Forex Engulfing Strategy

• 01/24/2017 at 8:56 PM #22362
  StantonR

  Hi There

  I am trying to implement a Forex Engulfing strategy that I use in my live trading. I would like to create a backtest for that strategy.

  The strategy is simple at structure/ support and resistance points look for a engulfing signal the enter long or short on the open of next candle.

  The strategy involves drawing in your own structure points.

  Looking at he following post the Murray Math Levels Coincide exactly with these structure points.

  https://www.prorealcode.com/prorealtime-indicators/murray-math-levels/

  How do you implement Custom indicators in your back-testing strategies

  The code will work something like this I just need to know how to implement the custom indicator then I can work out the formula for the buy and sell levels

  // timeframe: h1 // instrument: FX // pairs: EURUSD // DEFPARAM CumulateOrders = FALSE //Need to to implement Muray math levels BullishEngulfing= OPEN[1] > CLOSE[1] AND CLOSE > OPEN AND CLOSE[1] >= OPEN AND CLOSE >= OPEN[1] bearishengulfing = CLOSE[1] > OPEN[1] AND OPEN > CLOSE AND OPEN[1] >= CLOSE AND OPEN >= CLOSE[1] darkcloudcover = CLOSE[1] < OPEN[1] AND OPEN < CLOSE[1] AND CLOSE > OPEN[1] piercing = CLOSE[1]<OPEN[1] AND OPEN< CLOSE[1] AND CLOSE>(CLOSE[1]+(OPEN[1]-CLOSE[1])/2) AND CLOSE < OPEN[1] MurrayBuy = Low < Murray[sup] and Low > Murray[sup] IF MurrayBuy and (BullishEngulfing or piercing) THEN BUY 2 CONTRACT AT MARKET SET STOP PLOSS 10 ENDIF MurraySell = High > Murray[res1] and high < Murray[res2] IF MurraySell and (bearishengulfing or darkcloudcover) THEN SELLSHORT 2 CONTRACT AT MARKET SET STOP PLOSS 10 ENDIF

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  // timeframe: h1 // instrument: FX // pairs: EURUSD //   DEFPARAM CumulateOrders = FALSE   //Need to to implement Muray math levels   BullishEngulfing= OPEN[1] > CLOSE[1] AND CLOSE > OPEN AND CLOSE[1] >= OPEN AND CLOSE >= OPEN[1]   bearishengulfing = CLOSE[1] > OPEN[1] AND OPEN > CLOSE AND OPEN[1] >= CLOSE AND OPEN >= CLOSE[1]   darkcloudcover = CLOSE[1] < OPEN[1] AND OPEN < CLOSE[1] AND CLOSE > OPEN[1]   piercing = CLOSE[1]<OPEN[1] AND OPEN< CLOSE[1] AND CLOSE>(CLOSE[1]+(OPEN[1]-CLOSE[1])/2) AND CLOSE < OPEN[1]   MurrayBuy = Low < Murray[sup] and Low >  Murray[sup]   IF MurrayBuy and (BullishEngulfing or piercing)  THEN BUY 2 CONTRACT AT MARKET SET STOP PLOSS 10 ENDIF   MurraySell = High > Murray[res1] and high < Murray[res2]   IF MurraySell and (bearishengulfing or darkcloudcover)  THEN SELLSHORT 2 CONTRACT AT MARKET SET STOP PLOSS 10 ENDIF

   

  I have attached images of the ideal sell and buy points.

  The horizontal lines that I have drawn in are the manual structure points that I added.

  Thanks

  

  StantonR

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  01/25/2017 at 5:52 PM #22460
  Joachim Nilsson

  Post your indicator as well, easier that way.

  

  Joachim Nilsson

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  01/25/2017 at 8:07 PM #22480
  Nicolas

  You can implement custom indicators with the CALL instruction.

  Even if it’s always a better idea to copy/paste (recode) the whole indicator into ProBacktest, use of CALL can save time while development process.

  

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  04/26/2017 at 3:30 PM #33519
  GraHal

  Did you get anywhere with this StantonR  please?

