End Of Day – YEN M15 Strategy

• 03/24/2023 at 10:38 AM #212048
  ZeroCafeine

  Hi every one,

  I start this topic to discuss this strategy and understand it and why not improve it and at the same time learn to program, here is the code of the strategy :

   

  // END OF DAY - YEN // www.doctrading.fr Defparam cumulateorders = false // TAILLE DES POSITIONS n = 1 // PARAMETRES // high ratio = few positions // AUD/JPY : ratio = 0.5 / SL = 0.8 / TP = 1.2 / Period = 12 // EUR/JPY : ratio = 0.6 / SL = 1 / TP = 0.8 / Period = 8 // GBP/JPY : ratio = 0.5 / SL = 0.6 / TP = 1 / Period = 8 // USD/JPY : ratio = 0.5 / SL = 1 / TP = 0.8 / Period = 12 ratio = 0.5 // HORAIRES startTime = 210000 endTime = 231500 exitLongTime = 210000 exitShortTime = 80000 // STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8 Period = 12 // BOUGIE REFERENCE à StartTime if time = startTime THEN amplitude = highest[Period](high) - lowest[Period](low) ouverture = close endif // LONGS & SHORTS : every day except Fridays // entre StartTime et EndTime if time >= startTime and time <= endTime and dayOfWeek <> 5 then buy n shares at ouverture - amplitude*ratio limit sellshort n shares at ouverture + amplitude*ratio limit endif // Stop Loss & Take Profit set stop %loss SL set target %profit TP // Exit Time if time = exitLongTime then sell at market endif if time = exitShortTime then exitshort at market endif

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  // END OF DAY  -  YEN // www.doctrading.fr Defparam cumulateorders = false // TAILLE DES POSITIONS n = 1 // PARAMETRES // high ratio = few positions // AUD/JPY : ratio = 0.5 / SL = 0.8 / TP = 1.2 / Period = 12 // EUR/JPY : ratio = 0.6 / SL = 1 / TP = 0.8 / Period = 8 // GBP/JPY : ratio = 0.5 / SL = 0.6 / TP = 1 / Period = 8 // USD/JPY : ratio = 0.5 / SL = 1 / TP = 0.8 / Period = 12 ratio = 0.5 // HORAIRES startTime = 210000 endTime = 231500 exitLongTime = 210000 exitShortTime = 80000 // STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8 Period = 12 // BOUGIE REFERENCE à StartTime if time = startTime THEN amplitude = highest[Period](high) - lowest[Period](low) ouverture = close endif // LONGS & SHORTS : every day except Fridays // entre StartTime et EndTime if time >= startTime and time <= endTime and dayOfWeek <> 5 then buy n shares at ouverture - amplitude*ratio limit sellshort n shares at ouverture + amplitude*ratio limit endif // Stop Loss & Take Profit set stop %loss SL set target %profit TP // Exit Time if time = exitLongTime then sell at market endif if time = exitShortTime then exitshort at market endif

  

  ZeroCafeine

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  03/24/2023 at 10:57 AM #212052
  Nicolas

  This is a classic Asian session breakout strategy. You’ll find many literature on the web about.

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  ZeroCafeine

  

  Nicolas

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  03/24/2023 at 7:12 PM #212079
  ZeroCafeine

  tks you @Nicolas

  if there are people willing to work with me on this strategy on understanding and why not improve it,

   

  First of all I don’t know why my calculations are not good I don’t get the same entry price in Long :

  Highest : 134.986
  Lowest : 134.607
  amplitude = Highest – Lowest  = 134.986 – 134.607 = 0.379
  Ouverture : 134.968

  in this situation, there is the price of Buy and SellShort :

   

  if time >= startTime and time <= endTime and dayOfWeek <> 5 then buy n shares at ouverture - amplitude*ratio limit // 134.968 - 0.1895 = 134.778 sellshort n shares at ouverture + amplitude*ratio limit // 134.986 + 0.01895 = 135.157 endif

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  if time >= startTime and time <= endTime and dayOfWeek <> 5 then buy n shares at ouverture - amplitude*ratio limit // 134.968 - 0.1895 = 134.778 sellshort n shares at ouverture + amplitude*ratio limit // 134.986 + 0.01895 = 135.157 endif

  1) question one, why the entry limit price it’s not the same of my math, maybe I did wrong ? it’s a limit price not market
  2) according to the documentation it is not possible to be long and short at the same time, so normally the SellShort order should close the Long buy order
  3) Also we can notice that we doubled our capital which makes us a gain of 100%, but also we had drawdown of more than 30%, Perhaps a better management with multiple timeframe or a good follow-up of the winning positions would have brought us a little more gain
  4) If you have video or other links that summarize / explain this strategy for understanding I am a taker

  

  ZeroCafeine

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  03/25/2023 at 11:23 AM #212092
  robertogozzi

  You are assuming LIMIT pending orders, while it could be that STOP pending are required. When placing pending orders, using the incorrect type may result in trades opened AT MARKET.

