M15 SP500 LowBuyHighSell Strategy

• 11/12/2023 at 8:32 PM #223624
  phoentzs

  With your extra entry conditions you basically filter out half of the existing trades… I’m not sure if that’s over-optimization. Set highest and lowest to 1…. so we trade almost every day. And then show your capital curve.

  

  phoentzs

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  11/12/2023 at 8:40 PM #223625
  JS

  Hi @fifi743

  Your back test was done with a $250/point contract…

  In my system there are two contracts with a value of 250 dollars/point, SPTRD (US 500 Cash) and SPTRD (US 500 Cash (250$))…

  I don’t see any difference between these two contracts, only when I back test them I get the same result with the US 500 Cash as your back test, only when I use the other contract, I get the back test below… (Both 200k units)

  

  JS

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  11/12/2023 at 8:44 PM #223627
  phoentzs

  My version is based on the SP500 with €1 per point…

  

  phoentzs

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  11/12/2023 at 9:15 PM #223629
  fifi743

  Here is the curve with SP 500 1 dollar per point
  positionsize=1

  

  fifi743

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  11/12/2023 at 10:02 PM #223635
  JS

  Fifi, your last back test is also based on a contract with 250$/point… 🙂

  

  JS

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  12/04/2023 at 12:18 PM #224803
  justisan

  hi phoentzs, I was just reading your code/script and was immediately excited about basic simplicity of the trading idea/concept. I “feel”/guess it is a valid, probably very competetive concept. (well, I would not say it has to do something with gap-trading). and you make it totally without common indicators-shmindincators – fascinating! 😀

  few ideas/remarks, after looking in the details and “action” of the algo:

  • by implementing mylowX and myhighX with variables “inside” (number of days you look back), you created kind of your own indicator with huge potential for optimization. why not to look just to previous day’s high & low as a trigger? simple, logical, no chance for optimization (and results are still very okay, I would say).
  • something is “fishy” with mondays’ trades. one idea as a consequence is not to take any trades on mondays at all. but I think monday’s real issue in the algo is the open/close/high/low data which PRT/workstation provides you on “monday” on the “daily” timeframe, and correspondingly it influences all your own parameters which you link to this data, possibly to you disadvantage. please observe closely on the chart what your parameters (all which you are calling “my….” and “area” which is linked to “my…”) are doing on sunday/early monday.

  regards

  justinas

  

  justisan

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  12/04/2023 at 12:19 PM #224804
  justisan

  x

  

  justisan

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  12/04/2023 at 2:15 PM #224818
  justisan

  …sorry, maybe i expressed myself in misleading way: by „huge potential for optimization“ I mean that it is probably to your/trader‘s disadvantage! any variable which can be „optimized“ a lot decreases probably the robustness and so the chance that system makes money in various market conditions in the future. in your particular system I dont see any strong/logical/economical etc reason to make number of days you look back a „variable“. 1 day is supe fine, sigificant, simple, logical… another period could be 1 full working week. something in between or so might/will work as well but possibly is kind of „magic“, you might not want to rely on, even if it „produces“ more smooth equity curve or lower absolute drawdown or whatever more nice performance in the backtest/on paper.

  

  justisan

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  12/04/2023 at 2:40 PM #224820
  phoentzs

  @justisan
  Thanks for your praise. Well, mylowx and myhighx also work great if you only use the previous day of both. I tried to get a certain long/short weighting into the system by optimizing both values. It is difficult to say whether the values ​​are now over-optimized. In any case, many combinations work without the system breaking down. Which basically suggests that it is quite robust. The Monday problem… yes, the problem is that PRT also produces Sunday candles every now and then. So when we go to the store on Monday, we sometimes take the Sunday candle, which of course is nonsense. But unfortunately I haven’t figured out how to filter out this candle yet? Normally we should access the Friday candle on Mondays, which sometimes doesn’t work. As a result, we occasionally have poor performance on Mondays. Maybe someone has an idea how to basically filter out the Sunday candle?

