Explanation about breakout strategy parameters

• 11/24/2016 at 12:13 PM #17077
  Yngve

  Hi

  Could someone pleas exlane to me what these represents in a breakout strategy?

  MaxAmplitude = 58
  MinAmplitude = 11
  OrderDistance = 4
  PourcentageMin = 30

  Yngve

  

  Yngve

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  11/24/2016 at 4:34 PM #17117
  Wing

  Not without seeing the system code.

  

  Wing

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  11/24/2016 at 6:49 PM #17126
  Yngve

  Hi Wing

  Thanks for replying to my question!

  Well for instant this code

   

  <span class="token comment" spellcheck="true">// We do not store datas until the system starts.</span> <span class="token comment" spellcheck="true">// If it is the first day that the system is launched and if it is afternoon,</span> <span class="token comment" spellcheck="true">// it will be waiting until the next day for defining sell and buy orders </span> <span class="token keyword">DEFPARAM</span> <span class="token keyword">PreLoadBars</span> <span class="token operator">=</span> <span class="token number">0</span> <span class="token comment" spellcheck="true">// Position is closed at 7h45 PM, frenh time (in case of CAC40 trading)</span> <span class="token keyword">DEFPARAM</span> <span class="token keyword">FlatAfter</span> <span class="token operator">=</span> <span class="token number">194500</span> <span class="token comment" spellcheck="true">// No new position will be initiated after the 5h00 PM candlestick</span> LimitHour <span class="token operator">=</span> <span class="token number">171500</span> <span class="token comment" spellcheck="true">// Market scan begin with the 15 minute candlestick that closed at 9h15 AM</span> StartHour <span class="token operator">=</span> <span class="token number">091500</span> <span class="token comment" spellcheck="true">// The 24th and 31th days of December will not be traded because market close before 7h45 PM</span> <span class="token keyword">IF</span> <span class="token punctuation">(</span><span class="token keyword">Month</span> <span class="token operator">=</span> <span class="token number">5</span> <span class="token keyword">AND</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">1</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> <span class="token punctuation">(</span><span class="token keyword">Month</span> <span class="token operator">=</span> <span class="token number">12</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">24</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">25</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">26</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">30</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">31</span><span class="token punctuation">)</span><span class="token punctuation">)</span> <span class="token keyword">THEN</span> TradingDay <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">ELSE</span> TradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">ENDIF</span> <span class="token comment" spellcheck="true">// Variables that would be adapted to your preferences</span> <span class="token keyword">if</span> <span class="token keyword">time</span> <span class="token operator">=</span> <span class="token number">084500</span> <span class="token keyword">then</span> PositionSize <span class="token operator">=</span> <span class="token keyword">max</span><span class="token punctuation">(</span><span class="token number">2</span><span class="token punctuation">,</span><span class="token number">2</span><span class="token operator">+</span><span class="token keyword">ROUND</span><span class="token punctuation">(</span><span class="token punctuation">(</span><span class="token keyword">strategyprofit</span><span class="token operator">-</span><span class="token number">1000</span><span class="token punctuation">)</span><span class="token operator">/</span><span class="token number">1000</span><span class="token punctuation">)</span><span class="token punctuation">)</span> <span class="token comment" spellcheck="true">//gain re-invest trade volume</span> <span class="token comment" spellcheck="true">//PositionSize = 2 //constant trade volume over the time</span> <span class="token keyword">endif</span> MaxAmplitude <span class="token operator">=</span> <span class="token number">58</span> MinAmplitude <span class="token operator">=</span> <span class="token number">11</span> OrderDistance <span class="token operator">=</span> <span class="token number">4</span> PourcentageMin <span class="token operator">=</span> <span class="token number">30</span> <span class="token comment" spellcheck="true">// Variable initilization once at system start</span> <span class="token keyword">ONCE</span> StartTradingDay <span class="token operator">=</span> <span class="token operator">-</span><span class="token number">1</span> <span class="token comment" spellcheck="true">// Variables that can change in intraday are initiliazed</span> <span class="token comment" spellcheck="true">// at first bar on each new day</span> <span class="token keyword">IF</span> <span class="token punctuation">(</span><span class="token keyword">Time</span> <span class="token operator"><=</span> StartHour <span class="token keyword">AND</span> StartTradingDay <span class="token operator"><</span><span class="token operator">></span> <span class="token number">0</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> IntradayBarIndex <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span> BuyTreshold <span class="token operator">=</span> <span class="token number">0</span> SellTreshold <span class="token operator">=</span> <span class="token number">0</span> BuyPosition <span class="token operator">=</span> <span class="token number">0</span> SellPosition <span class="token operator">=</span> <span class="token number">0</span> StartTradingDay <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">ELSIF</span> <span class="token keyword">Time</span> <span class="token operator">>=</span> StartHour <span class="token keyword">AND</span> StartTradingDay <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">AND</span> TradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">THEN</span> <span class="token comment" spellcheck="true">// We store the first trading day bar index </span> DayStartIndex <span class="token operator">=</span> IntradayBarIndex StartTradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">ELSIF</span> StartTradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">AND</span> <span class="token keyword">Time</span> <span class="token operator"><=</span> LimitHour <span class="token keyword">THEN</span> <span