Coding for RSI Reversal with divergence

• 01/10/2022 at 9:57 AM #184997
  WillAuto

  Hi guys,

  I would appreciate some assistance. I’m quite new to using PRT and I am trying to code an RSI reversal strategy with some simple conditions, but I am unable to complete the code correctly.

  I need particular help with period ranges for High/Lows (see rules 3/4/5) – any ideas on how best to code this?

  I’ve written out my strategy rules and also copied in a copy of my current code (see both below).

  Many thanks in advance!

  The rules are:
  for buy/long

  1. RSI < 33
  2. Price > 200 EMA
  3. Recent Price Low (for example  a range of 5 periods ago) < Prior Price Low (for example a range of 10 periods ago)
  4. Recent RSI Low (for example  a range of 5 periods ago) > Prior Price Low (for example  a range of 10 periods ago)
  5. Current Price crosses over Recent Price High (for example the low of the last 10 periods)

  for sell/short

  1. RSI > 65
  2. Price < 200 EMA
  3. Recent Price High (for example 5 periods ago) > Prior Price high (for example 10 periods ago)
  4. Recent RSI High (for example 5 periods ago) < Prior Price high (for example 10 periods ago)
  5. Current Price crosses under Recent Price Low (for example the low of the last 10 periods)

  Stop Loss

  If short
  Stop Loss:  at Prior Price high (within last 10 periods)
  Target: 3x the STOP LOSS

  If Long
  Stop Loss:  at Prior Price Low (within last 10 periods)
  Target: 3x the STOP LOSS

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = RSI[14](close) c1 = (indicator1 < 33) indicator2 = ExponentialAverage[200](close) c2 = (close > indicator2) c3 = (high[5] < high[10]) indicator3 = RSI[14](close) c4 = (indicator3[5] > indicator3[10]) c5 = (close CROSSES OVER high[10]) IF c1 AND c2 AND c3 AND c4 AND c5 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions to enter short positions indicator4 = RSI[14](close) c6 = (indicator4 > 65) indicator5 = ExponentialAverage[200](close) c7 = (close < indicator5) c8 = (high[5] > high[10]) indicator6 = RSI[14](close) c9 = (indicator6[5] < indicator6[10]) c10 = (close CROSSES UNDER low[10]) IF c6 AND c7 AND c8 AND c9 AND c10 THEN SELLSHORT 1 SHARES AT MARKET ENDIF // Stops and targets SET STOP pLOSS 500 pTRAILING 250 SET TARGET pPROFIT 1000

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = RSI[14](close) c1 = (indicator1 < 33) indicator2 = ExponentialAverage[200](close) c2 = (close > indicator2) c3 = (high[5] < high[10]) indicator3 = RSI[14](close) c4 = (indicator3[5] > indicator3[10]) c5 = (close CROSSES OVER high[10])   IF c1 AND c2 AND c3 AND c4 AND c5 THEN BUY 1 SHARES AT MARKET ENDIF   // Conditions to enter short positions indicator4 = RSI[14](close) c6 = (indicator4 > 65) indicator5 = ExponentialAverage[200](close) c7 = (close < indicator5) c8 = (high[5] > high[10]) indicator6 = RSI[14](close) c9 = (indicator6[5] < indicator6[10]) c10 = (close CROSSES UNDER low[10])   IF c6 AND c7 AND c8 AND c9 AND c10 THEN SELLSHORT 1 SHARES AT MARKET ENDIF   // Stops and targets SET STOP pLOSS 500 pTRAILING 250 SET TARGET pPROFIT 1000

   

   

  

  WillAuto

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  01/13/2022 at 6:04 AM #185313
  WillAuto

  Haven’t seen any responses yet unfortunately, but I think I have made a little progress at understanding my 3rd condition/rule. Would be thankful if someone could tell me if this looks right?

  c3 = (close>highest[5]) < (highest[10])

  1	c3 = (close>highest[5]) < (highest[10])

