Migliorare una strategia con trades simulati

• 01/06/2023 at 8:39 AM #206862
  Simon

  Buongiorno Roberto,

  ho trovato questo codice di Nicolas che trovo molto interessante ma gestisce solo le posizioni long

  Non riesco ad aggiungere il lato short, potresti cortesemente aggiungere tu la gestione dei segnali short in modo che vengano calcolati nella simulazione?

  Il segnale short potrebbe essere la stessa media usata per il long con incrocio al ribasso.

  Grazie

  Link al post originale:

  https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

   

  How to improve a strategy with simulated trades

  defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy else plotLong = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation

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  defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then   buy at market   ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then   openprice=close //fake order open price   longontrading=1 //we are now on market   //reset MFE & MAE values   mfe=0   mae=0   //fake orders count   fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit   orderPNL=((openprice+takeprofit*pointsize)/openprice)-1   longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss   orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1)   longontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) )  and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1]) then //if it was a real order   orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do   if strategyPNL[i]<>lastPNL then   lastPNL=strategyPNL[i]   count=count+1   sum=sum+strategyPNL[i]    if count=equityCurvePeriod+1 then     sum=sum-last     last=strategyPNL[i]     break     //    endif   endif next if last<>last[1] then   avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then   realtrading=1 //activate real trading if the PnL is superior to its average else   realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then   realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy else plotLong = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation

   

  

  Simon

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  01/07/2023 at 11:49 AM #206986
  Simon

  Scusa Roberto, non avevo letto tutto il post precedente.  La mia domanda è simile ad una già fatta, non intendevo duplicare il post.

  

  Simon

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  01/29/2023 at 1:10 PM #208642
  robertogozzi

  Mi scuso per il notevole ritardo 😔, ma non sono riuscito a esaminare il codice. Sarò impegnato nelle prossime 3 settimane, ma subito dopo lo farò.

   

  

  robertogozzi

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  01/29/2023 at 9:12 PM #208701
  Simon

  Non importa, grazie, gentilissimo.

  

  Simon

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  02/17/2023 at 4:30 PM #209852
  robertogozzi

  Finalmente sono riuscito a fare la modifica.

  Provalo e fammi sapere.

  // Simulated Tradesx // // https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/ // defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 shortsignal = average[7] crosses under average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later elsif not shortonmarket and shortsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market shortontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 elsif not shortontrading and shortsignal then openprice=close //fake order open price shortontrading=1 //we are now on market longontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1] and not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy plotShort = 0 else plotShort = 0.01 //this value might be changed, depending of the strategy plotLong = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(0,155,0) //plot the fake orders activation

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  // Simulated Tradesx // // https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/ // defparam cumulateorders=false   // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio   // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true)   //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 shortsignal = average[7] crosses under average[21]//rsi[2] crosses over 30   if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later elsif not shortonmarket and shortsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market shortontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 elsif not shortontrading and shortsignal then openprice=close //fake order open price shortontrading=1 //we are now on market longontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif   //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif   //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) )  and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex   if(not longontrading[1] and not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif   strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL   //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1   sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif   //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy plotShort = 0 else plotShort = 0.01 //this value might be changed, depending of the strategy plotLong = 0 endif //   //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(0,155,0) //plot the fake orders activation

   

  

  robertogozzi

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  02/19/2023 at 9:22 AM #209937
  Simon

  Grazie Mille Roberto!

  Sto testando il codice, mi sembra che funzioni correttamente.

  Sarebbe possibile aggiungere una  condizione di uscita per lato long e short e inserire il codice di trailing stop?

  Grazie ancora per il prezioso aiuto e il tuo tempo.