class="token comment" spellcheck="true">// For each trading day, we define each 15 minutes</span> <span class="token comment" spellcheck="true">// the higher and lower price value of the instrument since StartHour</span> <span class="token comment" spellcheck="true">// until the buy and sell tresholds are not defined</span> <span class="token keyword">IF</span> BuyTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">OR</span> SellTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span> HighLevel <span class="token operator">=</span> <span class="token indicators">Highest</span><span class="token punctuation">[</span>IntradayBarIndex <span class="token operator">-</span> DayStartIndex <span class="token operator">+</span> <span class="token number">1</span><span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">High</span><span class="token punctuation">)</span> LowLevel <span class="token operator">=</span> <span class="token indicators">Lowest</span> <span class="token punctuation">[</span>IntradayBarIndex <span class="token operator">-</span> DayStartIndex <span class="token operator">+</span> <span class="token number">1</span><span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">Low</span><span class="token punctuation">)</span> <span class="token comment" spellcheck="true">// Spread calculation between the higher and the </span> <span class="token comment" spellcheck="true">// lower value of the instrument since StartHour</span> DaySpread <span class="token operator">=</span> HighLevel <span class="token operator">-</span> LowLevel <span class="token comment" spellcheck="true">// Minimal spread calculation allowed to consider a significant price breakout</span> <span class="token comment" spellcheck="true">// of the higher and lower value </span> MinSpread <span class="token operator">=</span> DaySpread <span class="token operator">*</span> PourcentageMin <span class="token operator">/</span> <span class="token number">100</span> <span class="token comment" spellcheck="true">// Buy and sell tresholds for the actual if conditions are met</span> <span class="token keyword">IF</span> DaySpread <span class="token operator"><=</span> MaxAmplitude <span class="token keyword">THEN</span> <span class="token keyword">IF</span> SellTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token keyword">Close</span> <span class="token operator">-</span> LowLevel<span class="token punctuation">)</span> <span class="token operator">>=</span> MinSpread <span class="token keyword">THEN</span> SellTreshold <span class="token operator">=</span> LowLevel <span class="token operator">+</span> OrderDistance <span class="token keyword">ENDIF</span> <span class="token keyword">IF</span> BuyTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span>HighLevel <span class="token operator">-</span> <span class="token keyword">Close</span><span class="token punctuation">)</span> <span class="token operator">>=</span> MinSpread <span class="token keyword">THEN</span> BuyTreshold <span class="token operator">=</span> HighLevel <span class="token operator">-</span> OrderDistance <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token comment" spellcheck="true">// Creation of the buy and sell orders for the day</span> <span class="token comment" spellcheck="true">// if the conditions are met </span> <span class="token keyword">IF</span> SellTreshold <span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">AND</span> BuyTreshold <span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span>BuyTreshold <span class="token operator">-</span> SellTreshold<span class="token punctuation">)</span> <span class="token operator">>=</span> MinAmplitude <span class="token keyword">THEN</span> <span class="token keyword">IF</span> BuyPosition <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span> <span class="token keyword">IF</span> <span class="token keyword">LongOnMarket</span> <span class="token keyword">THEN</span> BuyPosition <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">ELSE</span> <span class="token keyword">BUY</span> PositionSize <span class="token keyword">CONTRACT</span> <span class="token keyword">AT</span> BuyTreshold <span class="token keyword">STOP</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">IF</span> SellPosition <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span> <span class="token keyword">IF</span> <span class="token keyword">ShortOnMarket</span> <span class="token keyword">THEN</span> SellPosition <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">ELSE</span> <span class="token keyword">SELLSHORT</span> PositionSize <span class="token keyword">CONTRACT</span> <span class="token keyword">AT</span> SellTreshold <span class="token keyword">STOP</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token comment" spellcheck="true">// Conditions definitions to exit market when a buy or sell order is already launched</span> <span class="token keyword">IF</span> <span class="token keyword">LongOnMarket</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token punctuation">(</span><span class="token keyword">Time</span> <span class="token operator"><=</span> LimitHour <span class="token keyword">AND</span> SellPosition <span class="token operator">=</span> <span class="token number">1</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> <span class="token keyword">Time</span> <span class="token operator">></span> LimitHour<span class="token punctuation">)</span> <span class="token keyword">THEN</span> <span class="token keyword">SELL</span> <span class="token keyword">AT</span> SellTreshold <span class="token keyword">STOP</span> <span class="token keyword">ELSIF</span> <span class="token keyword">ShortOnMarket</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token punctuation">(</span><span class="token keyword">Time</span> <span class="token operator"><=</span> LimitHour <span class="token keyword">AND</span> BuyPosition <span class="token operator">=</span> <span class="token number">1</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> <span class="token keyword">Time</span> <span class="token operator">></span> LimitHour<span class="token punctuation">)</span> <span class="token keyword">THEN</span> <span class="token keyword">EXITSHORT</span> <span class="token keyword">AT</span> BuyTreshold <span class="token keyword">STOP</span> <span class="token keyword">ENDIF</span> <span class="token comment" spellcheck="true">// Maximal risk definition of loss per position </span> <span class="token comment" spellcheck="true">// in case of bad evolution of the instrument price</span> <span class="token keyword">SET STOP</span> <span class="token keyword">PLOSS</span> MaxAmplitude

