAPL

• 01/20/2023 at 3:41 PM #207770
  andyafonso

  Hi again!

  I have a hard time figuring out why my system doesnt do what i want it to do.

  I want to buy the close if it’s above moving average 200 and closing above 3%.

  Then i want to sell this position the day after at open.

  Since i live in Sweden the trading hours for the NY stockxchange is 15:30 -> 22:00.

  Stock is AAPL (just an example).

  // Buy a strong close and sell the open in a strong trend. // Instrument: AAPL, 30min, 9:30 - 4:00 Eastern Time, 1 point spread, account size: 10.000 Euro // ProOrder code parameter DEFPARAM CumulateOrders = False // Define intraday trading window ONCE timeSell = 153000 ONCE timeBuy = 220000 // Define position size ONCE positionSize = 10 // Define indicators of Moving Avarage ma1 = Average[200](close) ma2 = close[0] > ma1 // Define a strong close in percentage c1 = 3 c2 = (DClose(0) - DClose(1))/DClose(1) * 100 // Open long position IF NOT LongOnMarket AND Time = timeBuy AND ma1 AND c2 >= c1 THEN BUY positionSize SHARES AT MARKET ENDIF // Sell long position If LongOnMarket AND Time = timeSell THEN SELL AT MARKET ENDIF

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  // Buy a strong close and sell the open in a strong trend. // Instrument: AAPL, 30min, 9:30 - 4:00 Eastern Time, 1 point spread, account size: 10.000 Euro   // ProOrder code parameter DEFPARAM CumulateOrders = False   // Define intraday trading window ONCE timeSell = 153000 ONCE timeBuy = 220000   // Define position size ONCE positionSize = 10   // Define indicators of Moving Avarage ma1 = Average[200](close) ma2 = close[0] > ma1   // Define a strong close in percentage c1 = 3 c2 = (DClose(0) - DClose(1))/DClose(1) *  100   // Open long position IF NOT LongOnMarket AND Time = timeBuy AND ma1 AND c2 >= c1 THEN BUY positionSize SHARES AT MARKET ENDIF   // Sell long position If LongOnMarket AND Time = timeSell THEN SELL AT MARKET ENDIF

  When i backtest i get 10 trades only and the system doesnt sell the positions the day after.

  

  andyafonso

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  01/20/2023 at 4:19 PM #207772
  robertogozzi

  It opens trades at 22:00 (when the 21:30 candle closes) and exits at 15:30 (when the 15:00 candle closes, provided there is one).

  Try replacing Time with OpenTime.

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  andyafonso

  

  robertogozzi

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  01/20/2023 at 4:48 PM #207775
  andyafonso

  Hi again,

  Got it to work now, thanks alot! The system is closing the position after 30 min now (16:00) instead of 15:30. I guess when i change the time the system will not find a closing candle to sell it on.

  

  andyafonso

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  01/20/2023 at 5:51 PM #207781
  andyafonso

  // Buy or Sell a strong/weak close and sell the open in a strong/weak trend. // Instrument: Tesla, 10min, 9:30 - 4:00 Eastern Time, 1 point spread, account size: 10.000 Euro // ProOrder code parameter DEFPARAM CumulateOrders = False // Define intraday trading window ONCE timeSell = 153000 ONCE timeBuy = 220000 // Define position size ONCE positionSize = 50 // Define indicators of Moving Avarage trend positive or negative ma1 = Average[200](close) ma2 = close[0] > ma1 ma3 = close[0] < ma1 // Define indicators of ADX trend indicator if its strong or weak trend1 = ADX[14] > 30 trend2 = ADX[14] < 30 // Define a strong close in percentage c1 = 3 c2 = (DClose(0) - DClose(1))/DClose(1) * 100 c3 = -3 // Open long position IF NOT LongOnMarket AND Time = timeBuy AND ma1 AND c2 > c1 AND trend1 THEN BUY positionSize SHARES AT MARKET ENDIF // Sell long position If LongOnMarket AND OpenTime = timeSell THEN SELL AT MARKET ENDIF // Open short position IF NOT ShortOnMarket AND Time = timeBuy AND ma3 AND c2 < c1 AND trend2 THEN SELLSHORT positionSize SHARES AT MARKET ENDIF // Close short position IF ShortOnMarket and OpenTime = timeSell THEN EXITSHORT AT MARKET ENDIF

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  // Buy or Sell a strong/weak close and sell the open in a strong/weak trend. // Instrument: Tesla, 10min, 9:30 - 4:00 Eastern Time, 1 point spread, account size: 10.000 Euro   // ProOrder code parameter DEFPARAM CumulateOrders = False   // Define intraday trading window ONCE timeSell = 153000 ONCE timeBuy = 220000   // Define position size ONCE positionSize = 50   // Define indicators of Moving Avarage trend positive or negative ma1 = Average[200](close) ma2 = close[0] > ma1 ma3 = close[0] < ma1   // Define indicators of ADX trend indicator if its strong or weak trend1 = ADX[14] > 30 trend2 = ADX[14] < 30   // Define a strong close in percentage c1 = 3 c2 = (DClose(0) - DClose(1))/DClose(1) *  100 c3 = -3   // Open long position IF NOT LongOnMarket AND Time = timeBuy AND ma1 AND c2 > c1 AND trend1 THEN BUY positionSize SHARES AT MARKET ENDIF   // Sell long position If LongOnMarket AND OpenTime = timeSell THEN SELL AT MARKET ENDIF   // Open short position IF NOT ShortOnMarket AND Time = timeBuy AND ma3 AND c2 < c1 AND trend2 THEN SELLSHORT positionSize SHARES AT MARKET ENDIF   // Close short position IF ShortOnMarket and OpenTime = timeSell THEN EXITSHORT AT MARKET ENDIF

  Here is the final version, either short or buy close depending on the trend and sell/covers the day after.

   

  

  andyafonso

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  01/20/2023 at 5:56 PM #207784
  andyafonso

  Want to add it works very poorly overall on other stocks. But it was a fun project 🙂 On to the next!

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  robertogozzi

  

  andyafonso

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