Modulare Algorithmus Basis

• 01/30/2022 at 9:23 PM #187093
  Stefan Sticker

  Anbei wie heute versprochen meine Programmierleistungen aus dem Zeitraum meines Testaccounts im Dezember, zwischenzeitlich lesbarer und eleganter gecoded.
  Es handelt sich im Großen und Ganzen um das Werk vieler einzelner grandioser User, deren Ideen, Snippets und Codes ich für dieses “Framework” adaptiert habe.
  Der Dank gebührt also NICHT mir.

  Der Code ist möglichst modular gehalten, so daß er auf verschiedene Märkte anpassbar sein sollte.
  Außerdem können Module ggf ergänzt, hinzugefügt oder herausgenommen werden, sollten sich die Anforderungen ändern.
  Der Schwerpunkt meiner Arbeit lag hierbei auf den Tradingzeiten und Eigenarten des DAX.

  Inspirationen für diese Arbeit waren u.a. der Pathfinder-Code, dessen Idee im Grunde großartig war, die aber überoptimiert wurde.
  Ich wollte daher einen Code erstellen, der sich selbst überwacht (Strategy-Stop-Code!!) und der in entscheidenden Punkten nach Belieben auch “abgestellt” werden kann, ohne ganz neu zu programmieren.
  Beim Stöbern durch das Forum stolperte ich über die Idee eines MA-Cluster-Filters und eines R2/S2-Filters, die ich dann ebenfalls einbaute.
  Die Idee des Robustness-Tests fand ich für Entwicklung und Test ebenfalls ganz brauchbar.
  Die Xetra-High/Low/Close-Korrektur ist tatsächlich meine eigene Idee, da die herkömmliche Berechnung via DHigh/DLow/DClose bei den Handelszeiten von IG falsche/unbrauchbare Ergebnisse liefert.
  Die Trailing-Stop-Routine habe ich für getrennte Werte für Long-, Close- und Risk-Trades geschrieben mit einem eingebauten harten Breakeven-Stop. Als Basis diente ursprünglich der berühmte newSL-Trailing-Stop-Code.
  Da mir die Ergebnisse im Vergleich zum klassischen/herkömmlichen SET STOP- Code etwas rätselhaft waren, konnte ich mich aber noch nicht wirklich entscheiden und habe beide Varianten GLEICHZEITIG im Code gelassen.
  Die ungewünschte kann dann natürlich gelöscht werden.

  Am Schluß habe ich einen kurzen (eher schlechten) Trading-Algo eingefügt, damit User direkt mit dem Code “spielen” können, um die Funktionalitäten kennenzulernen.
  Natürlich kann und soll dann jeder seinen eigenen Algorithmus dort einfügen.
  Viel Vergnügen