  I’m seeking a Bot that aligns with my manual trading and this could be it! ha

  I’ll check out that Murray Indicator and report back.

  GraHal

  

  GraHal

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  04/26/2017 at 3:37 PM #33521
  StantonR

  Hi Grahal

  I have sort of put this on the backburner.

  Its exactly how I trade forex manually. But I normally look to see if the the candle is near a major support or resistance zone and then look for a engulfing candle.

  I am trying to work on something that adds the daily support and resistance lines then trade it on the hour chart.

  The murray math levels move according to your timeframe which is not ideal.

   

  

  StantonR

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  04/26/2017 at 3:55 PM #33522
  StantonR

  Here are some of my videos of how this strategy works

  Engulfing strategy

  https://youtu.be/bRxHtFJEsKw

  Price action drawing support and resistance lines.

  https://youtu.be/GLdz3nZS4tw

  

  StantonR

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  04/27/2017 at 8:57 AM #33629
  StantonR

  Would be awesome if we could call the built in horizontal support and resistance lines indicator from our ProOrder code.

  Or if we could get the code/calculations that works it out.

  

  StantonR

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  04/27/2017 at 9:24 AM #33633
  GraHal

  Yes I agree Stanton .. that is what we need! Seems so basic / daft not to be able to!

  Maybe @Nicolas may have a few ideas when he sees your question above?

  GraHal
  PS I put Nicolas as a hyperlink in case he has a method of doing a pull where he has been hyperlinked! Doubt it, but a good idea to try and get him here quick! 🙂

   

  

  GraHal

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  04/27/2017 at 12:44 PM #33673
  Maz

  Hi guys,

  Just saw this. How are you getting on with it? I think the general premise might have legs but you’ll need a few entry / exit  filters to make it stable and usable in the long run. On its own it will just spin its wheels (but that’s actually a good thing which is why I say it probably has legs).

  Here is a quick a dirty solution for you (long only – let’s start just on one side). I did a quick optimization on EUR/USD M30. It’s super rough and probably a bit curve fitted so keep that in mind. Nevertheless the parts are there for you to build on. You can have a play now with various some filters and rules and share results if you like. I might come back to this again if I have some time.

  All the best,

  M

  // timeframe: M30 // instrument: FX // pairs: EUR_USD DEFPARAM CumulateOrders = FALSE // period = 32 //64 // Murray Indicator once Top = undefined once Btm = undefined once MP = undefined once h5 = undefined once h4 = undefined once h3 = undefined once h2 = undefined once h1 = undefined once l1 = undefined once l2 = undefined once l3 = undefined once l4 = undefined once l5 = undefined //once cc = undefined mData = close // open / low / typical etc if barIndex >= period then h5 = h4 + ( Top - Btm )/ 8 h4 = Top + ( Top - Btm )/ 8 Top = highest[period](mData) h3 = Top - ( Top - Btm )/8 h2 = h3 - ( Top - Btm )/8 h1 = h2 - ( Top - Btm )/8 MP = h1 - ( Top - Btm )/8 l1 = MP - ( Top - Btm )/8 l2 = l1 - ( Top - Btm )/8 l3 = l2 - ( Top - Btm )/8 Btm = lowest[period](mData) l4 = Btm - ( Top - Btm )/8 l5 = l4 - ( Top - Btm )/8 //cc = customclose endif // -- candle pattern logic -- bullishEngulfing = OPEN[1] > CLOSE[1] AND CLOSE > OPEN AND CLOSE[1] >= OPEN AND CLOSE >= OPEN[1] bearishEngulfing = CLOSE[1] > OPEN[1] AND OPEN > CLOSE AND OPEN[1] >= CLOSE AND OPEN >= CLOSE[1] darkcloudcover = CLOSE[1] < OPEN[1] AND OPEN < CLOSE[1] AND CLOSE > OPEN[1] piercing = CLOSE[1]<OPEN[1] AND OPEN< CLOSE[1] AND CLOSE>(CLOSE[1]+(OPEN[1]-CLOSE[1])/2) AND CLOSE < OPEN[1] //MA = average[200, 1](Close) MurrayBuy = low < L1 and low > L2 MurraySell = high > H1 and high < H2 // -- long entry rules -- bc1 = not longOnmarket and murrayBuy bc1 = bc1 and (BullishEngulfing or piercing) //bc1 = bc1 and MA > MA[2] // -- short entry rules sc1 = not shortOnMarket and murraySell sc1 = sc1 and (bearishengulfing or darkcloudcover) // -- long exit rules -- le1 = longOnMarket le1 = (le1 and bearishEngulfing ) or (le1 and darkCloudCover) le1 = le1 or sc1 if bc1 then BUY 2 CONTRACT AT MARKET SET STOP PLOSS 10 set target pProfit (MP-close)*pipsize ENDIF if le1 then sell at market endif // just looking at long for now //IF MurraySell and (bearishengulfing or darkcloudcover) THEN //SELLSHORT 2 CONTRACT AT MARKET //SET STOP PLOSS 10 //ENDIF // ignore (just so the interpreter doesn't crap out) if l3 or h4 or l5 or h5 then // ignore endif

