loss e profit non funzionanti

• 11/08/2023 at 12:09 PM #223360
  Ciccarelli Franco

  In una strategia trovato in libreria (allegato) in bak test i loss e profit funzionano , o almeno cosi sembra, in live non scattano . Inoltre in demo funzionano in live no. Sembra strano ma è quello che sto rilevando ultimamente.

  Chiedo a Roberto che ringrazio anticipatamente se mi può aiutare.

  //Universal XBody STrategy
  // instrument: EUR/USD
  // timeframe : Daily
  // Spread: 4
  // created and coded by davidelaferla
  //————————————————————————-

  //————————————————————————-
  defparam cumulateorders=false

  //***********************************************************************************************************
  N = 1
  //—————— SYSTEM VARIABLES—————————————
  //CAC40 Values: ——————————————– Ottimization info
  period=per// Optimize best value for each Symbol, range=1-1000, with step=1
  mode=md// Optimize the best trading mode , range=1-4, with step=1
  invertsignal=inv// 1=positive signal, -1=negative signal, range=-1-1, with step=2
  //***********************************************************************************************
  //—————— SYSTEM FILTER—————————————
  filter1=fl1// to set after the variable optimization, range=1-100, with step=1
  filter2=fl2// to set after the variable optimization, range=0-100, with step=1
  //—————— INDICATOR —————————————
  body=close-open
  var=(body-body[1])
  sumvar=summation[period](var)
  if sumvar>filter1*pipsize then
  green=(sumvar)
  endif
  if sumvar<-filter2*pipsize then
  red=(sumvar)
  endif

  if mode=1 then
  c1=red<red[1]
  c2=green>green[1]
  endif
  if mode=2 then
  c1=red>red[1]
  c2=green<green[1]
  endif
  if mode=3 then
  c1=red<red[1]
  c2=green<green[1]
  endif
  if mode=4 then
  c1=red>red[1]
  c2=green>green[1]
  endif
  if c1 then
  signal=1*invertsignal
  elsif c2 then
  signal=-1*invertsignal
  endif

  // Conditions for entering long positions and exit short positions
  IF signal>0 then
  BUY n contract AT market

  SET STOP PLOSS l
  SET TARGET PPROFIT p

  ENDIF

  // Conditions for entering short positions and exit long positions
  IF signal<0 THEN
  SELLSHORT n CONTRACTs AT market

  SET STOP PLOSS l1
  SET TARGET PPROFIT p1

  //SET STOP LOSS l*AverageTrueRange[10](close)
  //SET TARGET PROFIT p*AverageTrueRange[12](close)

  ENDIF

  VARIABILI

  l =20, p =90, l1=35 ,p1 = 20, per = 269, inv =1, md = 3, f1 =9 , f2 = 9

  

  Ciccarelli Franco

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  11/08/2023 at 4:35 PM #223372
  robertogozzi

  Credo sia un problema di SL e TP, un pò troppo vicini al prezzo, trattandosi di candele giornaliere.

  Inoltre pè sempre opportuno usare anche la condizione OnMarket per entrare, in modo da non eseguire il codice anche nelle barre successive, se già a mercato.

  Questo pè il codice che hai postato, leggermente modificato come ti ho dertto e con l’aggiunta di GRAPHONPRICE per vedere sul grafico dove sono sutuati SL e TP:

