Development of initial ballance automated strategy

• 03/28/2017 at 6:04 PM #30176
  Elsborgtrading

  I have moved the development topic here- Feel free to join the development and cast your ideas here. To begin with I have made a short only version. It’s still not profitable if run on tick by tick backtest.

  Original indicator topic is here.

   

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  Nicolas

  

  Elsborgtrading

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  03/28/2017 at 7:41 PM #30180
  Abz

  hello

  what are i doing wrong here? my goal is as following

  1. upper is the highest price between 080000 and 090000
  2. enter short when price goes under “upper”
  3. next bar also close under upper and i also want to be sure that this bar high is also under “upper”
  4. target and profitt is the amount of points between upper and lower

  DEFPARAM CumulateOrders = false // Cumulating positions DEFPARAM PRELOADBARS = 1000 DEFPARAM FLATAFTER = 220000 IF Time = 080000 THEN TradeCounter = 0 ENDIF // Trading Hours IF (Time >= 090000 AND Time <= t1) and dayofweek<=5 then// or (Time >= 220000 AND Time <= 220100) and dayofweek=1 THEN // Tradetime=1 else Tradetime=0 endif t1=220000 //Settings once upper=0 once lower=0 // calculate upper and lower endtime = 090000 If Time = endtime then upper=highest[12](high) lower=lowest[12](low) dif=round(abs((lower-upper)*pipsize*pointvalue)) endif //looking for short position entershort1 = close[1] > upper entershort2 = close crosses under upper entershort3 = close < upper if not onmarket and entershort1 and entershort2 and entershort3 then fadeshort=1 elsif onmarket then fadeshort=0 endif if not onmarket and tradecounter < 1 and tradetime and fadeshort then sellshort 5 contracts at market TradeCounter = TradeCounter + 1 endif set stop loss dif set target profit dif

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  DEFPARAM CumulateOrders = false // Cumulating positions DEFPARAM PRELOADBARS = 1000 DEFPARAM FLATAFTER = 220000   IF Time = 080000 THEN TradeCounter = 0 ENDIF   // Trading Hours IF (Time >= 090000 AND Time <= t1) and dayofweek<=5 then// or (Time >= 220000 AND Time <= 220100) and dayofweek=1  THEN // Tradetime=1 else Tradetime=0 endif t1=220000   //Settings once upper=0 once lower=0   // calculate upper and lower endtime = 090000 If Time = endtime then upper=highest[12](high) lower=lowest[12](low) dif=round(abs((lower-upper)*pipsize*pointvalue)) endif   //looking for short position entershort1 = close[1] > upper entershort2 = close crosses under upper entershort3 = close < upper   if not onmarket and entershort1 and entershort2 and entershort3 then fadeshort=1 elsif onmarket then fadeshort=0 endif   if not onmarket and tradecounter < 1 and tradetime and fadeshort then sellshort 5 contracts at market TradeCounter = TradeCounter + 1 endif   set stop loss dif set target profit dif

   

  

  Abz

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  03/28/2017 at 9:04 PM #30182
  Elsborgtrading

  There is something wrong with this code. It’s not behaving as expected. I need to take a look.

  Cheers Kasper

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  Abz

  

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  03/28/2017 at 9:52 PM #30184
  Abz

  if you coud help me to add long as well it woud be great.

  

  Abz

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  04/04/2017 at 8:25 PM #31035
  Abz

  hello Casper

  have you been able to look at this code?

  

  Abz

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  04/05/2017 at 8:22 AM #31067
  Elsborgtrading

  yes I have, and I was not able to get any positive results on a automated strategy. I Will devote my time to other projects as this has taken huge amount of my spare time only to be caught in the optimization process and zero bar trading.

  

  Elsborgtrading

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  04/13/2017 at 2:19 PM #31952
  dajvop

  I tried a buy signal with low < lower which seems to work, limited to 0900-0915 am.

  Then, either sell at high > upper or limit or trailing stop, depending on your preferences.

  Seems solid with walk forward also.

  Best regards, David

  

  dajvop

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  04/13/2017 at 2:28 PM #31954
  Nicolas

  @dajvop You should share your modified code to encourage our friend Kasper! 🙂 I feel like he needs our support! Cheers Kasper 🙂

  

  Nicolas

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  04/13/2017 at 2:43 PM #31958
  dajvop

  Sure, just bear in mind that it is pretty simple 🙂

  

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  04/16/2017 at 2:38 PM #32186
  Elsborgtrading

  Hejsan Dajvop.

  Thanks for sharing you development. Initially it looks good- it has a profit. However the stop loss at 1.5% of the average tradeprice would yield somewhat in the neighbourhood of 180 points. If we take a look at the average gain it’s an RR of 0.1. that’s not good. I tried to optimize your code with a lower plain stoploss, but I could not come up with something more sustainable number. My own testing was trying to trade max 2 trades a day 9:00-17:00 and inside the initial balance if below 40 pips and above 40 pips as a breakout strategy. however I never liked the results, so I stopped the testing.

  Cheers Kasper

  

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