M15 SP500 LowBuyHighSell Strategy
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Here is a strategy on the SP500, which in its raw version is already effective long and short. With similar settings the code is also effective on other indexes.
It is a mixture of gap close and mean reversion. We buy intraday below a low from the daily chart. We are selling above a high from the daily chart. The exit is the close of the previous day. So theoretically a gap closure. We exit open positions every evening and are flat overnight. A simple stoploss based on the daily range is also included in the algo. That’s all. Improvements and/or thoughts on this algo are always welcome.123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384//================================================//SP500//Spread 0.5DEFPARAM CUMULATEORDERS = falsedefparam preloadbars = 10000//Risk ManagementPositionSize = 5//Max-Orders per Day///////////////////////////////////////once maxOrdersL = 1once maxOrdersS = 1if intradayBarIndex = 0 then //reset orders countordersCountL = 0ordersCountS = 0endifif longTriggered then //check if an order has opened in the current barordersCountL = ordersCountL + 1endifif shortTriggered then //check if an order has opened in the current barordersCountS = ordersCountS + 1endif///////////////////////////////////////once TimeEx = 1once TimeEx2 = 1once Exit = 1timeframe(1day,updateonclose)myhigh = highmyclose= closemylow = lowmyopen = openmylowX = lowest[3](low) //1-20myhighX = highest[13](high)//1-20timeframe(default)area = myhigh-mylowlong = close < mylowX and ordersCountL < maxOrdersL //crosses overshort= close crosses under myhighX and ordersCountS < maxOrdersS// trading windowONCE BuyTime = 080000ONCE SellTime = 210000// position managementIF Time >= BuyTime AND Time <= SellTime THENIf long ThenBuy PositionSize CONTRACTS AT marketSET STOP LOSS area*0.4ENDIFIf short Thensellshort PositionSize CONTRACTS AT marketSET STOP LOSS area*1ENDIFendifgraphOnPrice mylowX coloured("Red")graphonprice myclose coloured("Black")graphOnPrice myhighX coloured("green")if longonmarket and close > myclose and Exit=1 thensell at marketendifif shortonmarket and close < myclose and Exit=1 thenexitshort at marketendif//TimeExif (time >= 220000 and TimeEx=1)thensell at marketexitshort at marketendifif time >= 220000 and dayofweek=5 and TimeEx2=1 thensell at marketexitshort at marketendif5 users thanked author for this post.
Es ist wichtig, sich daran zu erinnern, dass wir hier über das SP500 sprechen. Vor fünf Jahren lag diese noch bei rund 2000 Punkten, die Volatilität war also sicherlich deutlich geringer. Wir arbeiten auf einen Lückenschluss hin, der auch heute noch manchmal nur wenige Punkte umfasst. Aber es scheint sicher, dass die Bewegung sehr oft auftreten wird, und wir können uns dieses Prinzip zunutze machen. Selbst wenn wir “highest and lowest” im Code auf “1” setzen, funktioniert das System trotzdem. Lediglich der Drawdown nimmt leicht zu und die Kurve ist etwas zackig. Probieren Sie das System an der Nasdaq aus… 😉
1 user thanked author for this post.
Test with a spread of 0.6 as this is the minimum at IG and the maximum is 1.4
Added buy and sell conditions1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556575859606162636465666768//SP "lowBuy-highSell" v2 15m [spread 0.5] //TS by Phoentzs//https://www.prorealcode.com/topic/m15-sp500-lowbuyhighsell-strategy///*********************************************************************************defParam cumulateOrders = falsedefParam preLoadBars = 10000defParam flatAfter = 220000cTime = time >= 080000 and time <= 210000positionSize = 1//-----------------------------------------------------------------------once maxOrdersL = 1 //max-Orders per Dayonce maxOrdersS = 1if intradayBarIndex = 0 then //reset orders countordersCountL = 0ordersCountS = 0endifif longTriggered then //check if an order has opened in the current barordersCountL = ordersCountL + 1endifif shortTriggered then //check if an order has opened in the current barordersCountS = ordersCountS + 1endif//------------------------------------------------------------timeframe(1 day, updateOnClose)//*********************************periodL = 3periodS = 13multiplierL = 0.4multiplierS = 1//*********************************dailyHigh = highdailyClose = closedailyLow = lowdailyOpen = opendailyLowX = lowest[periodL](low)dailyHighX = highest[periodS](high)areaDaily = dailyHigh - dailyLow//--------------------------------------------------------------timeframe(15 minutes)cLong = close < dailylowX and open>low and high>close and close-open>10cShort = close crosses under dailyHighX and high>open and close>lowif cTime and cLong and ordersCountL < maxOrdersL thenbuy positionSize contracts at marketset stop loss areaDaily * multiplierLendifif longOnMarket and close > dailyClose and positionPerf*100 > 0.1 then // exit: gain > 0.1%sell at marketendif//----------------------if cTime and cShort and ordersCountS < maxOrdersS thensellshort positionSize contracts at marketset stop loss areaDaily * multiplierSendifif shortOnMarket and close < dailyClose and positionPerf*100 > 0.3 then // exit: gain > 0.3%exitShort at marketendif//---------------------------------------------------------------------------------------graphOnPrice dailyLowX coloured("red")graphonprice dailyClose coloured("black")graphOnPrice dailyHighX coloured("green")//---------------once equity = 0once performanceLastMonth = 0if month <> month[1] thenperformanceLastMonth = strategyProfit - equityequity = strategyProfitendifgraph performanceLastMonth1 user thanked author for this post.
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