MFI CROSS strategy to test and improve on Wall Street 6 minutes

• 03/15/2018 at 1:45 PM #65366
  DEIO

  hi all,

  about the strategy I’m trying to apply Nicolas code (logic MFE).

  I don’t understand why it seems that doesn’t exit at priceexit.

  The code seems to be ok.

  Anyone can test and let me know if I’m wrong and where ?

  Here the code (this code is on TF 5 minutes):

  //----------------------------------------------------------------------------------------------- //----------------------------------------------------------------------------------------------- //WALL STREET // 5 MIN. DEFPARAM cumulateorders = FALSE CONDAVG = 1 AVG = Average[S](close) FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVG = 1 THEN CONDAVG = 1 ENDIF ELSE CONDAVG = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200 MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S] BASEMFI = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/F)] CONDMFIL = MFIFAST[0] CROSSES OVER MFISLOW[0] //trailingstop = ROUND(CLOSE/800) * PIPSIZE trailingstop = 30 SIZEBUY = 1 IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFIL AND BASEMFI AND CONDAVG THEN BUY sizebuy SHARES AT highest[F](HIGH) STOP endif ENDIF endif if not onmarket then MAXPRICE = 0 priceexit = 0 endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif if longonmarket and priceexit>0 then SELL AT priceexit STOP endif

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  //----------------------------------------------------------------------------------------------- //----------------------------------------------------------------------------------------------- //WALL STREET // 5 MIN.   DEFPARAM cumulateorders = FALSE CONDAVG = 1 AVG = Average[S](close)   FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVG = 1 THEN CONDAVG = 1 ENDIF ELSE CONDAVG = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200   MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S]   BASEMFI = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/F)] CONDMFIL = MFIFAST[0] CROSSES OVER MFISLOW[0]   //trailingstop = ROUND(CLOSE/800) * PIPSIZE trailingstop = 30   SIZEBUY = 1   IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFIL AND BASEMFI AND CONDAVG THEN BUY sizebuy SHARES AT highest[F](HIGH) STOP endif ENDIF endif   if not onmarket then MAXPRICE = 0 priceexit = 0 endif   if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   if longonmarket and priceexit>0 then SELL AT priceexit STOP endif

   

  thx

   

  Moderator’s edit: code edited to apply the correct PRT code format, please use “insert PRT code” button for future occurences (last one at end of first line of tools in message editor), thanks

  

  DEIO

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  03/15/2018 at 2:08 PM #65367
  GraHal

  Have you tried GRAPH the Trailing Stop and use the Cursor Details (right click, Display, bottom of list) as attached … it does look like it exited at the TS ??

  I haven’t studied it as I am giving you an idea so you can monitor / look into it further?

  Cheers
  GraHal

  

  GraHal

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  03/16/2018 at 5:09 PM #65456
  DEIO

   

   

  hi GraHal,

  I did al lot of test and I catch a issue that in my opinion is very important to me.

  I ask Nicolas a question but I have no response at the moment.

  I posted the question here:

  https://www.prorealcode.com/blog/learning/trailing-stop-max-favorable-excursion-mfe/

  Let me know your opinion and waiting for the Nicolas one.

   

  thx a lot

  bye

   

  

  DEIO

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  03/16/2018 at 5:27 PM #65460
  GraHal

  Ah yes the MFE Trail will not get you out of Trade like a Trailing Stop … you need a stop loss or a Trailing Stop also.

  The MFE Trail follows / trails the Max Favourable Excursion / MFE so that a Trade that was in profit does not end up a losing Trade having not reached it’s Profit Target (as we all have had happen to us and it’s  maddening! ).

  So yeah you need an MFE Trail and a normal PRT Stop Loss or PRT  Trailing Stop.

  Even Nicolas other Trailing Stop (link below) will not act as a Stop Loss in the first period after Trade opens because it needs at least one full period to become operational (I think?).

  https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/

  Hope that Helps?
  GraHal

  

  GraHal

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  03/16/2018 at 5:37 PM #65462
  DEIO

  Ok clear

  Just I would  suggest to explain this aspect in the link of MFE explanation, especially for the less expert.