  

  phoentzs

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  12/04/2023 at 4:00 PM #224831
  MauroPro

  Hi Phoentzs, what do you think about the idea of separating Monday from the other days and let him take the value of the previous day (to check)?

  defParam cumulateOrders = false defParam preLoadBars = 10000 defParam flatAfter = 220000 cTime = time >= 080000 and time <= 210000 positionSize = 4 //----------------------------------------------------------------------- once maxOrdersL = 1 //max-Orders per Day once maxOrdersS = 1 if intradayBarIndex = 0 then //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif //------------------------------------------------------------ timeframe(1 day, updateOnClose) //********************************* periodL = 3 periodS = 13 multiplierL = 0.4 multiplierS = 1 //********************************* monday = dayOfweek = 1 dailyHighMonday = high[1] dailyCloseMonday = close[1] dailyLowMonday = low[1] dailyOpenMonday = open[1] areaDailyMonday = dailyHighMonday - dailyLowMonday dailyLowXMonday = lowest[periodL+1](low) dailyHighXMonday = highest[periodS+1](high) dailyHigh = high dailyClose = close dailyLow = low dailyOpen = open areaDaily = dailyHigh - dailyLow dailyLowX = lowest[periodL](low) dailyHighX = highest[periodS](high) //-------------------------------------------------------------- timeframe(15 minutes) //--------------------------------------------------------------- cLongMonday = close < dailyLowXMonday cShortMonday = close crosses under dailyHighXMonday cLong = close < dailyLowX cShort = close crosses under dailyHighX //------------------------------------------------------------------ if monday then if cTime and cLongMonday and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDailyMonday * multiplierL endif if longOnMarket and close > dailyCloseMonday and positionPerf*100 > 0.1 then // exit: gain > 0.1% sell at market endif if cTime and cShortMonday and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDailyMonday * multiplierS endif if shortOnMarket and close < dailyCloseMonday and positionPerf*100 > 0.3 then // exit: gain > 0.3% exitShort at market endif endif //**************************************** if not monday then if cTime and cLong and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDaily * multiplierL endif if longOnMarket and close > dailyClose and positionPerf*100 > 0.1 then // exit: gain > 0.1% sell at market endif if cTime and cShort and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDaily * multiplierS endif if shortOnMarket and close < dailyClose and positionPerf*100 > 0.3 then // exit: gain > 0.3% exitShort at market endif endif //--------------------------------------------------------------------------------------- graphOnPrice dailyLowX coloured("red") graphonprice dailyClose coloured("black") graphOnPrice dailyHighX coloured("green")

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  defParam cumulateOrders = false defParam preLoadBars = 10000 defParam flatAfter = 220000 cTime = time >= 080000 and time <= 210000 positionSize = 4 //----------------------------------------------------------------------- once maxOrdersL = 1                    //max-Orders per Day once maxOrdersS = 1 if intradayBarIndex = 0 then          //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then                 //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then                 //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif //------------------------------------------------------------ timeframe(1 day, updateOnClose) //********************************* periodL = 3 periodS = 13 multiplierL = 0.4 multiplierS = 1 //********************************* monday = dayOfweek = 1   dailyHighMonday = high[1] dailyCloseMonday = close[1] dailyLowMonday  = low[1] dailyOpenMonday = open[1] areaDailyMonday = dailyHighMonday - dailyLowMonday dailyLowXMonday  = lowest[periodL+1](low) dailyHighXMonday = highest[periodS+1](high)   dailyHigh = high dailyClose = close dailyLow  = low dailyOpen = open areaDaily = dailyHigh - dailyLow dailyLowX  = lowest[periodL](low) dailyHighX = highest[periodS](high) //-------------------------------------------------------------- timeframe(15 minutes) //--------------------------------------------------------------- cLongMonday = close < dailyLowXMonday cShortMonday = close crosses under dailyHighXMonday cLong = close < dailyLowX cShort = close crosses under dailyHighX //------------------------------------------------------------------ if monday then if cTime and cLongMonday and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDailyMonday * multiplierL endif if longOnMarket and close > dailyCloseMonday and positionPerf*100 > 0.1 then  // exit: gain > 0.1% sell at market endif   if cTime and cShortMonday and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDailyMonday * multiplierS endif if shortOnMarket and close < dailyCloseMonday and positionPerf*100 > 0.3 then // exit: gain > 0.3% exitShort at market endif endif //**************************************** if not monday then if cTime and cLong and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDaily * multiplierL endif if longOnMarket and close > dailyClose and positionPerf*100 > 0.1 then  // exit: gain > 0.1% sell at market endif   if cTime and cShort and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDaily * multiplierS endif if shortOnMarket and close < dailyClose and positionPerf*100 > 0.3 then // exit: gain > 0.3% exitShort at market endif endif //--------------------------------------------------------------------------------------- graphOnPrice dailyLowX coloured("red") graphonprice dailyClose coloured("black") graphOnPrice dailyHighX coloured("green")