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  // timeframe: M30 // instrument: FX // pairs: EUR_USD   DEFPARAM CumulateOrders = FALSE   // period = 32 //64   // Murray Indicator once Top = undefined once Btm = undefined once MP = undefined once h5 = undefined once h4 = undefined once h3 = undefined once h2 = undefined once h1 = undefined once l1 = undefined once l2 = undefined once l3 = undefined once l4 = undefined once l5 = undefined //once cc = undefined   mData = close // open / low / typical etc if barIndex >= period then h5   = h4 +  ( Top - Btm )/ 8 h4   = Top + ( Top - Btm )/ 8 Top = highest[period](mData) h3   = Top - ( Top - Btm )/8 h2   = h3 -  ( Top - Btm )/8 h1   = h2 -  ( Top - Btm )/8 MP   = h1 -  ( Top - Btm )/8 l1   = MP -  ( Top - Btm )/8 l2   = l1 -  ( Top - Btm )/8 l3   = l2 -  ( Top - Btm )/8 Btm  = lowest[period](mData) l4   = Btm - ( Top - Btm )/8 l5   = l4 -  ( Top - Btm )/8 //cc   = customclose endif   // -- candle pattern logic -- bullishEngulfing = OPEN[1] > CLOSE[1] AND CLOSE > OPEN AND CLOSE[1] >= OPEN AND CLOSE >= OPEN[1] bearishEngulfing = CLOSE[1] > OPEN[1] AND OPEN > CLOSE AND OPEN[1] >= CLOSE AND OPEN >= CLOSE[1] darkcloudcover   = CLOSE[1] < OPEN[1] AND OPEN < CLOSE[1] AND CLOSE > OPEN[1] piercing         = CLOSE[1]<OPEN[1] AND OPEN< CLOSE[1] AND CLOSE>(CLOSE[1]+(OPEN[1]-CLOSE[1])/2) AND CLOSE < OPEN[1] //MA = average[200, 1](Close)     MurrayBuy  = low  < L1 and low  > L2 MurraySell = high > H1 and high < H2   // -- long entry rules -- bc1 = not longOnmarket and murrayBuy bc1 = bc1 and (BullishEngulfing or piercing) //bc1 = bc1 and MA > MA[2]   // -- short entry rules sc1 = not shortOnMarket and murraySell sc1 = sc1 and (bearishengulfing or darkcloudcover)   // -- long exit rules -- le1 = longOnMarket le1 = (le1 and bearishEngulfing ) or (le1 and darkCloudCover) le1 = le1 or sc1   if bc1 then BUY 2 CONTRACT AT MARKET SET STOP PLOSS 10 set target pProfit (MP-close)*pipsize ENDIF   if le1 then sell at market endif   // just looking at long for now //IF MurraySell and (bearishengulfing or darkcloudcover)  THEN //SELLSHORT 2 CONTRACT AT MARKET //SET STOP PLOSS 10 //ENDIF   // ignore (just so the interpreter doesn't crap out) if l3 or h4 or l5 or h5 then // ignore endif

   

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  Maz

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  04/27/2017 at 5:55 PM #33711
  StantonR

  Thanks for that Maz very nice code.