  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 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107

  <span class="token comment" spellcheck="true">// We do not store datas until the system starts.</span> <span class="token comment" spellcheck="true">// If it is the first day that the system is launched and if it is afternoon,</span> <span class="token comment" spellcheck="true">// it will be waiting until the next day for defining sell and buy orders </span> <span class="token keyword">DEFPARAM</span> <span class="token keyword">PreLoadBars</span> <span class="token operator">=</span> <span class="token number">0</span>   <span class="token comment" spellcheck="true">// Position is closed at 7h45 PM, frenh time (in case of CAC40 trading)</span> <span class="token keyword">DEFPARAM</span> <span class="token keyword">FlatAfter</span> <span class="token operator">=</span> <span class="token number">194500</span>   <span class="token comment" spellcheck="true">// No new position will be initiated after the 5h00 PM candlestick</span> LimitHour <span class="token operator">=</span> <span class="token number">171500</span>   <span class="token comment" spellcheck="true">// Market scan begin with the 15 minute candlestick that closed at 9h15 AM</span> StartHour <span class="token operator">=</span> <span class="token number">091500</span>   <span class="token comment" spellcheck="true">// The 24th and 31th days of December will not be traded because market close before 7h45 PM</span> <span class="token keyword">IF</span> <span class="token punctuation">(</span><span class="token keyword">Month</span> <span class="token operator">=</span> <span class="token number">5</span> <span class="token keyword">AND</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">1</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> <span class="token punctuation">(</span><span class="token keyword">Month</span> <span class="token operator">=</span> <span class="token number">12</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">24</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">25</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">26</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">30</span> <span class="token keyword">OR</span> <span class="token keyword">Day</span> <span class="token operator">=</span> <span class="token number">31</span><span class="token punctuation">)</span><span class="token punctuation">)</span> <span class="token keyword">THEN</span>   TradingDay <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">ELSE</span>   TradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">ENDIF</span>   <span class="token comment" spellcheck="true">// Variables that would be adapted to your preferences</span> <span class="token keyword">if</span> <span class="token keyword">time</span> <span class="token operator">=</span> <span class="token number">084500</span> <span class="token keyword">then</span>   PositionSize <span class="token operator">=</span> <span class="token keyword">max</span><span class="token punctuation">(</span><span class="token number">2</span><span class="token punctuation">,</span><span class="token number">2</span><span class="token operator">+</span><span class="token keyword">ROUND</span><span class="token punctuation">(</span><span class="token punctuation">(</span><span class="token keyword">strategyprofit</span><span class="token operator">-</span><span class="token number">1000</span><span class="token punctuation">)</span><span class="token operator">/</span><span class="token number">1000</span><span class="token punctuation">)</span><span class="token punctuation">)</span> <span class="token comment" spellcheck="true">//gain re-invest trade volume</span> <span class="token comment" spellcheck="true">//PositionSize = 2 //constant trade volume over the time</span> <span class="token keyword">endif</span>   MaxAmplitude <span class="token operator">=</span> <span class="token number">58</span> MinAmplitude <span class="token operator">=</span> <span class="token number">11</span> OrderDistance <span class="token operator">=</span> <span class="token number">4</span> PourcentageMin <span class="token operator">=</span> <span class="token number">30</span>   <span class="token comment" spellcheck="true">// Variable initilization once at system start</span> <span class="token keyword">ONCE</span> StartTradingDay <span class="token operator">=</span> <span class="token operator">-</span><span class="token number">1</span>   <span class="token comment" spellcheck="true">// Variables that can change in intraday are initiliazed</span> <span class="token comment" spellcheck="true">// at first bar on each new day</span> <span class="token keyword">IF</span> <span