   

  

  MauroPro

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  12/04/2023 at 4:51 PM #224841
  phoentzs

  @mauropro
  That sounds good too. Can you post me the curve?

  

  phoentzs

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  12/04/2023 at 5:04 PM #224843
  MauroPro

  The version with the distinction of Monday (the one above) is the version 3 (I think that the parameters of Monday should be optimizied).

   

   

  

  MauroPro

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  12/04/2023 at 6:18 PM #224848
  phoentzs

  One could implement this change. The idea is good. Even if the impact on overall performance is minimal.

  

  phoentzs

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  12/04/2023 at 7:38 PM #224853
  MauroPro

  This is the version 3 with only Monday optimized ( the impact is not so small: more than 10%).

  //SP "lowBuy-highSell" v3 15m [spread 0.6] //TS by Phoentzs //https://www.prorealcode.com/topic/m15-sp500-lowbuyhighsell-strategy/ //********************************************************************************* defParam cumulateOrders = false defParam preLoadBars = 10000 defParam flatAfter = 220000 cTime = time >= 080000 and time <= 210000 positionSize = 4 //----------------------------------------------------------------------- once maxOrdersL = 1 //max-Orders per Day once maxOrdersS = 1 if intradayBarIndex = 0 then //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif //------------------------------------------------------------ timeframe(1 day, updateOnClose) //********************************* periodL = 3 periodS = 13 multiplierLMonday = 0.3 // monday OPT multiplierSMonday = 0.5 // monday OPT exitLMonday = 0.2 // monday OPT exitSMonday = 0.4 // monday OPT multiplierL = 0.4 multiplierS = 1 exitL = 0.1 exitS = 0.3 //********************************* monday = dayOfweek = 1 dailyHighMonday = high[1] dailyCloseMonday = close[1] dailyLowMonday = low[1] dailyOpenMonday = open[1] areaDailyMonday = dailyHighMonday - dailyLowMonday dailyLowXMonday = lowest[periodL+1](low) dailyHighXMonday = highest[periodS+1](high) dailyHigh = high dailyClose = close dailyLow = low dailyOpen = open areaDaily = dailyHigh - dailyLow dailyLowX = lowest[periodL](low) dailyHighX = highest[periodS](high) //-------------------------------------------------------------- timeframe(15 minutes) //--------------------------------------------------------------- cLongMonday = close < dailyLowXMonday cShortMonday = close crosses under dailyHighXMonday cLong = close < dailyLowX cShort = close crosses under dailyHighX //------------------------------------------------------------------ if monday then if cTime and cLongMonday and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDailyMonday * multiplierLMonday endif if longOnMarket and close > dailyCloseMonday and positionPerf*100 > exitLMonday then sell at market endif if cTime and cShortMonday and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDailyMonday * multiplierSMonday endif if shortOnMarket and close < dailyCloseMonday and positionPerf*100 > exitSMonday then exitShort at market endif endif //**************************************** if not monday then if cTime and cLong and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDaily * multiplierL endif if longOnMarket and close > dailyClose and positionPerf*100 > exitL then sell at market endif if cTime and cShort and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDaily * multiplierS endif if shortOnMarket and close < dailyClose and positionPerf*100 > exitS then exitShort at market endif endif //--------------------------------------------------------------------------------------- graphOnPrice dailyLowX coloured("red") graphonprice dailyClose coloured("black") graphOnPrice dailyHighX coloured("green") //---------------------------------------------------------------------------------------------