  I still think this isn’t quite right, but getting close to creating an indicator that identifies a double top that (with the second top being smaller than the first)

  

  WillAuto

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  01/14/2022 at 9:24 AM #185406
  Nicolas

  That conditions look like divergences IMO? There are many topics and useful codes of RSI divergences around, both in forums and in the library 🙂

  

  Nicolas

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  01/17/2022 at 11:56 AM #185673
  WillAuto

  Hi @Nicolas,

  Yes, trying to create a divergence criteria (albeit I think this code is not quite right for what I need it to do). My two main concerns are

  1) in my last example (the double top), I’m not confident this truly does identify a double top
  2) range of periods is still an issue (as you see I used 5 periods and 10 periods (for first and second top) – not sure how to amend this to be more flexible to different period ranges

  Also thank you for your suggestion re: looking at the library and forums. Can I ask, is there an efficient way to search for topics keywords here? as I’m not having much luck finding relevant codes or help etc.  (apologies, still very new to PRT and ProRealCode site)

  Of the divergence/ MW/WM codes I have come across so far, it doesn’t seem that many have actually directly addressed it or just don’t seem fit for purpose (best example I have seen was someone trying to use moving averages + LEVMIN/MAX, which can provide too many false signals, which I want to avoid) Simpler the better IMO.

  Many thanks,

  

  WillAuto

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  01/18/2022 at 10:56 AM #185801
  Nicolas

  5 and 10 periods are indeed strict, so combining all conditions together leads to … no signals 🙂

  It would be better if you could think what a setup should look on the chart, and post it here.

  Try to find first with a bullish setup.

  

  Nicolas

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  01/19/2022 at 6:48 AM #185896
  WillAuto

  Very good idea – I’ve found what I feel is hopefully a clear example of a bullish set up. In this chart you can see:

  1. Price reaching a lower low
  2. RSI <30 with the higher low situation emerging
  3.  Price above 200 EMA (as indicated with the constantly purple line)
  4. Price starts to break major structure (or prior high) indicated by yellow circles  – this signal being the buy indicator

  Something not on the chart, but quite important (which I don’t know how to code for yet) – I want to set the stop loss at the price low in this example and the target at 3x this.

  Hope this is a clear enough illustration! 🙂

   

  

  WillAuto

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  01/19/2022 at 9:16 AM #185899
  GraHal

  WillAuto wrote:

  is there an efficient way to search for topics keywords here?

  Hover over your photo (top right) and you will see a Search box.

  You can also use google, just enter prorealcode + whatever term you are searching for. Use inverted commas around 2 terms etc … usual google protocol.

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  GraHal

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  01/19/2022 at 10:41 AM #185904
  robertogozzi

  Do not embed files in your post, as this slows down the loading of pages.
  Use the SELECT FILE to attach them, instead.
  Thank you 🙂

  You can easily spot RSI divergences using the keyword DivergenceRSI.

  SET STOP pLOSS 500 pTRAILING 250, only works in backtest. You can’t set two different STOPs in the same line.

  I suggest that you replace the TRAILING STOP with a code snippet. You can find Nicolas’Trailing Stop (lines 17-56), ready-made, at https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/.

  There you go (not tested):

  Defparam CumulateOrders = false Once LookBack = 30 //30 periods to scan Once RSIperiods = 14 Once OBlevel = 70 Once OSlevel = 100 - OBlevel Once BreakLevel = 0 Once EntryFlag = 0 Bullish = close > open Bearish = close < open Ema200 = average[200,1](close) c1 = close > Ema200 If OnMarket then BreakLevel = 0 EntryFlag = 0 Endif UPswing = (max(high,high[1]) = highest[LookBack](high)) and Bearish and Bullish[1] If UPswing and Not EntryFlag then BreakLevel = max(high,high[1]) Endif DOWNswing = (min(low,low[1]) = lowest[LookBack](low)) and Bullish and Bearish[1] If DOWNswing and BreakLevel and summation[2](DivergenceRSI[RSIperiods,OSlevel, OBlevel, LookBack](close)) then EntryFlag = min(low,low[1]) Endif if low < EntryFlag then EntryFlag = 0 Endif If EntryFlag and c1 and close CROSSES OVER BreakLevel then Buy 1 contract at Market Endif // Stops and targets SET STOP pLOSS 500 pTRAILING 250 SET TARGET pPROFIT 1000