  LIMIT pending orders are to be used when the entry price is most favourable than the entry price, i.e. you BUY at a lower price or SELLSHORT at a higher price, while STOP pending orders are to be used when you BUY at a higher price or SELLSHORT at a lower price (see attached pic).

   

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  ZeroCafeine

  

  robertogozzi

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  03/26/2023 at 5:34 PM #212154
  ZeroCafeine

  ok, I understand you and your explaination is clear, but for me it’s still not clear why if they already have an limite long order it’s executed at a better price like a stop order, Also we speak about forex, so normaly no probleme of execution, but I don’t forget also I’m on a CFD with IG,

  I will come back after some days about this execution problem, tks again robertogozzi

  

  ZeroCafeine

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  03/27/2023 at 5:05 AM #212170
  ZeroCafeine

  Let’s try to improve our code a little bit, some one can help me on line 50 to 54 ? I want to add an condition if our equity go down with X% (Drawdown) we have to stop the strategy :

  // USD/JPY preferred // H1 Defparam CumulateOrders = False //Once Capital = 100000 // Initial Capital of 100 000 JPY //Once Equity = Capital // Lever (max recommended: 1.5) Leverage = 1 // Choice of reinvesting earnings or not REINV = 0 IF REINV = 0 THEN n = 1 * Leverage ENDIF IF REINV = 1 THEN Capital = 100000 + StrategyProfit n = (Capital / 100000) * Leverage IF n <1 THEN n = 1 // Minimum Size : 1 ENDIF ENDIF // Reference candle 18 to 22H If Time = 220000 THEN Amplitude = Highest[4](High) - Lowest[4](Low) Amplitude = Amplitude * 0.4 Opening = Close ENDIF // BUY & SELL between 22H et 23H & We have to check GTM Time IF time >= 220000 and time <= 230000 THEN Buy n Shares AT Opening - Amplitude Limit Sellshort n Shares AT Opening + Amplitude Limit ENDIF // STOP & TARGET SET STOP %LOSS 0.4 SET TARGET %PROFIT 1.2 // EXIT IF time = 100000 THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF // STOP STRATEGIE IF DRAWDOWN OF 10% DrawDownwMax = 10 IF Capital <= (Capital[1] - (Capital[1] / DrawDownwMax)) Then QUIT ENDIF //IF STRATEGYPROFIT < -100 THEN //QUIT //ENDIF

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  // USD/JPY preferred // H1   Defparam CumulateOrders = False   //Once Capital    = 100000 // Initial Capital of 100 000 JPY //Once Equity     = Capital   // Lever (max recommended: 1.5) Leverage = 1   // Choice of reinvesting earnings or not REINV = 0 IF REINV = 0 THEN n = 1 * Leverage ENDIF   IF REINV = 1 THEN Capital = 100000 + StrategyProfit n = (Capital / 100000) * Leverage IF n <1 THEN n = 1  // Minimum Size : 1 ENDIF ENDIF   // Reference candle 18 to 22H If Time = 220000 THEN Amplitude = Highest[4](High) - Lowest[4](Low) Amplitude = Amplitude * 0.4 Opening = Close ENDIF   // BUY & SELL between 22H et 23H & We have to check GTM Time IF time >= 220000 and time <= 230000 THEN Buy n Shares AT Opening - Amplitude Limit Sellshort n Shares AT Opening + Amplitude Limit ENDIF   // STOP & TARGET SET STOP %LOSS 0.4 SET TARGET %PROFIT 1.2   // EXIT IF time = 100000 THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF   // STOP STRATEGIE IF DRAWDOWN OF 10% DrawDownwMax = 10   IF Capital <= (Capital[1] - (Capital[1] / DrawDownwMax)) Then QUIT ENDIF   //IF STRATEGYPROFIT < -100 THEN //QUIT //ENDIF

  

  ZeroCafeine

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  03/27/2023 at 5:33 AM #212171
  ZeroCafeine

  or this solution for max drawdown but sill not working :

  // STOP STRATEGIE IF DRAWDOWN OF 30% MaxDrawDownPercentage = 30 Equity = 100000 + StrategyProfit MaxDrawdown = Equity * (MaxDrawDownPercentage/100) IF OnMarket and ((PositionPrice - low)*CountOfPosition) > MaxDrawDown THEN Quit ENDIF

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  // STOP STRATEGIE IF DRAWDOWN OF 30% MaxDrawDownPercentage = 30 Equity = 100000 + StrategyProfit MaxDrawdown = Equity * (MaxDrawDownPercentage/100)   IF OnMarket and ((PositionPrice - low)*CountOfPosition) > MaxDrawDown THEN Quit ENDIF

  

  ZeroCafeine

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  03/27/2023 at 6:28 AM #212174
  ZeroCafeine

  I found this solution for the maximum Drawdown, I save at every candle the highest equity I get in HighestEquity variable and compare with the current candle equity for quit if we got more then MaxDrawDownPercentage % :

  // STOP STRATEGIE IF DRAWDOWN OF 30% MaxDrawDownPercentage = 40 Equity = 100000 + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIF

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  // STOP STRATEGIE IF DRAWDOWN OF 30% MaxDrawDownPercentage = 40 Equity = 100000 + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIF

  But this is woking good only after the position is closed, if some one can give me a help with the case if we are in the market for calculate the real PROFIT before closing a position in real time, because even we use a Stop Loss I think because we use only one time frame we can get some surprise, or maybe some good link for the equity management

  

  ZeroCafeine

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  03/27/2023 at 12:59 PM #212186
  ZeroCafeine

  @Moderator
  I did a small mistake so maybe you can delete for me my message number: #212170 (or give me the possibility to edit it)

  

  ZeroCafeine

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  03/27/2023 at 1:39 PM #212192
  ZeroCafeine

  Hi every one,

  So as you can see I did a mistake in the message number #212170, So now there is agan the original code or the first strategie “End Of Day – YEN M15” we are talking about (Knowing that I don’t really believe in this strategy or understand it well, but it is necessary to start from a base to work and improve the code and therefore my programming on ProBuilder)

  // Strategy Name : END OF DAY - YEN // Version : 2.0 // Information : I don't know what is this Strategie means ;-) // PARAMETRES // this is from the original code, I don't if it's working good // High Ratio = Few Positions // AUD/JPY : Ratio = 0.5 / SL = 0.8 / TP = 1.2 / Period = 12 // EUR/JPY : Ratio = 0.6 / SL = 1 / TP = 0.8 / Period = 8 // GBP/JPY : Ratio = 0.5 / SL = 0.6 / TP = 1 / Period = 8 // USD/JPY : Ratio = 0.5 / SL = 1 / TP = 0.8 / Period = 12 // ============================================================ Defparam cumulateorders = false // Initial Capital of 100 000 JPY & Spread : 2 Once Capital = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime = 210000 EndTime = 231500 ExitLongTime = 210000 ExitShortTime = 80000 // STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8 Period = 12 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS : every day except Fridays // between StartTime and EndTime IF Time >= StartTime AND Time <= EndTime AND DayOfWeek <> 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit SellShort N Shares AT (Opening + Amplitude * Ratio) Limit ENDIF // Stop Loss & Take Profit Set Stop %Loss SL Set Target %Profit TP // Exit Time IF Time = ExitLongTime THEN Sell AT Market ENDIF IF Time = ExitShortTime THEN ExitShort AT Market ENDIF

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  // Strategy Name :    END OF DAY  -  YEN // Version       :    2.0 // Information : I don't know what is this Strategie means ;-)       // PARAMETRES // this is from the original code, I don't if it's working good // High Ratio = Few Positions // AUD/JPY   : Ratio = 0.5 / SL = 0.8 / TP = 1.2 / Period = 12 // EUR/JPY   : Ratio = 0.6 / SL = 1   / TP = 0.8 / Period = 8 // GBP/JPY   : Ratio = 0.5 / SL = 0.6 / TP = 1   / Period = 8 // USD/JPY   : Ratio = 0.5 / SL = 1   / TP = 0.8 / Period = 12 // ============================================================   Defparam cumulateorders = false // Initial Capital of 100 000 JPY & Spread : 2 Once Capital    = 100000   // SIZE OF THE POSITIONS N = 1   Ratio = 0.5   // TIMETABLE StartTime     = 210000 EndTime       = 231500 ExitLongTime  = 210000 ExitShortTime = 80000   // STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8   Period = 12   // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF   // LONGS & SHORTS : every day except Fridays // between StartTime and EndTime IF Time >= StartTime AND Time <= EndTime AND DayOfWeek <> 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit SellShort N Shares AT (Opening + Amplitude * Ratio) Limit ENDIF   // Stop Loss & Take Profit Set Stop   %Loss   SL Set Target %Profit TP   // Exit Time IF Time = ExitLongTime THEN Sell AT Market ENDIF   IF Time = ExitShortTime THEN ExitShort AT Market ENDIF

  and there is the result with :
  USD/JPY Mini
  Initial Capital : 100000 JPY
  Test on a candle history of : 50K
  Spread : 2

  Here are the results of the original strategy without any modifications (see photo)

  

  ZeroCafeine

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  03/27/2023 at 1:44 PM #212196
  ZeroCafeine

  Someone can tell me why there is a difference between the result of equity of : 202 880 JPY and 193 670 JPY, maybe the spread fees is calculated only in the detailed report ?

  

  ZeroCafeine

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  03/27/2023 at 2:27 PM #212201
  ZeroCafeine

  lets start with some backtest with a max DrowDawn of 5%, the result is -5,64% from the equity, you can see the screen short

  

  ZeroCafeine

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  03/27/2023 at 2:29 PM #212204
  ZeroCafeine

  with a max DrowDawn of 10%, the result is -10,51% from the equity, you can see the screen short

  

  ZeroCafeine

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  03/27/2023 at 2:30 PM #212206
  ZeroCafeine

  with a max DrowDawn of 20%, the result is -20,77% from the equity, you can see the screen short

  

  ZeroCafeine

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  03/27/2023 at 2:32 PM #212209
  ZeroCafeine

  with a max DrowDawn of 40%, the result is +100% from the equity, you can see the screen short

  

  ZeroCafeine

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