  // Universal XBody STrategy // instrument: EUR/USD // timeframe : Daily // Spread : 4 // created and coded by davidelaferla //————————————————————————- defparam cumulateorders=false l = 100//20 p = 300//90 l1 = 100//35 p1 = 300//20 per = 269 inv = 1 md = 3 fl1 = 9 fl2 = 9 //*********************************************************************************************************** N = 1 //—————— SYSTEM VARIABLES————————————— //CAC40 Values: ——————————————- Ottimization info period=per// Optimize best value for each Symbol, range=1-1000, with step=1 mode=md// Optimize the best trading mode , range=1-4, with step=1 invertsignal=inv// 1=positive signal, -1=negative signal, range=-1-1, with step=2 //*********************************************************************************************** //—————— SYSTEM FILTER————————————— filter1=fl1// to set after the variable optimization, range=1-100, with step=1 filter2=fl2// to set after the variable optimization, range=0-100, with step=1 //—————— INDICATOR ————————————— body=close-open var=(body-body[1]) sumvar=summation[period](var) if sumvar>filter1*pipsize then green=(sumvar) endif if sumvar<-filter2*pipsize then red=(sumvar) endif if mode=1 then c1=red<red[1] c2=green>green[1] endif if mode=2 then c1=red>red[1] c2=green<green[1] endif if mode=3 then c1=red<red[1] c2=green<green[1] endif if mode=4 then c1=red>red[1] c2=green>green[1] endif if c1 then signal=1*invertsignal elsif c2 then signal=-1*invertsignal endif // Conditions for entering long positions and exit short positions IF signal>0 AND Not OnMarket then BUY n contract AT market SLprice = close - l*pipsize TPprice = close + p*pipsize SET STOP PLOSS l SET TARGET PPROFIT p ENDIF // Conditions for entering short positions and exit long positions IF signal<0 AND Not OnMarket THEN SELLSHORT n CONTRACTs AT market SLprice = close + l1*pipsize TPprice = close - p1*pipsize SET STOP PLOSS l1 SET TARGET PPROFIT p1 //SET STOP LOSS l*AverageTrueRange[10](close) //SET TARGET PROFIT p*AverageTrueRange[12](close) ENDIF graphonprice SLprice coloured("Red") graphonprice TPprice coloured("Blue")

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  // Universal XBody STrategy // instrument: EUR/USD // timeframe : Daily // Spread    : 4 // created and coded by davidelaferla //————————————————————————- defparam cumulateorders=false l   = 100//20 p   = 300//90 l1  = 100//35 p1  = 300//20 per = 269 inv = 1 md  = 3 fl1 = 9 fl2 = 9 //*********************************************************************************************************** N = 1 //—————— SYSTEM VARIABLES————————————— //CAC40 Values: ——————————————- Ottimization info period=per// Optimize best value for each Symbol, range=1-1000, with step=1 mode=md// Optimize the best trading mode , range=1-4, with step=1 invertsignal=inv// 1=positive signal, -1=negative signal, range=-1-1, with step=2 //*********************************************************************************************** //—————— SYSTEM FILTER————————————— filter1=fl1// to set after the variable optimization, range=1-100, with step=1 filter2=fl2// to set after the variable optimization, range=0-100, with step=1 //—————— INDICATOR ————————————— body=close-open var=(body-body[1]) sumvar=summation[period](var) if sumvar>filter1*pipsize then green=(sumvar) endif if sumvar<-filter2*pipsize then red=(sumvar) endif   if mode=1 then c1=red<red[1] c2=green>green[1] endif if mode=2 then c1=red>red[1] c2=green<green[1] endif if mode=3 then c1=red<red[1] c2=green<green[1] endif if mode=4 then c1=red>red[1] c2=green>green[1] endif if c1 then signal=1*invertsignal elsif c2 then signal=-1*invertsignal endif   // Conditions for entering long positions and exit short positions IF signal>0 AND Not OnMarket then BUY n contract AT market SLprice = close - l*pipsize TPprice = close + p*pipsize SET STOP   PLOSS   l SET TARGET PPROFIT p ENDIF   // Conditions for entering short positions and exit long positions IF signal<0 AND Not OnMarket THEN SELLSHORT n CONTRACTs AT market SLprice = close + l1*pipsize TPprice = close - p1*pipsize SET STOP   PLOSS   l1 SET TARGET PPROFIT p1 //SET STOP LOSS l*AverageTrueRange[10](close) //SET TARGET PROFIT p*AverageTrueRange[12](close) ENDIF graphonprice SLprice coloured("Red") graphonprice TPprice coloured("Blue")

   

  

  robertogozzi

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  11/10/2023 at 9:49 AM #223486
  Ciccarelli Franco

  SLprice = close – l*pipsize

  TPprice = close + p*pipsize

  SET STOP   PLOSS   l

  SET TARGET PPROFIT p

  Ma in questa maniera gli stop e profit sono forse doppiati?

  Grazie

  

  Ciccarelli Franco

  Participant

  Topics: 87

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  11/10/2023 at 5:03 PM #223508
  robertogozzi

  No, le prime due righe definiscono delle variabili (usate per visualizzare TP e SL sul grafico), non sono istruzioni da eseguire.
  Gli ordini di SL e TP sono le altre due righe che iniziano con SET, quindi non c’è nessuna duplicazione.

  

  robertogozzi

  Moderator

  Topics: 69

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