  Soon I am going to provide the new code of the strategy on WS 6min, with this fix on  the first stop loss.

  Thx for your cooperation.

  Bye

  

  DEIO

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  03/16/2018 at 6:05 PM #65464
  GraHal

  Yes I agree it is confusing DEIO, it would be better if it is called  Trailing Gain with the Max Favorable Excursion (MFE)

  And better if the term Trailinggain is used in the code instead of Trailingstop?

  I look forward to your latest code
  GraHal

  

  GraHal

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  03/17/2018 at 3:11 PM #65499
  Jan

  Hi GraHal,

  thanks for sharing the strategy,  sounds promising.

  How do you practically deal with the fact that often in optimizing with lots of bars (like 100k bars) the equity shows choppy results at the beginning ? Just ignore or ?

  (in my opinion the loisy results are caused as the optimalisation of parameters is based on getting the best END results.  An optimalisation given 4.000 profit with a loss of 3.000 in the beginning is more favorable for the optimize-machine then a 3.000 profit with 1.000 euro profit in the beginning. However the latter I would like more)

  Kind regards,

  Jan

  

  Jan

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  03/17/2018 at 3:49 PM #65505
  GraHal

  Hi Jan, it’s not my Strategy, it’s DEIO’s … he’s doing all the work.

  Yes I agree, ignore the early in period poor performance. Often anyway it just looks worse as it shows a below zero equity curve, but there can be just as much drawdown later on but it’s not so obvious as it’s hidden amongst profits above the zero line?

  I usually click on several variable values in the Table of Results and compare equity curves … you can get surprising differences, some more as you describe with less of an early in period drawdown.    

  Cheers
  GraHal

  

  GraHal

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  03/17/2018 at 7:53 PM #65534
  manel

  GraHal wrote:

  Your full explanation was so good Manel, I raised it on the Platform Support Forum under your Quote … hope you don’t mid?!

  Hey Grahal – Of course not. Thanks for raising it.  Anything to help make this platform better for all users is always appreciated.

  And yes, I am a bit of a perfectionist so cannot sit on stuff if it’s not right however I have learnt that also sometimes you have to work with the limitations you are under and not get unduly frustrated :-). It’s a fine balancing act but being constructive is probably the only way to keep sane !

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  GraHal

  

  manel

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  03/18/2018 at 8:39 AM #65556
  DEIO

  hi all,

  I am happy to read your considerations about the strategy on WS.

  My basic intention anyway is to obtain a strategy that keep me out of the market during negative phase (it could seem to be a stupid idea

  but I have seen too strategies  make tons of trade which could be avoided….   🙂

  So with this strategy I  wait until the market is good to go  long… nothing else.

  I don’t like strategies with endless code  etc..)

  Moreover I have inserted in the codea  full managing of the MFE criteria (comprhending the first stop loss too).

  here the code:

  //----------------------------------------------------------------------------------------------- //----------------------------------------------------------------------------------------------- //WALL STREET // 6 MIN. DEFPARAM cumulateorders = FALSE CONDAVG = 1 AVG = Average[S](close) FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVG = 1 THEN CONDAVG = 1 ENDIF ELSE CONDAVG = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200 MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S] BASEMFI = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/F)] CONDMFIL = MFIFAST[0] CROSSES OVER MFISLOW[0] trail = ROUND(CLOSE/300) * PIPSIZE firstpriceexit = tradeprice(1) - trail trailingstop = round(trail / 3) SIZEBUY = 1 if not onmarket then MAXPRICE = 0 priceexit = 0 firststop = 0 endif IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFIL AND BASEMFI AND CONDAVG THEN BUY sizebuy SHARES AT highest[F](HIGH) STOP endif ENDIF endif if longonmarket then if firststop = 0 then priceexit = firstpriceexit firststop = 1 endif MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //GRAPH TRADEPRICE(1) if longonmarket and priceexit>0 then //graph priceexit AS "PRICEEXIT" SELL AT priceexit stop endif