class="token punctuation">(</span><span class="token keyword">Time</span> <span class="token operator"><=</span> StartHour <span class="token keyword">AND</span> StartTradingDay <span class="token operator"><</span><span class="token operator">></span> <span class="token number">0</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> IntradayBarIndex <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span>   BuyTreshold <span class="token operator">=</span> <span class="token number">0</span>   SellTreshold <span class="token operator">=</span> <span class="token number">0</span>   BuyPosition <span class="token operator">=</span> <span class="token number">0</span>   SellPosition <span class="token operator">=</span> <span class="token number">0</span>   StartTradingDay <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">ELSIF</span> <span class="token keyword">Time</span> <span class="token operator">>=</span> StartHour <span class="token keyword">AND</span> StartTradingDay <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">AND</span> TradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">THEN</span>   <span class="token comment" spellcheck="true">// We store the first trading day bar index </span>   DayStartIndex <span class="token operator">=</span> IntradayBarIndex   StartTradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">ELSIF</span> StartTradingDay <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">AND</span> <span class="token keyword">Time</span> <span class="token operator"><=</span> LimitHour <span class="token keyword">THEN</span>   <span class="token comment" spellcheck="true">// For each trading day, we define each 15 minutes</span> <span class="token comment" spellcheck="true">// the higher and lower price value of the instrument since StartHour</span> <span class="token comment" spellcheck="true">// until the buy and sell tresholds are not defined</span>   <span class="token keyword">IF</span> BuyTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">OR</span> SellTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span>   HighLevel <span class="token operator">=</span> <span class="token indicators">Highest</span><span class="token punctuation">[</span>IntradayBarIndex <span class="token operator">-</span> DayStartIndex <span class="token operator">+</span> <span class="token number">1</span><span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">High</span><span class="token punctuation">)</span>   LowLevel <span class="token operator">=</span> <span class="token indicators">Lowest</span> <span class="token punctuation">[</span>IntradayBarIndex <span class="token operator">-</span> DayStartIndex <span class="token operator">+</span> <span class="token number">1</span><span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">Low</span><span class="token punctuation">)</span>   <span class="token comment" spellcheck="true">// Spread calculation between the higher and the </span> <span class="token comment" spellcheck="true">// lower value of the instrument since StartHour</span>   DaySpread <span class="token operator">=</span> HighLevel <span class="token operator">-</span> LowLevel   <span class="token comment" spellcheck="true">// Minimal spread calculation allowed to consider a significant price breakout</span> <span class="token comment" spellcheck="true">// of the higher and lower value </span>   MinSpread <span class="token operator">=</span> DaySpread <span class="token operator">*</span> PourcentageMin <span class="token operator">/</span> <span class="token number">100</span>   <span class="token comment" spellcheck="true">// Buy and sell tresholds for the actual if conditions are met</span>   <span class="token keyword">IF</span> DaySpread <span class="token operator"><=</span> MaxAmplitude <span class="token keyword">THEN</span>    <span class="token keyword">IF</span> SellTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token keyword">Close</span> <span class="token operator">-</span> LowLevel<span class="token punctuation">)</span> <span class="token operator">>=</span> MinSpread <span class="token keyword">THEN</span> SellTreshold <span class="token operator">=</span> LowLevel <span class="token operator">+</span> OrderDistance    <span class="token keyword">ENDIF</span>    <span class="token keyword">IF</span> BuyTreshold <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span>HighLevel <span class="token operator">-</span> <span class="token keyword">Close</span><span class="token punctuation">)</span> <span class="token operator">>=</span> MinSpread <span class="token keyword">THEN</span> BuyTreshold <span class="token operator">=</span> HighLevel <span class="token operator">-</span> OrderDistance    <span class="token