  I have tested with the Murray math levels but its not exactly what I have looking for.

  I have attached 2 images the first is the daily chart. I have draw horizontal lines at the areas where the price has been tested more than 2 times.
  When you switch to the hourly chart image 2 those lines of support and resistance still hold up.

  I am looking for code that that draws horizontal lines at places where the price either was rejected at the support or resistance more than 2 times.

   

  

  StantonR

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  04/27/2017 at 6:54 PM #33727
  Nicolas

  StantonR wrote:

  I am looking for code that that draws horizontal lines at places where the price either was rejected at the support or resistance more than 2 times.

  This indicator should help: https://www.prorealcode.com/topic/swing-lines-indicator/

  But of course, these levels are not stored anywhere since we do not have arrays to store them 🙁 sadly ..

  1 user thanked author for this post.

  Maz

  

  Nicolas

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  04/27/2017 at 7:54 PM #33756
  StantonR

  Thanks Nicolas will check it out.

  Working on this guys.

  Would be great to get some input @grahal @Maz look at this on hour time frame.

   

  margin = 10 numberofrejections = 4 FOR i = 1 TO 365 DO rescounter = 0 supcounter = 0 dayhigh = DHigh(i) daylow = DLow(i) resareatop = dayhigh + margin*pipsize resareabot = dayhigh - margin*pipsize suptop = daylow + margin*pipsize supbot = daylow - margin*pipsize FOR i = 2 TO 365 DO if DHigh(i) > resareabot and DHigh(i) < resareatop then rescounter = rescounter + 1 endif if DLow(i) < suptop and DLow(i) > supbot then supcounter = supcounter + 1 endif next if rescounter > numberofrejections then DRAWHLINE(dayhigh)coloured(255,0,0) endif if supcounter > numberofrejections then DRAWHLINE(daylow)coloured(0, 255, 0) endif NEXT return

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  margin = 10 numberofrejections = 4 FOR i = 1 TO 365 DO   rescounter = 0 supcounter = 0   dayhigh = DHigh(i) daylow = DLow(i)   resareatop = dayhigh + margin*pipsize resareabot = dayhigh - margin*pipsize   suptop = daylow + margin*pipsize supbot = daylow - margin*pipsize   FOR i = 2 TO 365 DO if DHigh(i) > resareabot and DHigh(i) < resareatop then rescounter = rescounter + 1 endif if DLow(i) < suptop and DLow(i) > supbot then supcounter = supcounter + 1 endif next   if rescounter > numberofrejections then DRAWHLINE(dayhigh)coloured(255,0,0) endif   if supcounter > numberofrejections then DRAWHLINE(daylow)coloured(0, 255, 0) endif   NEXT return

   

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  Maz

  

  StantonR

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  04/27/2017 at 11:29 PM #33788
  GraHal

  Looks good Stanton … lines drawn at zones where price has been rejected on 1H TF and lower TFs, but I guess these are following through from Daily support and resistance levels?

  GraHal

  

  GraHal

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  04/28/2017 at 11:46 AM #33837
  GraHal

  I hope we can get this coded up into an Algo.

  I’m looking at 3 different Algos that have taken Long positions for me Live in the last 30 mins or so (see attached) … all after a good run up, so unless the retrace is 23.60% and then onward and upward it leaves me working out the Elliott Waves and getting hot under the collar watching and waiting!

  But see the 2 price rejections (red arrows on attached) followed by a breakout … if only there was an Algo that could track such market structure? Happens all the time, all timeframes, and loads on the low TFs … which is good for a quick in and out! 🙂

  GraHal

   

  

  GraHal

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  04/28/2017 at 12:39 PM #33845
  Maz

  @GraHal maybe open a new thread topic for this and explain what you are looking for together with a bunch of example screen shots where it happened. Perhaps suggest a entry/exit system to try?

  

  Maz

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