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  //----------------------------------------------------------------------------------------------- //----------------------------------------------------------------------------------------------- //WALL STREET // 6 MIN.   DEFPARAM cumulateorders = FALSE CONDAVG = 1 AVG = Average[S](close)   FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVG = 1 THEN CONDAVG = 1 ENDIF ELSE CONDAVG = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200   MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S]   BASEMFI = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/F)] CONDMFIL = MFIFAST[0] CROSSES OVER MFISLOW[0] trail = ROUND(CLOSE/300) * PIPSIZE firstpriceexit = tradeprice(1) - trail trailingstop = round(trail / 3)   SIZEBUY = 1   if not onmarket then MAXPRICE = 0 priceexit = 0 firststop = 0 endif   IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFIL AND BASEMFI AND CONDAVG THEN BUY sizebuy SHARES AT highest[F](HIGH) STOP endif ENDIF endif   if longonmarket then if firststop = 0 then priceexit = firstpriceexit firststop = 1 endif MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //GRAPH TRADEPRICE(1) if longonmarket and priceexit>0 then //graph priceexit AS "PRICEEXIT" SELL AT priceexit stop endif

  EDIT: post edited – please use the ‘Insert PRT Code’ button when posting code.

  

  DEIO

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  03/18/2018 at 12:27 PM #65562
  GraHal

  Hey results look well good DEIO … good work!!!

  Might you consider a Short version?

  PS You forgot to use the Insert PRT Code button again; Nicolas was enjoying his Sunday up to this point! 🙂 🙂

  

  GraHal

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  03/19/2018 at 9:14 AM #65648
  Gertrade

  GraHal wrote:

  Might you consider a Short version?

   

  And here is the LONG / SHORT version!

  WALL STREET BUY/SELL 6 MIN

  //———————————————————————————————- //———————————————————————————————- //WALL STREET BUY/SELL v1.0 // 6 MIN. DEFPARAM cumulateorders = FALSE CONDAVGbull = 1 CONDAVGbear = 1 AVG = Average[S](close) FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVGbull = 1 THEN CONDAVGbull = 1 ENDIF ELSE CONDAVGbull = 0 ENDIF NEXT FOR C = 1 TO F IF AVG[C-1] < AVG[C] THEN IF CONDAVGbear = 1 THEN CONDAVGbear = 1 ENDIF ELSE CONDAVGbear = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200 MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S] BASEMFIbull = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/F)] CONDMFILbull = MFIFAST[0] CROSSES OVER MFISLOW[0] BASEMFIbear = MFISLOW[9] < MFISLOW[F] AND MFISLOW[7] < MFISLOW[ROUND(F/2)] AND MFISLOW[0] < MFISLOW[ROUND(F/F)] CONDMFILbear = MFIFAST[1] CROSSES UNDER MFISLOW[1] trail = ROUND(CLOSE/300) * PIPSIZE firstpriceexitbull = tradeprice(1) - trail firstpriceexitbear = tradeprice(1) + trail trailingstop = round(trail / 3) SIZEBUY = 1 SIZESELL = 1 if not onmarket then MAXPRICE = 0 MINPRICE = 0 priceexitbull = 0 priceexitbear = 0 firststopbull = 0 firststopbear = 0 endif IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFILbull AND BASEMFIbull AND CONDAVGbull THEN BUY sizebuy SHARES AT highest[F](HIGH) STOP endif ENDIF endif IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFILbear AND BASEMFIbear AND CONDAVGbear THEN SELLSHORT sizesell SHARES AT lowest[F](LOW) STOP endif ENDIF endif if longonmarket then if firststopbull = 0 then priceexitbull = firstpriceexitbull firststopbull = 1 endif MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexitbull = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif if shortonmarket then if firststopbear = 0 then priceexitbear = firstpriceexitbear firststopbear = 1 endif MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is lower than the trailingstop then priceexitbear = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //GRAPH TRADEPRICE(1) if longonmarket and priceexitbull>0 then //graph priceexit AS "PRICEEXIT" SELL AT priceexitbull stop endif if shortonmarket and priceexitbear>0 then //graph priceexit AS "PRICEEXIT" EXITSHORT AT priceexitbear stop endif

