Conversion of a trend following strategy from the MultiCharts trading software

• 07/02/2024 at 8:31 PM #234718
  Gaby

  Hello, I am wondering if you can help on this translation from PowerLanguage (Multicharts) to Prorealcode. Please note; in the original code  the variable  OpenS(1), (HighS(1), LowS(1) and CloseS(1) are the OHLC of yesteday’s exchange session (18.00 open – 17.00 close, ET time), equal to my local time 23.00 open – 22.00 close GMT time. I am not clear how to translate this in Prorealcode, keeping the default settings, if possible, on the chart.

  Thanks for your support.

  =============================

  Inputs: MyContracts(1), MyStop(1470);

  Variable: SessionStartTimeA(1800), sessionEndTimeA(1700);

  variable: FastSMA(0), SlowSMA(0), DailySetupLong(false), DailySetupShort(false), GradientCheck(false);

  variable: Spread(0.02), MyStartTime(1900), MyEndTime(1600), MyStartPause(2000), MyEndPause(2000), MaxEntriesPerDay(2), MaxDaysInTrade(4);

  variable: myTimeframe(60), myFastLength(12), mySlowLength(24), myGradientLength(2), myDailyFactor(0.5), myGradientFactor(1.6);

  //VARIABLES CALCULATION

  FastSMA = Average(close, myFastLength);

  SlowSMA = Average(close, mySlowLength);

  if currentbar > 1440/myTimeframe then begin //To not divide by 0 on the first bars

  DailySetupLong = absvalue(CloseS(1)-OpenS(1))/(HighS(1)-LowS(1)) <= myDailyFactor and CloseS(1) > OpenS(1);

  DailySetupShort = absvalue(CloseS(1)-OpenS(1))/(HighS(1)-LowS(1)) <= myDailyFactor and CloseS(1) < OpenS(1);

  GradientCheck = absvalue(FastSMA – FastSMA[myGradientLength]) >= myGradientFactor*absvalue(SlowSMA – SlowSMA[myGradientLength]);

  end;

  //ENTRIES

  if tw(MyStartTime,MyEndTime) and (Time<MyStartPause or Time>MyEndPause) and entriestoday(date)<MaxEntriesPerDay then begin

  if marketposition = 0 and DailySetupLong and GradientCheck and FastSMA crosses above SlowSMA then begin

    value1 = close+spread;

  buy(“LE”) mycontracts contracts next bar at value1 limit;

  end;

  if marketposition = 0 and DailySetupShort and GradientCheck and FastSMA crosses below SlowSMA then begin

  value2 = close-spread;

  sellshort(“SE”) mycontracts contracts next bar at value2 limit;

  end;

  end;

  //EXITS

  if (date – entrydate) >= MaxDaysinTrade then setexitonclose;

  if dayofweek(date) = 5 then setexitonclose;

  if FastSMA crosses below SlowSMA then sell(“LX”) next bar at market;

  if FastSMA crosses above SlowSMA then buytocover(“SX”) next bar at market;

  setstopcontract;

  if mystop>0 then setstoploss(MyStop);

  

  Gaby

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  07/03/2024 at 11:40 AM #234731
  Iván

  Hi! here you have the code:

  // startTime=153000 endTime=220000 pauseStart=190000 pauseEnd=203000 maxDaysInTrade=4 maxEntriesPerDay=2 spread=0.02 // fastLength=12 slowLength=24 gradientLength=2 dailyFactor=0.5 gradientFactor=1.6 // fastSMA=average[fastLength](close) slowSMA=average[slowLength](close) DailySetupLong=abs(Dclose(1)-Dopen(1))/(Dhigh(1)-Dlow(1))<= dailyFactor and Dclose(1)>Dopen(1) DailySetupShort=abs(Dclose(1)-Dopen(1))/(Dhigh(1)-Dlow(1))<= dailyFactor and Dclose(1)<Dopen(1) gradientCheck=abs(fastSMA-fastSMA[gradientLength])>=gradientFactor*abs(slowSMA-slowSMA[gradientLength]) // once entriesToday=0 once daysInMarket=0 once value1=close once value2=close if intradaybarindex=0 then entriesToday=0 LastTradeidx=tradeindex if onmarket then daysInMarket=daysInMarket+1 else daysInMarket=0 endif endif if (time>=startTime and time<endTime) and (time<pauseStart or time>pauseEnd) and entriesToday<maxEntriesPerDay then if tradeindex<>LastTradeidx then entriesToday=entriesToday+1 LastTradeidx=tradeindex else entriesToday=entriesToday LastTradeidx=LastTradeidx endif if dailySetupLong and gradientCheck and fastSMA crosses over slowSMA then value1=close+spread buy 1 contract at value1 limit endif if dailySetupShort and gradientCheck and fastSMA crosses under slowSMA then value2=close-spread sellshort 1 contract at value2 limit endif endif if onmarket then if longonmarket and fastSMA crosses under slowSMA then sell at market elsif shortonmarket and fastSMA crosses over slowSMA then exitshort at market elsif daysInMarket >= maxDaysInTrade then sell at market exitshort at market endif endif graphonprice fastSMA coloured("red") graphonprice slowSMA coloured("blue")

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  //   startTime=153000 endTime=220000 pauseStart=190000 pauseEnd=203000   maxDaysInTrade=4 maxEntriesPerDay=2 spread=0.02   //   fastLength=12 slowLength=24 gradientLength=2 dailyFactor=0.5 gradientFactor=1.6   //   fastSMA=average[fastLength](close) slowSMA=average[slowLength](close)   DailySetupLong=abs(Dclose(1)-Dopen(1))/(Dhigh(1)-Dlow(1))<= dailyFactor and Dclose(1)>Dopen(1)   DailySetupShort=abs(Dclose(1)-Dopen(1))/(Dhigh(1)-Dlow(1))<= dailyFactor and Dclose(1)<Dopen(1)   gradientCheck=abs(fastSMA-fastSMA[gradientLength])>=gradientFactor*abs(slowSMA-slowSMA[gradientLength])   // once entriesToday=0 once daysInMarket=0 once value1=close once value2=close   if intradaybarindex=0 then entriesToday=0 LastTradeidx=tradeindex if onmarket then daysInMarket=daysInMarket+1 else daysInMarket=0 endif endif   if (time>=startTime and time<endTime) and (time<pauseStart or time>pauseEnd) and entriesToday<maxEntriesPerDay then   if tradeindex<>LastTradeidx then entriesToday=entriesToday+1 LastTradeidx=tradeindex else entriesToday=entriesToday LastTradeidx=LastTradeidx endif   if dailySetupLong and gradientCheck and fastSMA crosses over slowSMA then value1=close+spread buy 1 contract at value1 limit endif   if dailySetupShort and gradientCheck and fastSMA crosses under slowSMA then value2=close-spread sellshort 1 contract at value2 limit endif endif   if onmarket then if longonmarket and fastSMA crosses under slowSMA then sell at market elsif shortonmarket and fastSMA crosses over slowSMA then exitshort at market elsif daysInMarket >= maxDaysInTrade then sell at market exitshort at market endif endif   graphonprice fastSMA coloured("red") graphonprice slowSMA coloured("blue")

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  Gaby

  

  Iván

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