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  //SP "lowBuy-highSell" v3 15m [spread 0.6]  //TS by Phoentzs //https://www.prorealcode.com/topic/m15-sp500-lowbuyhighsell-strategy/ //********************************************************************************* defParam cumulateOrders = false defParam preLoadBars = 10000 defParam flatAfter = 220000 cTime = time >= 080000 and time <= 210000 positionSize = 4 //----------------------------------------------------------------------- once maxOrdersL = 1                    //max-Orders per Day once maxOrdersS = 1 if intradayBarIndex = 0 then          //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then                 //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then                 //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif //------------------------------------------------------------ timeframe(1 day, updateOnClose) //********************************* periodL = 3 periodS = 13   multiplierLMonday = 0.3    // monday OPT multiplierSMonday = 0.5    // monday OPT exitLMonday = 0.2          // monday OPT exitSMonday = 0.4          // monday OPT   multiplierL = 0.4 multiplierS = 1 exitL = 0.1 exitS = 0.3 //********************************* monday = dayOfweek = 1   dailyHighMonday = high[1] dailyCloseMonday = close[1] dailyLowMonday  = low[1] dailyOpenMonday = open[1] areaDailyMonday = dailyHighMonday - dailyLowMonday dailyLowXMonday  = lowest[periodL+1](low) dailyHighXMonday = highest[periodS+1](high)   dailyHigh = high dailyClose = close dailyLow  = low dailyOpen = open areaDaily = dailyHigh - dailyLow dailyLowX  = lowest[periodL](low) dailyHighX = highest[periodS](high) //-------------------------------------------------------------- timeframe(15 minutes) //--------------------------------------------------------------- cLongMonday = close < dailyLowXMonday cShortMonday = close crosses under dailyHighXMonday cLong = close < dailyLowX cShort = close crosses under dailyHighX //------------------------------------------------------------------ if monday then if cTime and cLongMonday and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDailyMonday * multiplierLMonday endif if longOnMarket and close > dailyCloseMonday and positionPerf*100 > exitLMonday then sell at market endif   if cTime and cShortMonday and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDailyMonday * multiplierSMonday endif if shortOnMarket and close < dailyCloseMonday and positionPerf*100 > exitSMonday then exitShort at market endif endif //**************************************** if not monday then if cTime and cLong and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDaily * multiplierL endif if longOnMarket and close > dailyClose and positionPerf*100 > exitL then sell at market endif   if cTime and cShort and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDaily * multiplierS endif if shortOnMarket and close < dailyClose and positionPerf*100 > exitS then exitShort at market endif endif //--------------------------------------------------------------------------------------- graphOnPrice dailyLowX coloured("red") graphonprice dailyClose coloured("black") graphOnPrice dailyHighX coloured("green") //---------------------------------------------------------------------------------------------

   

   

  

  MauroPro

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  12/04/2023 at 7:59 PM #224854
  phoentzs

  Now it gets interesting. Thanks. I’ll run the versions in parallel in a demo to see if everything runs robustly. As mentioned at the beginning, this system would be ideal for a portfolio to hedge trend strategies. At least that’s my idea.

  

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