Crossmomentum strategy

• 12/15/2016 at 3:55 PM #18605
  Alco

  Hi guys,

  I’m trying a simple strategy I use sometimes in manual trading.
  It makes sence to me and it works on backtests on dax and dow 1H timeframe. I think it has a great potential if we put trailing stops in the code, but I don’t know how.
  It still has a couple 0 bars, so if someone could test it with the tick by tick mode, it make things more clear.

  For buy:
  Simple moving average needs to cross over the momentum and momentum needs to be positive.
  Directional movement indicator needs to be positive and > 23
  EMA 8 has to be above 89 ema

  For sell the opposite.

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = Momentum[12](close) c1 = (indicator1 >= 0) indicator2 = Momentum[12](close) indicator3 = Average[20](Momentum[12](close)) c2 = (indicator2 >= indicator3) indicator4 = DIplus[14](close) indicator5 = DIminus[14](close) c3 = (indicator4 >= indicator5) indicator6 = DIplus[14](close) c4 = (indicator6 >= 23) indicator7 = ExponentialAverage[8](close) indicator8 = ExponentialAverage[89](close) c5 = (indicator7 >= indicator8) IF c1 AND c2 AND c3 AND c4 AND c5 THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator9 = Average[20](Momentum[12](close)) indicator10 = Momentum[12](close) c6 = (indicator9 CROSSES OVER indicator10) IF c6 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator11 = Momentum[12](close) c7 = (indicator11 <= 0) indicator12 = Average[20](Momentum[12](close)) indicator13 = Momentum[12](close) c8 = (indicator12 >= indicator13) indicator14 = DI[14](close) indicator15 = DI[14](close) c9 = (indicator14 >= indicator15) indicator16 = DIminus[14](close) c10 = (indicator16 >= 23) indicator17 = ExponentialAverage[8](close) indicator18 = ExponentialAverage[89](close) c11 = (indicator17 <= indicator18) IF c7 AND c8 AND c9 AND c10 AND c11 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions indicator19 = Momentum[12](close) indicator20 = Average[20](Momentum[12](close)) c12 = (indicator19 CROSSES OVER indicator20) IF c12 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pLOSS 25 SET TARGET pPROFIT 50

  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

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = Momentum[12](close) c1 = (indicator1 >= 0)   indicator2 = Momentum[12](close) indicator3 = Average[20](Momentum[12](close)) c2 = (indicator2 >= indicator3)   indicator4 = DIplus[14](close) indicator5 = DIminus[14](close) c3 = (indicator4 >= indicator5)   indicator6 = DIplus[14](close) c4 = (indicator6 >= 23)   indicator7 = ExponentialAverage[8](close) indicator8 = ExponentialAverage[89](close) c5 = (indicator7 >= indicator8)   IF c1 AND c2 AND c3 AND c4 AND c5 THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator9 = Average[20](Momentum[12](close)) indicator10 = Momentum[12](close) c6 = (indicator9 CROSSES OVER indicator10)   IF c6 THEN SELL  AT MARKET ENDIF   // Conditions to enter short positions indicator11 = Momentum[12](close) c7 = (indicator11 <= 0)   indicator12 = Average[20](Momentum[12](close)) indicator13 = Momentum[12](close) c8 = (indicator12 >= indicator13)   indicator14 = DI[14](close) indicator15 = DI[14](close) c9 = (indicator14 >= indicator15)   indicator16 = DIminus[14](close) c10 = (indicator16 >= 23)   indicator17 = ExponentialAverage[8](close) indicator18 = ExponentialAverage[89](close) c11 = (indicator17 <= indicator18)   IF c7 AND c8 AND c9 AND c10 AND c11 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions indicator19 = Momentum[12](close) indicator20 = Average[20](Momentum[12](close)) c12 = (indicator19 CROSSES OVER indicator20)   IF c12 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets SET STOP pLOSS 25 SET TARGET pPROFIT 50

  Maybe someone could give me some advice or could adapt the code.
  Have fun 🙂

  Alco

  

  Alco

  Participant

  Topics: 9

  Replies: 133

  Been thanked: 38 times
  12/16/2016 at 12:39 PM #18643
  Nicolas

  Thanks for sharing your intraday trading strategy!

  To add a trailing stop (PRT embedded one), just replace your line 69 with this one instead:

  SET STOP pTRAILING 25

  1	SET STOP pTRAILING 25

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4775 times
• Author
  Posts