Difficulté dans l’intégration d’une UT inferieure

• 10/17/2022 at 9:59 AM #202668
  wlshr27

  Bonjour la commu, bonjour Nicolas.

  J’ai un code qui tourne en 35 minutes, j’aime ses entrées en positions et ses sorties, cependant, sur 500 trades, 9 ou 10 finissent en négatif sans parvenir à toucher leur breakeven ni leur trailing stop car en une seule bougie de 35 minute le marché se retourne brutalement.
  J’aimerais par conséquent passer en 5 minutes, tout en gardant mes entrées et sorties en 35 minutes et juste rajouter une condition de croisement de moyenne mobile sur l’UT 5 minutes pour me couvrir en cas de retournement, et ne pas avoir à attendre la cloture après 35 minutes.

  J’ai cru comprendre qu’il fallait lancer quoi qu’il arrive son backtest en UT inferieure (5minutes dans mon cas). Y’a t’il une solution pour rajouter une ligne de code en UT 5 minutes sans bouleverser toutes mes données en 35 minutes ? Si oui pourriez vous me donner une idée d’à quoi cela pourrait ressembler ?

   

  Voici mon code sans l’integration de l’UT 5 minutes =

  DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 144500 DEFPARAM FLATAFTER = 225500 noEntryBeforeTime = 144500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 222000 timeEnterAfter = time < noEntryAfterTime if timeEnterAfter then A= 5 V =7 iMACD = MACD[11,26,9](close) DonchianSupA = highest[A](high) DonchianInfA = lowest[A](low) DonchianSupV = highest[V](high) DonchianInfV = lowest[V](low) iRSI= RSI[4](close) ca1 = iMACD > iMACD[1] ca2 = iMACD >= -0.4 ca3 = close crosses over DonchianSupA[1] ca4 = iRSI > 63 c1= ca1 AND ca2 AND ca3 and ca4 IF c1 THEN buy 0.25 lot at market SET STOP PLOSS 8.8 ENDIF cv1 = iMACD < iMACD[1] cv2 = iMACD <= -1 cv3 = close crosses under DonchianInfV[1] cv4 = iRSI < 30 c2 = cv1 AND cv2 AND cv3 and cv4 if c2 then SELLSHORT 0.25 LOT AT MARKET SET STOP PLOSS 10 endif trailingstart = 5 trailingstep = 3 IF NOT ONMARKET THEN newSL=0 ENDIF IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF IF SHORTONMARKET THEN IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  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 71 72 73 74

  DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 144500 DEFPARAM FLATAFTER = 225500 noEntryBeforeTime = 144500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 222000 timeEnterAfter = time < noEntryAfterTime if timeEnterAfter  then     A= 5 V =7 iMACD = MACD[11,26,9](close) DonchianSupA = highest[A](high) DonchianInfA = lowest[A](low) DonchianSupV = highest[V](high) DonchianInfV = lowest[V](low) iRSI= RSI[4](close)       ca1 = iMACD > iMACD[1] ca2 = iMACD >= -0.4 ca3 = close crosses over DonchianSupA[1] ca4 = iRSI > 63     c1= ca1 AND ca2 AND ca3 and ca4 IF c1 THEN buy 0.25 lot at market SET STOP PLOSS 8.8 ENDIF   cv1 = iMACD < iMACD[1] cv2 = iMACD <= -1 cv3 = close crosses under DonchianInfV[1] cv4 = iRSI < 30   c2 = cv1 AND cv2 AND cv3 and cv4 if c2 then SELLSHORT 0.25 LOT AT MARKET SET STOP PLOSS 10 endif   trailingstart = 5 trailingstep = 3   IF NOT ONMARKET THEN newSL=0 ENDIF     IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize  THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   IF SHORTONMARKET THEN IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF   IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  Merci et bonne semaine à tous !!!

   

   

  

  wlshr27

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  10/17/2022 at 10:13 AM #202670
  Nicolas

  Pour cela, délocalise la gestion de tes ordres dans l’UT inférieure (ici le 5-minutes donc). Et indique dans le code que tes prises de positions sont toujours dans l’UT de la stratégie (35-minutes) en utilisant l’instruction TIMEFRAME:

  DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 144500 DEFPARAM FLATAFTER = 225500 timeframe(35 minutes,updateonclose) noEntryBeforeTime = 144500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 222000 timeEnterAfter = time < noEntryAfterTime if timeEnterAfter then A= 5 V =7 iMACD = MACD[11,26,9](close) DonchianSupA = highest[A](high) DonchianInfA = lowest[A](low) DonchianSupV = highest[V](high) DonchianInfV = lowest[V](low) iRSI= RSI[4](close) ca1 = iMACD > iMACD[1] ca2 = iMACD >= -0.4 ca3 = close crosses over DonchianSupA[1] ca4 = iRSI > 63 c1= ca1 AND ca2 AND ca3 and ca4 IF c1 THEN buy 0.25 lot at market SET STOP PLOSS 8.8 ENDIF cv1 = iMACD < iMACD[1] cv2 = iMACD <= -1 cv3 = close crosses under DonchianInfV[1] cv4 = iRSI < 30 c2 = cv1 AND cv2 AND cv3 and cv4 if c2 then SELLSHORT 0.25 LOT AT MARKET SET STOP PLOSS 10 endif timeframe(5 minutes) trailingstart = 5 trailingstep = 3 IF NOT ONMARKET THEN newSL=0 ENDIF IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF IF SHORTONMARKET THEN IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  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 71 72 73 74 75 76 77 78 79

  DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 144500 DEFPARAM FLATAFTER = 225500   timeframe(35 minutes,updateonclose)   noEntryBeforeTime = 144500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 222000 timeEnterAfter = time < noEntryAfterTime if timeEnterAfter  then     A= 5 V =7 iMACD = MACD[11,26,9](close) DonchianSupA = highest[A](high) DonchianInfA = lowest[A](low) DonchianSupV = highest[V](high) DonchianInfV = lowest[V](low) iRSI= RSI[4](close)       ca1 = iMACD > iMACD[1] ca2 = iMACD >= -0.4 ca3 = close crosses over DonchianSupA[1] ca4 = iRSI > 63     c1= ca1 AND ca2 AND ca3 and ca4 IF c1 THEN buy 0.25 lot at market SET STOP PLOSS 8.8 ENDIF   cv1 = iMACD < iMACD[1] cv2 = iMACD <= -1 cv3 = close crosses under DonchianInfV[1] cv4 = iRSI < 30   c2 = cv1 AND cv2 AND cv3 and cv4 if c2 then SELLSHORT 0.25 LOT AT MARKET SET STOP PLOSS 10 endif   timeframe(5 minutes)   trailingstart = 5 trailingstep = 3   IF NOT ONMARKET THEN newSL=0 ENDIF     IF LONGONMARKET THEN IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize  THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   IF SHORTONMARKET THEN IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF   IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  Sous l’instruction TIMEFRAME(5 minutes) tu pourras ajouter ce que tu veux pour fermer l’ordre à chaque bougie de 5 minutes.

  EDIT: j’ai simplement ajouté les lignes 5 et 48.

  

  Nicolas

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  10/21/2022 at 10:09 AM #202904
  wlshr27

  Merci beaucoup Nicolas

  

  wlshr27

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