  Stefan

  //*************************************************************************// //Modular Algorithm Library V1.0 // //*************************************************************************// //Modules: //Market-Data-Definition+Parameter ///Monthly/Weekly/Daily-Modifiers, Xetra-HLC-Correction, Strategy-Stop-Code mit Money-Management //Moving-Average-Clustering-Filter, Robustness-Test, Stop-Loss/Trailing-Routines Long/Short/Risk //Long/Short-Support2/Resistance2-Break-Filter //Trading Code //*************************************************************************// //Parameter // //*************************************************************************// DEFPARAM PreLoadBars = 5000 DEFPARAM CumulateOrders = False DEFPARAM FlatBefore = 080000 DEFPARAM FlatAfter = 220000 ONCE TradeON = 1 ONCE ClusterSave = 1 // 0=OFF 1=ON MovingAverage-Clustering-Filter ONCE startingsize = 1 // starting position size ONCE ForbiddenLSFlag = 0 // 0=OFF 1=ON 2=Reverse S2/Short-R2/Long-Filter ONCE RobustnessTest = 0 // 0=OFF 1=ON Robustness-Test ONCE SSC = 1 // 0=OFF 1=ON Strategy-Stop-Code ONCE StartingCapital = 1000 // Startkapital ONCE Modifiers = 1 // 0=OFF 1=ON Modifikatoren auf PositionSize //*************************************************************************// //Market Data // //*************************************************************************// ONCE Opening = 080000 ONCE Closing = 220000 Tradeday = OpenDayOfWeek > 0 AND OpenDayOfWeek < 6 AND NOT ((Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31))) //Flat Failsave If ONMARKET AND (Time < Opening OR Time > Closing) THEN SELL AT Market EXITSHORT AT Market ENDIF //*************************************************************************// //Algorithm Robustness-Test // //*************************************************************************// StartDate = 20000101 // Parameter Qty = 5 // Parameter Rndom = 3 // Parameter once j = 0 once flag = 1 IF RobustnessTest = 1 THEN if flag = 1 then j = j + 1 if j > qty then flag = -1 j = j - 1 endif endif if flag = -1 then j = j - 1 if j = 0 then j = j + rndom flag = 1 endif endif if opendate >= startdate AND (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 0 endif ENDIF //*************************************************************************// //Strategy-Stop-Code, Money Management/ReInvest // //*************************************************************************// barsbeforenextcheck = 30 // number of bars between performance checks drawdownquitting = 1 // drawdown quitting on or off (on=1 off=0) winratequit = 50 // minimum win rate in % allowed before quitting (0 = off) tradesbeforewrquit = 50 // number of trades required before a win rate stop of strategy is allowed to happen increase = 0 // position size increasing on or off (on=1 off=0) decrease = 0 // position size decreasing on or off (on=1 off=0) capital = StartingCapital // starting capital startingsize = 1 // starting position size minpossize = 0.2 // minimum position size allowed gaintoinc = 5 // % profit rise needed before an increase in position size is made losstodec = 5 // % loss needed before a decrease in position size is made maxdrawdown = 30 // maximum % draw down allowed from highest ever equity before stopping strategy maxcapitaldrop = 25 // maximum % starting capital lost before stopping strategy once MMpositionsize = 1 once psperc = MMpositionsize / capital IF SSC = 1 THEN if strategyprofit <> strategyprofit[1] then highestprofit = max(strategyprofit, highestprofit) if count < tradesbeforewrquit OR winrate > winratequit/100 then count = count + 1 if strategyprofit > strategyprofit[1] then win = win + 1 endif ENDIF winrate = win/count ENDIF if count >= tradesbeforewrquit AND winrate < winratequit/100 then quit endif if barindex mod barsbeforenextcheck = 0 AND drawdownquitting AND highestprofit <> 0 then if (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) then quit endif endif if count >= tradesbeforewrquit AND highestprofit = 0 then if (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) then quit endif ENDIF equity = capital + strategyprofit if increase then if equity/lastequity >= (1+(gaintoinc/100)) then MMpositionsize = (max(minpossize,equity*psperc)) lastequity = equity endif ENDIF if decrease then if equity/lastequity <= (1-(losstodec/100)) then MMpositionsize = (max(minpossize,equity*psperc)) lastequity = equity endif ENDIF ENDIF //*******************************************************************************************// //Position