   

  

  Simon

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  02/19/2023 at 9:28 AM #209938
  Simon

  Come trailing stop, mi riferisco alla tua funzione:

  Trailing stop function

  //trailing stop function IF NOT ONMARKET THEN TrailingStart = sp //20 trailing will start @trailinstart points profit TrailingStep = ts //5 trailing step to move the "stoploss" Distance = pk //7 pips Distance from caurrent price (if required by the broker) PointsToKeep = 1 //1 pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND high-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-low>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF ENDIF //***************************************

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  //trailing stop function IF NOT ONMARKET THEN TrailingStart = sp  //20 trailing will start @trailinstart points profit TrailingStep  = ts   //5  trailing step to move the "stoploss" Distance      = pk   //7  pips Distance from caurrent price (if required by the broker) PointsToKeep  = 1   //1  pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN                                 //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND high-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-low>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF ENDIF //***************************************

  

  Simon

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  02/23/2023 at 3:43 PM #210286
  robertogozzi

  Le condizioni di uscita cis sono già, lo Stop Loss, il Take Profit e lo Stop & Reverse, oltre al trailing stop. Non ho idea a quali condizioni ti riferisci.

  Per il trailing stop basta aggiungere, alla fine (prima di GRAPH), le righe che hai postato. Questo è il codice completo:

  // Simulated Tradesx // // https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/ // defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 shortsignal = average[7] crosses under average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later elsif not shortonmarket and shortsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market shortontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 elsif not shortontrading and shortsignal then openprice=close //fake order open price shortontrading=1 //we are now on market longontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1] and not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy plotShort = 0 else plotShort = 0.01 //this value might be changed, depending of the strategy plotLong = 0 endif // //****************************************************************************** //trailing stop function IF NOT ONMARKET THEN TrailingStart = 20//sp //20 trailing will start @trailinstart points profit TrailingStep = 5 //ts //5 trailing step to move the "stoploss" Distance = 7 //pk //7 pips Distance from caurrent price (if required by the broker) PointsToKeep = 1 //1 pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND high-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-low>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF ENDIF //****************************************************************************** //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(0,155,0) //plot the fake orders activation

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  // Simulated Tradesx // // https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/ // defparam cumulateorders=false   // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio   // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true)   //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 shortsignal = average[7] crosses under average[21]//rsi[2] crosses over 30   if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later elsif not shortonmarket and shortsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market shortontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 elsif not shortontrading and shortsignal then openprice=close //fake order open price shortontrading=1 //we are now on market longontrading=0 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif   //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(openprice-low,mfe) //compute the MaxFavorableExcursion mae = min(openprice-high,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif   //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) )  and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex   if(not longontrading[1] and not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif   strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL   //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1   sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif   //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy plotShort = 0 else plotShort = 0.01 //this value might be changed, depending of the strategy plotLong = 0 endif // //****************************************************************************** //trailing stop function IF NOT ONMARKET THEN TrailingStart = 20//sp  //20 trailing will start @trailinstart points profit TrailingStep  = 5 //ts   //5  trailing step to move the "stoploss" Distance      = 7 //pk   //7  pips Distance from caurrent price (if required by the broker) PointsToKeep  = 1 //1  pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN                                 //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND high-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-low>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF ENDIF //******************************************************************************   //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(0,155,0) //plot the fake orders activation

   

  

  robertogozzi

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  02/23/2023 at 4:05 PM #210290
  Simon

  Buongiorno Roberto,

  innanzitutto grazie,

  come condizioni di uscita intendevo due aree dove inserire condizioni per   exitlong e exitshort  che se si verificano, escono dal mercato (oltre allo stoploss e stop profit) es. una condizione di ipervenduto / ipercomprato o altro

  Domanda, il codice di trailing stop che hai  inserito in fondo quindi funziona anche negli ordini simulati? Cioè replica le stesse uscite anche quando il ts stà simulando gli ordini?

  Grazie ancora

   

  

  Simon

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  02/23/2023 at 4:24 PM #210299
  robertogozzi

  No, funziona solo con le operazioni reali.

  Per adattarlo anche agli ordini simulati occorre entrare bene nalla logica della simulazione e richiede del tempo.

  Posso fartelo, ma… non troppo velocemente!

   

  

  robertogozzi

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  02/23/2023 at 5:13 PM #210313
  Simon

  Grazie Roberto,

  te ne sarei grato, prenditi il tempo necessario, aspetto.

  Buona giornata

   

  

  Simon

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