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  Defparam CumulateOrders = false Once LookBack = 30  //30 periods to scan Once RSIperiods = 14 Once OBlevel = 70 Once OSlevel = 100 - OBlevel Once BreakLevel = 0 Once EntryFlag = 0 Bullish = close > open Bearish = close < open Ema200 = average[200,1](close) c1  = close > Ema200 If OnMarket then    BreakLevel = 0    EntryFlag = 0 Endif UPswing = (max(high,high[1]) = highest[LookBack](high)) and Bearish and Bullish[1] If UPswing and Not EntryFlag then    BreakLevel = max(high,high[1]) Endif DOWNswing = (min(low,low[1]) = lowest[LookBack](low)) and Bullish and Bearish[1] If DOWNswing and BreakLevel and summation[2](DivergenceRSI[RSIperiods,OSlevel, OBlevel, LookBack](close)) then    EntryFlag = min(low,low[1]) Endif if low < EntryFlag then    EntryFlag = 0 Endif If EntryFlag and c1 and close CROSSES OVER BreakLevel then    Buy 1 contract at Market Endif // Stops and targets SET STOP pLOSS 500 pTRAILING 250 SET TARGET pPROFIT 1000

   

  

  robertogozzi

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  01/19/2022 at 10:53 AM #185905
  SnorreDK

  Looks good Roberto. How would an inverse look like for entry short?

  

  SnorreDK

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  01/19/2022 at 10:58 AM #185907
  robertogozzi

  I am on my mobile now, I’ll make it later today.

  

  robertogozzi

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  01/20/2022 at 5:08 AM #186003
  WillAuto

  Roberto, thanks for this, appreciate you providing this code!

  I’ll keep a look-out for your upcoming update re: SnorreDK asking about the inverse with short entry.

  As for the TRAILING STOP, thanks for the link, I’ll get myself familiar with this and look to build in a different stop loss.

   

  

  WillAuto

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  01/20/2022 at 12:13 PM #186050
  robertogozzi

  There you go. I also added Nicolas’trailing stop:

  //https://www.prorealcode.com/topic/coding-for-rsi-reversal-with-divergence/ // Defparam CumulateOrders = false Once LookBack = 30 //30 periods to scan Once RSIperiods = 14 Once OBlevel = 70 Once OSlevel = 100 - OBlevel Once BreakLevelL = 0 Once BreakLevelS = 0 Once EntryFlagL = 0 Once EntryFlagS = 0 Bullish = close > open Bearish = close < open Ema200 = average[200,1](close) L1 = close > Ema200 S1 = close < Ema200 If OnMarket then BreakLevelL = 0 BreakLevelS = 0 EntryFlagL = 0 EntryFlagS = 0 Endif // UPswing = (max(high,high[1]) = highest[LookBack](high)) and Bearish and Bullish[1] DOWNswing = (min(low,low[1]) = lowest[LookBack](low)) and Bullish and Bearish[1] // If UPswing and Not EntryFlagL then BreakLevelL = max(high,high[1]) Endif If DOWNswing and Not EntryFlagS then BreakLevelS = min(low,low[1]) Endif // If DOWNswing and BreakLevelL and summation[2](DivergenceRSI[RSIperiods,OSlevel, OBlevel, LookBack](close)) then EntryFlagL = min(low,low[1]) Endif If UPswing and BreakLevelS and summation[2](DivergenceRSI[RSIperiods,OSlevel, OBlevel, LookBack](close)= -1) then EntryFlagS = max(high,high[1]) Endif // if low < EntryFlagL then EntryFlagL = 0 Endif if high > EntryFlagS then EntryFlagS = 0 Endif // If EntryFlagL and L1 and close CROSSES OVER BreakLevelL then Buy 1 contract at Market Endif If EntryFlagS and S1 and close CROSSES UNDER BreakLevelS then SELLSHORT 1 contract at Market Endif // Stops and targets SET STOP pLOSS 100 SET TARGET pPROFIT 300 // //************************************************************************ //trailing stop function trailingstart = 30 //trailing will start @trailinstart points profit trailingstep = 10 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