Size,Monthly,Weekly,Daily,Intra,Trend,Reversal Modifiers (optional) // //*******************************************************************************************// //Berechnung am Schluss löschen ( auf 1 setzen) für Löschen des Modifikators ONCE DaySLFlag = 0 ONCE PSizeL = startingsize ONCE PSizeS = startingsize ONCE MonthSizeL = 0 ONCE MonthSizeS = 0 ONCE WeekSizeL = 0 ONCE WeekSizeS = 0 ONCE DaySizeL = 0 ONCE DaySizeS = 0 ONCE Monatsanfang = 0 ONCE Monatsende = 0 ONCE IntraSizeL = 0 ONCE IntraSizeS = 0 IF Modifiers = 1 THEN IF CurrentMonth = 1 OR CurrentMonth = 2 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 3 OR CurrentMonth = 4 THEN MonthSizeS = 0 PMonthSizeL = 0.25 ELSIF CurrentMonth = 5 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth = 6 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 7 THEN MonthSizeS = 0 MonthSizeL = 0.25 ELSIF CurrentMonth = 8 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth >= 9 AND CurrentMonth <= 10 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THEN MonthSizeS = 0 MonthSizeL = 0.5 ENDIF //Datumsliste jährlich anpassen und ggf erweitern! IF Time = Opening THEN If (OpenDay >= 03012021 AND Openday <= 07012021) OR (OpenDay >= 03012022 AND Openday <= 07012022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01022021 AND Openday <= 05022021) OR (OpenDay >= 01022022 AND Openday <= 04022022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01032021 AND Openday <= 05032021) OR (OpenDay >= 01032022 AND Openday <= 04032022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01042021 AND Openday <= 05042021) OR (OpenDay >= 01042022 AND Openday <= 08042022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01102021 AND Openday <= 05102021) OR (OpenDay >= 01102022 AND Openday <= 07102022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01112021 AND Openday <= 05112021) OR (OpenDay >= 01112022 AND Openday <= 04112022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01122021 AND Openday <= 05122021) OR (OpenDay >= 01122022 AND Openday <= 05122022) THEN Monatsanfang = 1 ENDIF ELSIF Time = Closing THEN Monatsanfang = 0 Monatsende = 0 ENDIF If Monatsanfang = 1 THEN WeekSizeL = 0.25 ENDIF If Monatsende = 1 THEN WeekSizeS = 0.25 ENDIF IF OpenDayofWeek = 1 THEN DaySizeL = 0.25 DaySizeS = 0 ELSIF OpenDayofWeek = 5 Then DaySizeL = 0 DaySizeS = 0.25 ELSIF OpenDayofWeek <1 OR (OpenDayofWeek >= 2 AND OpenDayOfWeek <= 4) OR OpenDayofWeek = 6 THEN DaySizeL = 0 DaySizeS = 0 ENDIF IF Close < DLow(1) AND DaySLFlag = 1 THEN IntraSizeL = 0.25 IntraSizeS = 0 ELSIF Close > DHigh(1) AND DaySLFlag = 1 THEN IntraSizeL = 0 IntraSizeS = 0.25 ELSIF DaySLFlag = 0 THEN IntraSizeL = 0 IntraSizeS = 0 ENDIF IF Time >= Opening AND Time <= Closing THEN IF Close > ResR2 THEN IDReversalL = 0.25 ELSIF Close > ResR3 THEN IDReversalL = 0.5 ELSIF Close < SupS2 THEN IDReversalS = 0.25 ELSIF Close > SupS3 THEN IDReversalS = 0.5 ELSIF Close < ResR2 AND Close > SupS2 THEN IDReversalL = 0 IDReversalS = 0 ENDIF ENDIF IF Time = Closing THEN TrendUp = 0 TrendDown = 0 ENDIF IF Time = Opening THEN IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN TrendUp = 0.25 TrendDown = 0 ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN TrendUp = 0 TrendDown = 0.25 ENDIF ENDIF //Einzelne Komponenten können nach belieben hier gelöscht werden, um die Modifikationen an eigene Vorstellungen anzupassen PositionSizeLong = (PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL)*MMpositionsize PositionSizeShort = (PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS)*MMpositionsize ELSIF Modifiers = 0 THEN PositionSizeLong = PSizeL*MMpositionsize PositionSizeShort = PSizeS*MMpositionsize ENDIF //*************************************************************************// //Xetra-Korrektur High Low Close, Pivot, Resistance, Support // //*************************************************************************// if Time = Closing AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 then DayClose = Close DayHigh = Highest[840](close[1]) DayLow = Lowest[840](close[1]) ENDIF Pivot= (DayHigh + DayLow + DayClose) / 3 ResR1 = Pivot + (Pivot - DayLow) ResR2 = Pivot + (Dayhigh - Daylow) ResR3 = Dayhigh + (2 * (Pivot - Daylow)) SupS1 = Pivot - (Dayhigh - Pivot) SupS2 = Pivot - (Dayhigh - Daylow) SupS3 = Daylow - (2 * (Dayhigh - Pivot)) //*************************************************************************// //Moving-Average-Clustering-FilterCode (optional) // //*************************************************************************// x = 10*pipsize //10-pip range ma5 = average[5,0](close) ma50 = average[50,0](close) ma100 = average[100,0](close) ma200 = average[200,0](close) MaxMA = max(ma5,max(ma50,max(ma100,ma200))) MinMA = min(ma5,min(ma50,min(ma100,ma200))) IF ClusterSave = 1 THEN IF (MaxMA - MinMA) <= x THEN Tradeon = 0 ELSIF (MaxMA - MinMA) > x THEN IF RobustnessTest = 0 THEN Tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) THEN Tradeon = 0 ENDIF ENDIF ENDIF //*************************************************************************// //R2-Long/S2-Short Filter (optional) // //*************************************************************************// IF ForbiddenLSFlag = 1 THEN ForbiddenLong = Close < SupS2 ForbiddenShort = Close > ResR2 ELSIF ForbiddenLSFlag = 2 THEN ForbiddenLong = Close > ResR2 ForbiddenShort = Close < SupS2 ELSIF ForbiddenLSFlag = 0 THEN ForbiddenLong = 0 ForbiddenShort = 0 ENDIF //*************************************************************************// //trailing stop function Risk, Long, Short // //*************************************************************************// //wenn gewünscht die Parameter ändern oder die SET STOP-CODES löschen trailingstartL = 35 //LONG trailing will start @trailinstart points profit trailingstartS = 35 //SHORT trailing will start @trailinstart points profit trailingL = 25 //trailing step to move the "stoploss" trailingS= 25 //trailing step to move the "stoploss" trailingR= 15 //trailing start+step to move the "stoploss" for risky positions SaveDistanceL = 10 //Minimum Stop-Abstand 10 lt IG SaveDistanceS = 10 //Minimum Stop-Abstand 10 lt IG SaveDistanceR = 10 //Minimum Stop-Abstand 10 lt IG MinimumPlus = 3 //Anzahl Pips zum Breakeven inkl. Spread+Gebühren //reset the stoploss value IF NOT ONMARKET THEN TrailingFlag = 0 NewSL = 0 ENDIF //************************// //manage long positions // //***********************// IF LOngONMarket AND TrailingFlag = 0 THEN newSL = tradeprice(1)-(trailingstartL*pipsize) SET STOP pTrailing trailingstartL ENDIF //breakeven IF (close-tradeprice(1)) >= ((MinimumPlus+SaveDistanceL)*pipsize) AND TrailingFlag = 0 THEN TrailingFlag = 1 newSL = tradeprice(1)+(MinimumPlus*pipsize) SET STOP pLOSS SaveDistanceL ENDIF IF (close-newSL) >= ((trailingL)*pipsize) AND TrailingFlag = 1 THEN newSL = close-(trailingL*pipsize) SET STOP pTrailing trailingL ENDIF IF LongOnMarket AND TrailingFlag = 2 THEN newSL = tradeprice(1)-(trailingR*pipsize) SET STOP pTrailing trailingR //breakeven IF (close-tradeprice(1)) >= ((MinimumPlus+SaveDistanceR)*pipsize) THEN newSL = tradeprice(1)+(MinimumPlus*pipsize) TrailingFlag = 3 SET STOP pLOSS SaveDistanceR ENDIF IF (close-newSL) >= (trailingR*pipsize) AND TrailingFlag = 3 THEN newSL = close-(trailingR*pipsize) SET STOP pTrailing trailingR ENDIF ENDIF //************************// //manage Short positions // //************************// IF ShortONMarket AND TrailingFlag = 0 THEN newSL = tradeprice(1)+(trailingstartS*pipsize) SET STOP pTrailing trailingstartS ENDIF //breakeven IF (tradeprice(1)-close) >= ((MinimumPlus+SaveDistanceS)*pipsize) AND TrailingFlag = 0 THEN TrailingFlag = 1 newSL = tradeprice(1)-(MinimumPlus*pipsize) SET STOP pLOSS SaveDistanceS ENDIF IF (newSL-close) >= (trailingS*pipsize) AND TrailingFlag = 1 THEN newSL = close+(trailingS*pipsize) SET STOP pTrailing trailingS ENDIF IF ShortOnMarket AND TrailingFlag = 2 THEN newSL = tradeprice(1)+(trailingR*pipsize) SET STOP pTrailing trailingR ENDIF //breakeven IF (tradeprice(1)-close) >= ((MinimumPlus+SaveDistanceR)*pipsize) THEN newSL = tradeprice(1)-(MinimumPlus*pipsize) TrailingFlag = 3 SET STOP pLOSS SaveDistanceR ENDIF IF (newSL-close) >= (trailingR*pipsize) AND TrailingFlag = 3 THEN newSL = close+(trailingR*pipsize) SET STOP pTrailing trailingR ENDIF //stop order to exit the positions IF LONGOnMarket AND newSL > 0 AND Close <= newSL THEN SELL AT MARKET ELSIF ShortOnMarket AND newSL > 0 AND Close >= newSL THEN EXITSHORT AT MARKET ENDIF //*************************************************************************// //Tagesschlussrally // //*************************************************************************// If Time > 160000 AND Time < 173000 AND TradeDay AND TRADEON THEN IF NOT OnMarket AND NOT ForbiddenLong AND Close > Highest[3](close[1]) AND Close > Close[1] AND Aroonup crosses over aroondown AND RSI > 60 AND MACD > 0 AND Close > Pivot THEN TrailingFlag = 0 Buy PositionSizeLong Contracts at Market ENDIF ENDIF