keyword">ENDIF</span>   <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span>   <span class="token comment" spellcheck="true">// Creation of the buy and sell orders for the day</span> <span class="token comment" spellcheck="true">// if the conditions are met </span> <span class="token keyword">IF</span> SellTreshold <span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">AND</span> BuyTreshold <span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span>BuyTreshold <span class="token operator">-</span> SellTreshold<span class="token punctuation">)</span> <span class="token operator">>=</span> MinAmplitude <span class="token keyword">THEN</span>   <span class="token keyword">IF</span> BuyPosition <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span>    <span class="token keyword">IF</span> <span class="token keyword">LongOnMarket</span> <span class="token keyword">THEN</span>     BuyPosition <span class="token operator">=</span> <span class="token number">1</span>    <span class="token keyword">ELSE</span>     <span class="token keyword">BUY</span> PositionSize <span class="token keyword">CONTRACT</span> <span class="token keyword">AT</span> BuyTreshold <span class="token keyword">STOP</span>   <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">IF</span> SellPosition <span class="token operator">=</span> <span class="token number">0</span> <span class="token keyword">THEN</span>    <span class="token keyword">IF</span> <span class="token keyword">ShortOnMarket</span> <span class="token keyword">THEN</span>     SellPosition <span class="token operator">=</span> <span class="token number">1</span>    <span class="token keyword">ELSE</span>   <span class="token keyword">SELLSHORT</span> PositionSize <span class="token keyword">CONTRACT</span> <span class="token keyword">AT</span> SellTreshold <span class="token keyword">STOP</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span> <span class="token keyword">ENDIF</span>   <span class="token comment" spellcheck="true">// Conditions definitions to exit market when a buy or sell order is already launched</span> <span class="token keyword">IF</span> <span class="token keyword">LongOnMarket</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token punctuation">(</span><span class="token keyword">Time</span> <span class="token operator"><=</span> LimitHour <span class="token keyword">AND</span> SellPosition <span class="token operator">=</span> <span class="token number">1</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> <span class="token keyword">Time</span> <span class="token operator">></span> LimitHour<span class="token punctuation">)</span> <span class="token keyword">THEN</span> <span class="token keyword">SELL</span> <span class="token keyword">AT</span> SellTreshold <span class="token keyword">STOP</span> <span class="token keyword">ELSIF</span> <span class="token keyword">ShortOnMarket</span> <span class="token keyword">AND</span> <span class="token punctuation">(</span><span class="token punctuation">(</span><span class="token keyword">Time</span> <span class="token operator"><=</span> LimitHour <span class="token keyword">AND</span> BuyPosition <span class="token operator">=</span> <span class="token number">1</span><span class="token punctuation">)</span> <span class="token keyword">OR</span> <span class="token keyword">Time</span> <span class="token operator">></span> LimitHour<span class="token punctuation">)</span> <span class="token keyword">THEN</span> <span class="token keyword">EXITSHORT</span> <span class="token keyword">AT</span> BuyTreshold <span class="token keyword">STOP</span> <span class="token keyword">ENDIF</span>   <span class="token comment" spellcheck="true">// Maximal risk definition of loss per position </span> <span class="token comment" spellcheck="true">// in case of bad evolution of the instrument price</span> <span class="token keyword">SET STOP</span> <span class="token keyword">PLOSS</span> MaxAmplitude

  

  Yngve

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  11/24/2016 at 11:54 PM #17148
  Wing

  Something like this, for that strategy:

   

  MaxAmplitude = maximum stop loss/maximum daily range to trade

  MinAmplitude =  minimum daily range to trade

  OrderDistance = Distance from range that order is placed when breakout has occured

  PourcentageMin = How large of a movement is considered an outbreak, measured in percent of today’s range so far (high-low).

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  Nicolas

  

  Wing

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  11/26/2016 at 12:03 PM #17224
  Yngve

  Hi Wing

  Thanks for the explenation, it makes sens now.

  Regards

   

  Yngve

  

  Yngve

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