Help with basic strategy

• 04/12/2017 at 6:25 AM #31813
  dvdrovers

  Hi,

  Was hoping someone could provide me with some code for a very simple strategy. I cant quite get the code to do what i want it to. below are the parameters;

  Trading on the major FX pairs (usd/jpy, eur/usd, gbp/usd etc)

  Daily bars

  If previous days bar was an up bar (open < close) then I want to sell on the previous days low

  If previous days bar was a down bar (open > close) then i want to buy on the previous days high

  stop will be 10 points

  limit/target will be 40

  If the limit or stop hasnt been hit during the trading day I want to exit on the close of that same day.

  Only want to trade from monday to friday, wary that there is a sunday bar on the FX due to it opening on sunday for a lot of the world (Im in Australia, opens 7am Monday)

  Ideally would like the backtesting to ignore the sunday bar

   

  Thanks for the help with this.

   

  

  dvdrovers

  Participant

  Topics: 2

  Replies: 1

  Been thanked: 0 times
  04/12/2017 at 5:05 PM #31872
  Nicolas

  Please find below a rough code that should work for your query. I didn’t test it, please make your own and give feedbacks, thank you.

  bull = dclose(0)>dopen(0) bear = dclose(0)<dopen(0) if day<>day[1]=0 then alreadytraded=0 endif if dayofweek>0 then if not onmarket and bull and alreadytraded=0 then sellshort 1 contract at dlow(0) alreadytraded=1 endif if not onmarket and bear and alreadytraded=0 then buy 1 contract at dhigh(0) alreadytraded=1 endif endif set stop ploss 10 set target pprofit 40

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

  bull = dclose(0)>dopen(0) bear = dclose(0)<dopen(0)   if day<>day[1]=0 then alreadytraded=0 endif   if dayofweek>0 then if not onmarket and bull and alreadytraded=0 then sellshort 1 contract at dlow(0) alreadytraded=1 endif   if not onmarket and bear and alreadytraded=0 then buy 1 contract at dhigh(0) alreadytraded=1 endif endif   set stop ploss 10 set target pprofit 40

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  04/12/2017 at 9:17 PM #31890
  GraHal

  I played around with above and got attached results on DAX 100,000 bars @ 5 Min (cos I like 5 mins  TF 🙂

  Had to change code at Line 5, 10 and 15 to get it going  … rightly or wrongly?

  bull = dclose(0)>dopen(0) bear = dclose(0)<dopen(0) if day<>day[1] then alreadytraded=0 endif if dayofweek>0 then if not onmarket and bull and alreadytraded=0 then sellshort 1 contract at dlow(0)stop alreadytraded=1 endif if not onmarket and bear and alreadytraded=0 then buy 1 contract at dhigh(0)limit alreadytraded=1 endif endif set stop ploss 100 set target pprofit 80

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

  bull = dclose(0)>dopen(0) bear = dclose(0)<dopen(0)   if day<>day[1] then alreadytraded=0 endif   if dayofweek>0 then if not onmarket and bull and alreadytraded=0 then sellshort 1 contract at dlow(0)stop alreadytraded=1 endif   if not onmarket and bear and alreadytraded=0 then buy 1 contract at dhigh(0)limit alreadytraded=1 endif endif   set stop ploss 100 set target pprofit 80

  GraHal

  

  GraHal

  Participant

  Topics: 214

  Replies: 8826

  Been thanked: 2198 times
  04/12/2017 at 9:33 PM #31895
  Nicolas

  Well done Grahal, I should have tested my code!

  I think the order at line 15 should also be a stop one, we are buying higher, looking for a breakout.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  04/12/2017 at 9:47 PM #31896
  GraHal

  Yeah I tried a stop at Line 15, attached are the results.

  I tried all combinations, with one eye on tv watching a film it’s easier (for me) to try stuff than work out if we’re trading higher or lower 🙂

   

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8826

  Been thanked: 2198 times
  04/13/2017 at 9:10 AM #31916
  Nicolas

  The backtest should be made on a daily timeframe, because the pending orders only last one bar in my code. I’m on my smartphone, can’t do it myself!

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  04/13/2017 at 11:18 AM #31924
  GraHal

  Nice one Nicolas!  Shut phone and brain off, sit in sun, get whiskey … you’re on holiday??

  WF Results for 1000 Daily bars,

  Daily Code:

  //https://www.prorealcode.com/topic/help-with-basic-strategy/ //GH DCloseDOpen DAX 1D bull = dclose(0)>dopen(0) bear = dclose(0)<dopen(0) if day<>day[1] then alreadytraded=0 endif if dayofweek>0 then if not onmarket and bull and alreadytraded=0 then sellshort 1 contract at dlow(0)stop alreadytraded=1 endif if not onmarket and bear and alreadytraded=0 then buy 1 contract at dhigh(0)stop alreadytraded=1 endif endif set stop ploss 160 set target pprofit 780

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

  //https://www.prorealcode.com/topic/help-with-basic-strategy/ //GH DCloseDOpen DAX 1D   bull = dclose(0)>dopen(0) bear = dclose(0)<dopen(0)   if day<>day[1] then alreadytraded=0 endif   if dayofweek>0 then if not onmarket and bull and alreadytraded=0 then sellshort 1 contract at dlow(0)stop alreadytraded=1 endif   if not onmarket and bear and alreadytraded=0 then buy 1 contract at dhigh(0)stop alreadytraded=1 endif endif   set stop ploss 160 set target pprofit 780

  GraHal

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8826

  Been thanked: 2198 times
  04/13/2017 at 12:04 PM #31928
  GraHal

  Attached overall result for above code in tick-tick mode with no WF.

  Any ideas to increase % of winning trades?

  I can’t BT more than 1000 x Daily due to that annoying error message … one or more candles are not available … etc.   

  GraHal

  

  GraHal

  Participant

  Topics: 214

  Replies: 8826

  Been thanked: 2198 times
• Author
  Posts