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  //*************************************************************************// //Modular Algorithm Library V1.0                                           // //*************************************************************************// //Modules: //Market-Data-Definition+Parameter ///Monthly/Weekly/Daily-Modifiers, Xetra-HLC-Correction, Strategy-Stop-Code mit Money-Management //Moving-Average-Clustering-Filter, Robustness-Test, Stop-Loss/Trailing-Routines Long/Short/Risk //Long/Short-Support2/Resistance2-Break-Filter //Trading Code   //*************************************************************************// //Parameter                                                                // //*************************************************************************// DEFPARAM PreLoadBars =  5000 DEFPARAM CumulateOrders = False DEFPARAM FlatBefore = 080000 DEFPARAM FlatAfter = 220000 ONCE TradeON = 1   ONCE ClusterSave = 1                                         // 0=OFF 1=ON                  MovingAverage-Clustering-Filter ONCE startingsize = 1                                        //                             starting position size ONCE ForbiddenLSFlag = 0                                     // 0=OFF 1=ON 2=Reverse        S2/Short-R2/Long-Filter ONCE RobustnessTest = 0                                      // 0=OFF 1=ON                  Robustness-Test ONCE SSC = 1                                                 // 0=OFF 1=ON                  Strategy-Stop-Code ONCE StartingCapital = 1000                                  //                             Startkapital ONCE Modifiers = 1                                           // 0=OFF 1=ON                  Modifikatoren auf PositionSize   //*************************************************************************// //Market Data                                                              // //*************************************************************************// ONCE Opening = 080000 ONCE Closing = 220000   Tradeday = OpenDayOfWeek > 0 AND OpenDayOfWeek < 6 AND NOT ((Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31))) //Flat Failsave If ONMARKET AND (Time < Opening OR Time > Closing) THEN SELL AT Market EXITSHORT AT Market ENDIF //*************************************************************************// //Algorithm Robustness-Test                                                // //*************************************************************************// StartDate = 20000101  // Parameter Qty = 5   // Parameter Rndom = 3  // Parameter once j = 0 once flag = 1   IF RobustnessTest = 1 THEN if flag = 1 then j = j + 1 if j > qty then flag = -1 j = j - 1 endif endif if flag = -1 then j = j - 1 if j = 0 then j = j + rndom flag = 1 endif endif if opendate >= startdate AND (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 0 endif ENDIF   //*************************************************************************// //Strategy-Stop-Code, Money Management/ReInvest                            // //*************************************************************************// barsbeforenextcheck = 30  // number of bars between performance checks drawdownquitting = 1      // drawdown quitting on or off (on=1 off=0) winratequit = 50          // minimum win rate in % allowed before quitting (0 = off) tradesbeforewrquit = 50   // number of trades required before a win rate stop of strategy is allowed to happen increase = 0              // position size increasing on or off (on=1 off=0) decrease = 0              // position size decreasing on or off (on=1 off=0) capital = StartingCapital // starting capital startingsize = 1           // starting position size minpossize = 0.2          // minimum position size allowed gaintoinc = 5             // % profit rise needed before an increase in position size is made losstodec = 5             // % loss needed before a decrease in position size is made maxdrawdown = 30          // maximum % draw down allowed from highest ever equity before stopping strategy maxcapitaldrop = 25       // maximum % starting capital lost before stopping strategy once MMpositionsize = 1 once psperc = MMpositionsize / capital   IF SSC = 1 THEN if strategyprofit <> strategyprofit[1] then highestprofit = max(strategyprofit, highestprofit) if count < tradesbeforewrquit OR winrate > winratequit/100 then count = count + 1 if strategyprofit > strategyprofit[1] then win = win + 1 endif ENDIF winrate = win/count ENDIF if count >= tradesbeforewrquit AND winrate < winratequit/100 then quit endif if barindex mod barsbeforenextcheck = 0 AND drawdownquitting AND highestprofit <> 0 then if (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) then quit endif endif if count >= tradesbeforewrquit AND highestprofit = 0 then if (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) then