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  //https://www.prorealcode.com/topic/coding-for-rsi-reversal-with-divergence/ // Defparam CumulateOrders = false Once LookBack    = 30  //30 periods to scan Once RSIperiods  = 14 Once OBlevel     = 70 Once OSlevel     = 100 - OBlevel Once BreakLevelL = 0 Once BreakLevelS = 0 Once EntryFlagL  = 0 Once EntryFlagS  = 0 Bullish = close > open Bearish = close < open Ema200 = average[200,1](close) L1  = close > Ema200 S1  = close < Ema200 If OnMarket then BreakLevelL = 0 BreakLevelS = 0 EntryFlagL = 0 EntryFlagS = 0 Endif // UPswing = (max(high,high[1]) = highest[LookBack](high)) and Bearish and Bullish[1] DOWNswing = (min(low,low[1]) = lowest[LookBack](low)) and Bullish and Bearish[1] // If UPswing and Not EntryFlagL then BreakLevelL = max(high,high[1]) Endif If DOWNswing and Not EntryFlagS then BreakLevelS = min(low,low[1]) Endif // If DOWNswing and BreakLevelL and summation[2](DivergenceRSI[RSIperiods,OSlevel, OBlevel, LookBack](close)) then EntryFlagL = min(low,low[1]) Endif If UPswing and BreakLevelS and summation[2](DivergenceRSI[RSIperiods,OSlevel, OBlevel, LookBack](close)= -1) then EntryFlagS = max(high,high[1]) Endif // if low < EntryFlagL then EntryFlagL = 0 Endif if high > EntryFlagS then EntryFlagS = 0 Endif // If EntryFlagL and L1 and close CROSSES OVER  BreakLevelL then Buy 1 contract at Market Endif If EntryFlagS and S1 and close CROSSES UNDER BreakLevelS then SELLSHORT 1 contract at Market Endif // Stops and targets SET STOP   pLOSS   100 SET TARGET pPROFIT 300 // //************************************************************************ //trailing stop function trailingstart = 30    //trailing will start @trailinstart points profit trailingstep  = 10    //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

   

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  robertogozzi

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  01/21/2022 at 6:55 AM #186134
  WillAuto

  Hi Roberto,

  I have a question and I apologize ahead of time if this sounds stupid! still learning my way around the code! 🙂

  At the beginning of the code you use a series of ONCE instructions (I assume this is to give first time values for the code to initiate appropriately). Could I ask, what function is provided by the ONCE EntryFlagL = 0 and ONCE EntryFlagS = 0

  I see the criteria for these two EntryFlagL (lines 34-35) and EntryFlagS (lines 37-38) nice and clearly defined, but I’d just like to understand how this interacts with the ONCE function.

  Many thanks,

  Will

  

  WillAuto

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  01/21/2022 at 8:28 AM #186135
  robertogozzi

  ONCE is used in lines 4, 5, 6 and 7 to assign variables a value that never changes (but it could, though, if needed).

  ONCE is also used to initialize variables for the very first time, to make sure they retain a numeric value. I might remove ONCE, but in such case the previous value would be cleared each new bar, which I don’t want.

   

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  robertogozzi

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  01/31/2022 at 7:50 PM #187164
  micquan

  Glad I found this post, great example, code and explanation. I learnt a lot from this.

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  robertogozzi

  

  micquan

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