Coding a breakout strategy for bitcoin

• 09/25/2018 at 8:04 PM #81301
  ligand

  Hi,

  I’m new to programming and have problems with the following idea (and I hope that I’m at the right place here):

  Start: Buying one share on breakout above the highest of the preceding n bars.

  Selling 2 shares on breakout below the lowest of the preceding n bars- then again buying two shares above the breakout and so on.

  This means to be invested with one share all of the time.

  Code:

  DEFPARAM CUMULATEORDERS = FALSE IF PRICE CROSSES BELOW LOWEST[n](low) THEN IF LONGONMARKET THEN SELL 500 cash AT MARKET ENDIF IF NOT LONGONMARKET THEN SELL 250 cash AT MARKET ENDIF ENDIF IF PRICE CROSSES ABOVE HIGHEST[n](high) THEN IF SHORTONMARKET THEN BUY 500 cash AT MARKET ENDIF IF NOT SHORTONMARKET THEN BUY 250 cash AT MARKET ENDIF ENDIF

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  DEFPARAM CUMULATEORDERS = FALSE   IF PRICE CROSSES BELOW LOWEST[n](low) THEN IF LONGONMARKET THEN SELL 500 cash AT MARKET ENDIF IF NOT LONGONMARKET THEN SELL 250 cash AT MARKET ENDIF ENDIF   IF PRICE CROSSES ABOVE HIGHEST[n](high) THEN IF SHORTONMARKET THEN BUY 500 cash AT MARKET ENDIF IF NOT SHORTONMARKET THEN BUY 250 cash AT MARKET ENDIF ENDIF

  Problems: 1. This gives no results for different n on backtesting

  2. What  is the correct term for Bitcoin/USD (cash, share, unit…)?

  3. On IG, the spread for BTCUSD is 50 USD presently. Does this mean I have to type in 50 for the spread?

  Thanks a lot if someone could help, it’s driving me crazy.

  ligand

  

  ligand

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  10/25/2018 at 5:59 AM #83485
  ligand

  thanks, I got an answer via prorealtime

   

  

  ligand

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  10/25/2018 at 6:22 AM #83487
  swapping

  DEFPARAM CUMULATEORDERS = FALSE IF PRICE CROSSES BELOW LOWEST[n](low) THEN IF LONGONMARKET THEN SELL 500 cash AT MARKET ENDIF IF NOT LONGONMARKET THEN SELL 250 cash AT MARKET ENDIF ENDIF IF PRICE CROSSES ABOVE HIGHEST[n](high) THEN IF SHORTONMARKET THEN BUY 500 cash AT MARKET ENDIF IF NOT SHORTONMARKET THEN BUY 250 cash AT MARKET ENDIF ENDIF

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  DEFPARAM CUMULATEORDERS = FALSE   IF PRICE CROSSES BELOW LOWEST[n](low) THEN IF LONGONMARKET THEN SELL 500 cash AT MARKET ENDIF IF NOT LONGONMARKET THEN SELL 250 cash AT MARKET ENDIF ENDIF   IF PRICE CROSSES ABOVE HIGHEST[n](high) THEN IF SHORTONMARKET THEN BUY 500 cash AT MARKET ENDIF IF NOT SHORTONMARKET THEN BUY 250 cash AT MARKET ENDIF ENDIF

  Hello, the [Insert PRT Code] is your friend 🙂

  

  swapping

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  10/25/2018 at 7:16 AM #83489
  Vonasi

  swapping wrote:

  Hello, the [Insert PRT Code] is your friend

  Thanks swapping – I have tidied up the post to make it easier for others to read 🙂 ligand – please use the ‘Insert PRT Code’ button in your future posts. 🙂

  

  Vonasi

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  10/25/2018 at 7:08 PM #83546
  ligand

  Sorry, thanks. I hope it’s alright now.

  Here is the improved code from prorealcode. Backtesting shows this code to perform trades only in one direction.

  Therefore it doesn’t work in the way I hoped it would. I’d like to be always in the market: buy, when the price breaks above the highest of the last n bars and sell  when it breaks below the lowest of the last n bars. Therefore the first buy (or sell) is with 1 share or contract, and every following trade with 2 shares or contracts and always in the opposite direction.

  If someone could help, it would be very nice.