quit endif ENDIF equity = capital + strategyprofit if increase then if equity/lastequity >= (1+(gaintoinc/100)) then MMpositionsize = (max(minpossize,equity*psperc)) lastequity = equity endif ENDIF if decrease then if equity/lastequity <= (1-(losstodec/100)) then MMpositionsize = (max(minpossize,equity*psperc)) lastequity = equity endif ENDIF ENDIF   //*******************************************************************************************// //Position Size,Monthly,Weekly,Daily,Intra,Trend,Reversal Modifiers (optional)               // //*******************************************************************************************// //Berechnung am Schluss löschen ( auf 1 setzen) für Löschen des Modifikators ONCE DaySLFlag = 0 ONCE PSizeL = startingsize ONCE PSizeS = startingsize ONCE MonthSizeL = 0 ONCE MonthSizeS = 0 ONCE WeekSizeL = 0 ONCE WeekSizeS = 0 ONCE DaySizeL = 0 ONCE DaySizeS = 0 ONCE Monatsanfang = 0 ONCE Monatsende = 0 ONCE IntraSizeL = 0 ONCE IntraSizeS = 0   IF Modifiers = 1 THEN IF CurrentMonth = 1 OR CurrentMonth = 2 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 3 OR CurrentMonth = 4 THEN MonthSizeS = 0 PMonthSizeL = 0.25 ELSIF CurrentMonth = 5 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth =  6 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 7 THEN MonthSizeS = 0 MonthSizeL = 0.25 ELSIF CurrentMonth = 8 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth >= 9 AND CurrentMonth <= 10 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THEN MonthSizeS = 0 MonthSizeL = 0.5 ENDIF   //Datumsliste jährlich anpassen und ggf erweitern! IF Time = Opening THEN If (OpenDay >= 03012021 AND Openday <= 07012021) OR (OpenDay >= 03012022 AND Openday <= 07012022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01022021 AND Openday <= 05022021) OR (OpenDay >= 01022022 AND Openday <= 04022022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01032021 AND Openday <= 05032021) OR (OpenDay >= 01032022 AND Openday <= 04032022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01042021 AND Openday <= 05042021) OR (OpenDay >= 01042022 AND Openday <= 08042022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01102021 AND Openday <= 05102021) OR (OpenDay >= 01102022 AND Openday <= 07102022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01112021 AND Openday <= 05112021) OR (OpenDay >= 01112022 AND Openday <= 04112022) THEN Monatsanfang = 1 ELSIF (OpenDay >= 01122021 AND Openday <= 05122021) OR (OpenDay >= 01122022 AND Openday <= 05122022) THEN Monatsanfang = 1 ENDIF ELSIF Time = Closing THEN Monatsanfang = 0 Monatsende = 0 ENDIF   If Monatsanfang = 1 THEN WeekSizeL = 0.25 ENDIF If Monatsende = 1 THEN WeekSizeS = 0.25 ENDIF   IF OpenDayofWeek = 1 THEN DaySizeL = 0.25 DaySizeS = 0 ELSIF OpenDayofWeek = 5 Then DaySizeL = 0 DaySizeS = 0.25 ELSIF OpenDayofWeek <1 OR (OpenDayofWeek >= 2 AND OpenDayOfWeek <= 4) OR OpenDayofWeek = 6 THEN DaySizeL = 0 DaySizeS = 0 ENDIF   IF Close < DLow(1) AND DaySLFlag = 1 THEN IntraSizeL = 0.25 IntraSizeS = 0 ELSIF Close > DHigh(1) AND DaySLFlag = 1 THEN IntraSizeL = 0 IntraSizeS = 0.25 ELSIF DaySLFlag = 0 THEN IntraSizeL = 0 IntraSizeS = 0 ENDIF   IF Time >= Opening AND Time <= Closing THEN IF Close > ResR2 THEN IDReversalL = 0.25 ELSIF Close > ResR3 THEN IDReversalL = 0.5 ELSIF Close < SupS2 THEN IDReversalS = 0.25 ELSIF Close > SupS3 THEN IDReversalS = 0.5 ELSIF Close < ResR2 AND Close > SupS2 THEN IDReversalL = 0 IDReversalS = 0 ENDIF ENDIF   IF Time = Closing THEN TrendUp = 0 TrendDown = 0 ENDIF IF Time = Opening THEN IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN TrendUp = 0.25 TrendDown = 0 ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN TrendUp = 0 TrendDown = 0.25 ENDIF ENDIF //Einzelne Komponenten können nach belieben hier gelöscht werden, um die Modifikationen an eigene Vorstellungen anzupassen PositionSizeLong = (PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL)*MMpositionsize PositionSizeShort = (PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS)*MMpositionsize ELSIF Modifiers = 0 THEN PositionSizeLong = PSizeL*MMpositionsize PositionSizeShort = PSizeS*MMpositionsize ENDIF   //*************************************************************************// //Xetra-Korrektur High Low Close, Pivot, Resistance, Support               // //*************************************************************************// if Time = Closing AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 then DayClose = Close DayHigh = Highest[840](close[1]) DayLow = Lowest[840](close[1]) ENDIF   Pivot= (DayHigh + DayLow + DayClose) / 3 ResR1 = Pivot + (Pivot - DayLow) ResR2 = Pivot + (Dayhigh - Daylow) ResR3 = Dayhigh + (2 * (Pivot - Daylow)) SupS1 = Pivot - (Dayhigh - Pivot) SupS2 = Pivot - (Dayhigh - Daylow) SupS3 = Daylow - (2 * (Dayhigh - Pivot))   //*************************************************************************// //Moving-Average-Clustering-FilterCode (optional)                          // //*************************************************************************// x     = 10*pipsize             //10-pip range ma5   = average[5,0](close) ma50  = average[50,0](close) ma100 = average[100,0](close) ma200 = average[200,0](close) MaxMA = max(ma5,max(ma50,max(ma100,ma200))) MinMA = min(ma5,min(ma50,min(ma100,ma200)))   IF ClusterSave = 1 THEN IF (MaxMA - MinMA) <= x THEN Tradeon = 0 ELSIF (MaxMA - MinMA) > x THEN IF RobustnessTest = 0 THEN Tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) THEN Tradeon = 0 ENDIF ENDIF ENDIF   //*************************************************************************// //R2-Long/S2-Short Filter (optional)                                       // //*************************************************************************// IF ForbiddenLSFlag = 1 THEN ForbiddenLong = Close < SupS2 ForbiddenShort = Close > ResR2 ELSIF ForbiddenLSFlag = 2 THEN ForbiddenLong = Close > ResR2 ForbiddenShort = Close < SupS2 ELSIF ForbiddenLSFlag = 0 THEN ForbiddenLong = 0 ForbiddenShort = 0 ENDIF   //*************************************************************************// //trailing stop function      Risk, Long, Short                            // //*************************************************************************// //wenn gewünscht die Parameter ändern oder die SET STOP-CODES löschen trailingstartL = 35     //LONG  trailing will start @trailinstart points profit trailingstartS = 35      //SHORT trailing will start @trailinstart points profit trailingL = 25           //trailing step to move the "stoploss" trailingS= 25           //trailing step to move the "stoploss" trailingR= 15           //trailing start+step to move the "stoploss" for risky positions SaveDistanceL = 10      //Minimum Stop-Abstand 10 lt IG SaveDistanceS = 10    //Minimum Stop-Abstand 10 lt IG SaveDistanceR = 10     //Minimum Stop-Abstand 10 lt IG MinimumPlus = 3       //Anzahl Pips zum Breakeven inkl. Spread+Gebühren   //reset the stoploss value IF NOT ONMARKET THEN TrailingFlag = 0 NewSL = 0 ENDIF   //************************// //manage long positions   // //***********************// IF LOngONMarket AND TrailingFlag = 0 THEN newSL = tradeprice(1)-(trailingstartL*pipsize) SET STOP pTrailing trailingstartL ENDIF //breakeven IF (close-tradeprice(1)) >= ((MinimumPlus+SaveDistanceL)*pipsize) AND TrailingFlag = 0 THEN TrailingFlag = 1 newSL = tradeprice(1)+(MinimumPlus*pipsize) SET STOP pLOSS SaveDistanceL ENDIF IF (close-newSL) >= ((trailingL)*pipsize) AND TrailingFlag = 1 THEN newSL = close-(trailingL*pipsize) SET STOP pTrailing trailingL ENDIF   IF LongOnMarket AND TrailingFlag = 2 THEN newSL = tradeprice(1)-(trailingR*pipsize) SET STOP pTrailing trailingR //breakeven IF (close-tradeprice(1)) >= ((MinimumPlus+SaveDistanceR)*pipsize) THEN newSL = tradeprice(1)+(MinimumPlus*pipsize) TrailingFlag = 3 SET STOP pLOSS SaveDistanceR ENDIF IF (close-newSL) >= (trailingR*pipsize) AND TrailingFlag = 3 THEN newSL = close-(trailingR*pipsize) SET STOP pTrailing trailingR ENDIF ENDIF //************************// //manage Short positions  // //************************// IF ShortONMarket AND TrailingFlag = 0 THEN newSL = tradeprice(1)+(trailingstartS*pipsize) SET STOP pTrailing trailingstartS ENDIF //breakeven IF (tradeprice(1)-close) >= ((MinimumPlus+SaveDistanceS)*pipsize) AND TrailingFlag = 0 THEN TrailingFlag = 1 newSL = tradeprice(1)-(MinimumPlus*pipsize) SET STOP pLOSS SaveDistanceS ENDIF IF (newSL-close) >= (trailingS*pipsize) AND TrailingFlag = 1 THEN newSL = close+(trailingS*pipsize) SET STOP pTrailing trailingS ENDIF   IF ShortOnMarket AND TrailingFlag = 2 THEN newSL = tradeprice(1)+(trailingR*pipsize) SET STOP pTrailing trailingR ENDIF //breakeven IF (tradeprice(1)-close) >= ((MinimumPlus+SaveDistanceR)*pipsize) THEN newSL = tradeprice(1)-(MinimumPlus*pipsize) TrailingFlag = 3 SET STOP pLOSS SaveDistanceR ENDIF IF (newSL-close) >= (trailingR*pipsize) AND TrailingFlag = 3 THEN newSL = close+(trailingR*pipsize) SET STOP pTrailing trailingR ENDIF   //stop order to exit the positions IF LONGOnMarket AND newSL > 0 AND Close <= newSL THEN SELL AT MARKET ELSIF ShortOnMarket AND newSL > 0 AND Close >= newSL THEN EXITSHORT AT MARKET ENDIF   //*************************************************************************// //Tagesschlussrally                                                        // //*************************************************************************// If Time > 160000 AND Time < 173000 AND TradeDay AND TRADEON THEN IF NOT OnMarket AND NOT ForbiddenLong AND Close > Highest[3](close[1]) AND Close > Close[1] AND Aroonup crosses over aroondown AND RSI > 60 AND MACD > 0 AND Close > Pivot THEN TrailingFlag = 0 Buy PositionSizeLong Contracts at Market ENDIF ENDIF