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  //———————————————————————————————- //———————————————————————————————- //WALL STREET BUY/SELL v1.0 // 6 MIN.   DEFPARAM cumulateorders = FALSE CONDAVGbull = 1 CONDAVGbear = 1 AVG = Average[S](close)   FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVGbull = 1 THEN CONDAVGbull = 1 ENDIF ELSE CONDAVGbull = 0 ENDIF NEXT FOR C = 1 TO F IF AVG[C-1] < AVG[C] THEN IF CONDAVGbear = 1 THEN CONDAVGbear = 1 ENDIF ELSE CONDAVGbear = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200   MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S]   BASEMFIbull = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/F)] CONDMFILbull = MFIFAST[0] CROSSES OVER MFISLOW[0] BASEMFIbear = MFISLOW[9] < MFISLOW[F] AND MFISLOW[7] < MFISLOW[ROUND(F/2)] AND MFISLOW[0] < MFISLOW[ROUND(F/F)] CONDMFILbear = MFIFAST[1] CROSSES UNDER MFISLOW[1]   trail = ROUND(CLOSE/300) * PIPSIZE firstpriceexitbull = tradeprice(1) - trail firstpriceexitbear = tradeprice(1) + trail trailingstop = round(trail / 3)   SIZEBUY = 1 SIZESELL = 1   if not onmarket then MAXPRICE = 0 MINPRICE = 0 priceexitbull = 0 priceexitbear = 0 firststopbull = 0 firststopbear = 0 endif   IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFILbull AND BASEMFIbull AND CONDAVGbull THEN BUY sizebuy SHARES AT highest[F](HIGH) STOP endif ENDIF endif   IF CURRENTTIME >= TIMEWORK AND TIME <= TIMESTOP THEN if not onmarket THEN IF CONDMFILbear AND BASEMFIbear AND CONDAVGbear THEN SELLSHORT sizesell SHARES AT lowest[F](LOW) STOP endif ENDIF endif   if longonmarket then if firststopbull = 0 then priceexitbull = firstpriceexitbull firststopbull = 1 endif MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexitbull = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif if shortonmarket then if firststopbear = 0 then priceexitbear = firstpriceexitbear firststopbear = 1 endif MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is lower than the trailingstop then priceexitbear = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //GRAPH TRADEPRICE(1) if longonmarket and priceexitbull>0 then //graph priceexit AS "PRICEEXIT" SELL AT priceexitbull stop endif if shortonmarket and priceexitbear>0 then //graph priceexit AS "PRICEEXIT" EXITSHORT AT priceexitbear stop endif

  Good trades!

  Gertrade

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  Gertrade

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  03/19/2018 at 10:45 AM #65652
  Jan

  Deio,

  with the code below, the CONDAVG is only set to 1 if during the complete fast average period (F) the slow average always increases, to my understanding.

  Why did you add this code ?

  CONDAVG = 1

   AVG = Average[S](close)

  FOR C = 1 TO F

  IF AVG[C–1] > AVG[C] THEN

  IF CONDAVG = 1 THEN

  CONDAVG = 1

  ENDIF

  ELSE

  CONDAVG = 0

  ENDIF

  NEXT

  

  Jan

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  03/19/2018 at 12:04 PM #65658
  GraHal

  Hey thanks Gertrade, I’ve set both DEIO Long only and your Long & Short going Live @ 0.5 Lot size on both … I’ll monitor each trade as it develops and report back.

  The Short trades do give a useful boost to profits on backtest, see attached.

  Cheers
  GraHal

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  GraHal

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  03/20/2018 at 6:18 AM #65788
  DEIO

  HI JanWd,

  I set such conditions just because I wanted that tha BASE AVG (the slow one) be always increasing in the last F periods.

  If I used the last S periods the condition would be too restrictive and trades would be very few.

  you can test it substituting in the loop … FOR C= 1 TO F  WITH   FOR C = 1 TO s

  thx

  bye

  

  DEIO

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