  Breakout code lowest/highest of n bars in both directions - always in the market

  DEFPARAM CUMULATEORDERS = FALSE n=5 IF low < LOWEST[n](low[1]) THEN IF LONGONMARKET THEN Sell 2 contracts AT MARKET ENDIF IF NOT LONGONMARKET THEN Sell 1 contracts AT MARKET ENDIF ENDIF IF high > HIGHEST[n](high[1]) THEN IF SHORTONMARKET THEN BUY 2 Contracts AT MARKET ENDIF IF NOT SHORTONMARKET THEN BUY 1 Contracts AT MARKET ENDIF ENDIF

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  DEFPARAM CUMULATEORDERS = FALSE   n=5   IF low < LOWEST[n](low[1]) THEN IF LONGONMARKET THEN Sell 2 contracts AT MARKET ENDIF IF NOT LONGONMARKET THEN Sell 1 contracts AT MARKET ENDIF ENDIF   IF high > HIGHEST[n](high[1]) THEN IF SHORTONMARKET THEN BUY 2 Contracts AT MARKET ENDIF IF NOT SHORTONMARKET THEN BUY 1 Contracts AT MARKET ENDIF ENDIF

   

  

  ligand

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  10/25/2018 at 7:20 PM #83547
  Vonasi

  DEFPARAM CUMULATEORDERS = FALSE n=5 IF low < LOWEST[n](low[1]) THEN SellShort 1 contracts AT MARKET ENDIF IF high > HIGHEST[n](high[1]) THEN BUY 1 Contracts AT MARKET ENDIF

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  DEFPARAM CUMULATEORDERS = FALSE n=5 IF low < LOWEST[n](low[1]) THEN SellShort 1 contracts AT MARKET ENDIF IF high > HIGHEST[n](high[1]) THEN BUY 1 Contracts AT MARKET ENDIF

  BUY = enter long. Closes any short trades.

  SELL = exit long trade.

  SELLSHORT = enter short. Closes any long trades.

  EXITSHORT = exit any short trades.

  

  Vonasi

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  10/26/2018 at 6:32 AM #83556
  ligand

  Thanks Vonasi, that’s very helpful… I’ll check it out over the weekend.

  

  ligand

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  11/24/2018 at 5:09 PM #85640
  ligand

  Hi, one more question regarding realtime data please, since the helpful code above refers to data from the last days:

  What is the right coding word for “the present price”? For example:

  If xxxx crosses over highest[1] then

  buy 1 contract

  The phrase “price” for xxxx is not accepted. Tanks!

  

  ligand

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  11/24/2018 at 9:16 PM #85652
  Vonasi

  Use ‘close’ instead of ‘price’.

  ‘close’ is the price at the close of any candle which is when all strategy decisions are made.

  

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  11/24/2018 at 10:23 PM #85653
  ligand

  Thank you very much for the quick response!

  So if I’d like to code a system which trades on a hourly basis using a signal on a daily basis – for example buy if the price crosses over the last day’s close – it would be best to code using two timeframes?

   

  

  ligand

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  11/24/2018 at 10:41 PM #85655
  Vonasi

  MTF would work or you could just use DClose(1)

  https://www.prorealcode.com/documentation/dclose/

  

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  11/25/2018 at 9:37 AM #85669
  ligand

  Thanks a lot. In one of the advanced videos it is shown how to define a line through 2 defined points (e.g. local lows). If I want to code a system to buy if the close crosses a line like that, how can I describe this line in code, please?

  

  ligand

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  11/25/2018 at 10:59 AM #85670
  Vonasi

  This might be of assistance regarding your last request:

  https://www.prorealcode.com/topic/calculating-diagonal-trend-lines-using-fractals-and-trigonometry/

  

  Vonasi

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  11/25/2018 at 2:17 PM #85674
  ligand

  Hi Vonasi,

  I’m just a physician but if I calculate right and if I know two points defining a line (x1/y1) and (x2/y2) this line is

  y=mx+b

  with

  m=(y2-y1)/(x2-x1) and

  b=y1-((y2-y1)x1/(x2-x1))

  and the line is therefore: y=((y2-y1)/(x2-x1))x + y1-((y2-y1)x1/(x2-x1))

  Given my little knowledge of coding I couldn’t find anything in your link (except of the basal equation) which helped me to force the above equation in code. Could you please show me how this definition of a line is done, if possible?

   

  

  ligand

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  11/25/2018 at 3:09 PM #85676
  Vonasi

  I’m afraid that you might be asking the wrong person! The last time I played with trigonometry calculations was when I was at school – and I ruled out using any form of trend line in my trading a long time ago so I have never coded anything myself with any form of trend line calculations.

  Maybe Nicolas or juanj will join this topic and help you out with your request.

  

  Vonasi

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