  2 users thanked author for this post.

  GraHal, robertogozzi

  

  Stefan Sticker

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  01/30/2022 at 9:55 PM #187098
  Stefan Sticker

  Addendum: Basis TimeFrame ist 1 Minute.
  Änderung für Anpassung an andere Timeframes:
  Einfügen in Zeile 33:
  ONCE TF = 1 // TimeFrame in Minuten

  Ändern in Zeilen 268+269:
  DayHigh = Highest[(840/TF)](close[1])
  DayLow = Lowest[(840/TF)](close[1])

  

  Stefan Sticker

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  Been thanked: 22 times
  01/31/2022 at 6:12 AM #187104
  Stefan Sticker

  Addendum 2:
  HexenSabbat-Filter.

  in Parameter einfügen:
  ONCE HexSabFilter = 1 // 0=OFF 1=ON HexenSabbatFilter

  Neues Modul:
  //*************************************************************************//
  //HexenSabbat-Filter //
  //*************************************************************************//
  //Datumsliste ggf jährlich anpassen
  IF HexSabFilter = 1 THEN
  IF Date = (19032021 OR 18062021 OR 17092021 OR 17122021 OR 18032022 OR 17062022 OR 16092022 OR 16122022) THEN
  Tradeon = 0
  ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN
  TradeON = 1
  ENDIF
  ENDIF

  

  Stefan Sticker

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  Topics: 4

  Replies: 33

  Been thanked: 22 times
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