Momentum strategy by Kathy Lien

• 08/09/2021 at 7:50 AM #174956
  phanz

  Hi all,  I am sure some of you might heard of the folks from BK Forex Kathy Lien.  In her book “High Probability Trading Setups for the Currency Market” there is this interesting short-term momentum strategy which is as follow:

  Rules for Five-Minute momentum Trade (using EMA20 and MACD(12,26,9)

  Long Trade
  1) Look for currency pair to be trading below the 20-period EMA and MACD to be negative
  2) Wait for price to cross above the 20-period EMA, make sure that MACD is either in the process of crossing from negative to positive or have crossed into positive territory no longer than 5 bars ago
  3) Go long 10 pips above the 20-period EMA
  4) Place stop 20 pips below 20-period EMA

  5) Sell half of position at entry plus amount risked, move stop on second half to breakeven
  6) Trail stop by higher of breakeven or 20-period EMA minus 15 pips

  It looks simple but I got lost on step 3 as the strategy requires long entry as soon as the price cross above the EMA by 10 pips without waiting for the candle to finish forming.  If anyone able to code this, will appreciate if you can share the codes here.  Thank you and have a great day ahead.

   

   

   

  

  phanz

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  08/09/2021 at 9:07 AM #174957
  robertogozzi

  You have to resort to a very low TF (even 1 sec) to check the crossing and use the setup TF with default, instead of UpdateOnClose.

   

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  phanz

  

  robertogozzi

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  08/09/2021 at 9:21 AM #174958
  Eric

  x1 = ExponentialAverage[20](close)+10*pipsize BUY 1 CONTRACT AT x1 STOP

  1 2 3

  x1 = ExponentialAverage[20](close)+10*pipsize   BUY 1 CONTRACT AT x1 STOP

   

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  phanz

  

  Eric

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  08/23/2021 at 7:07 PM #176022
  Jackalgo

  Hi PRT Community,

  Can anyone share the codes of this strategy please?  Thank you all.

  

  Jackalgo

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  08/23/2021 at 8:41 PM #176029
  phanz

  Hi sorry I did not manage to code this.  Its a bit too challenging for me for now.  Maybe the expert member of the community can give a helping hand?  Thank you and good luck.

  

  phanz

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  08/24/2021 at 2:48 PM #176092
  Jackalgo

  Hello Roberto / Nicolas,

  If you can help to code this strategy I will be very grateful.  Thank you and looking forward to hearing from you soon.

  

  Jackalgo

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  08/24/2021 at 3:37 PM #176103
  robertogozzi

  I’ll make it asap.

   

  

  robertogozzi

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  08/24/2021 at 4:41 PM #176115
  robertogozzi

  What does “Sell half of position at entry plus amount risked” mean?

  How can half position be sold at entry?

  What risk are you talking about?

   

  

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  08/24/2021 at 6:50 PM #176125
  phanz

  Hi Roberto,

  For example you buy a stock, 10 shares at $100, and have committed $20 amount to risk.  Thus your initial SL at entry is $80.  When you the price is in the money and gone up from $100 to $120, you sell 5 shares, locking in some profit X amount.  After that you move your SL at $80 (which is for 10 shares initially) to new SL leve at $100 for the balance 5 shares.  Effectively moving your stop loss to your entry price.  Thus, if prices moves beyond $120, you gained more.  If price move back down to $100 again you are out at your entry price , and overall you are flat.

  

  phanz

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  08/24/2021 at 6:52 PM #176126
  phanz

  5) Sell half of position at (entry + amount risked), move stop on second half to breakeven.  Apologies I did not make it clear in the beginning.

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  phanz

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  08/25/2021 at 11:54 AM #176190
  robertogozzi

  There you go:

  DEFPARAM CumulateOrders = False Offset = 10 * PipSize Distance = 6 * PipSize MySL = 20 * PipSize LotSize = 10 SellHalf = 20 * PipSize Ema20 = average[20,1](close) MyMACD = Macd[12,26,9](close) L1 = close CROSSES OVER Ema20 L2 = summation[5](MyMacd CROSSES OVER 0) Lcond = L1 AND L2 AND Not OnMarket IF Lcond THEN Entry = Ema20 + Offset IF close > (Entry + Distance) THEN BUY LotSize Contract AT Entry LIMIT ELSIF close < (Entry - Distance) THEN BUY LotSize Contract AT Entry STOP ELSE BUY LotSize Contract AT Market //comment out this line to not enter AT MARKET ENDIF SET STOP LOSS MySL SET TARGET PROFIT MySL * 3 //comment out this line not to set a TP ENDIF // Gain = PositionPerf * PositionPrice / PipSize IF LongOnMarket AND abs(CountOfPosition) = LotSize THEN IF Gain >= SellHalf THEN StopLevel = PositionPrice SELL (LotSize / 2) Contract AT Market ENDIF ENDIF // IF Not OnMarket THEN StopLevel = 0 ELSIF StopLevel > 0 THEN SELL AT StopLevel STOP ENDIF graph Gain coloured(0,0,255,255) graph abs(CountOfPosition) graphonprice StopLevel coloured(255,0,0,255) AS "BreakEven" graphonprice PositionPrice coloured(0,128,0,255) AS "Entry Price" graphonprice PositionPrice - MySL coloured(0,0,255,255) AS "SL" graphonprice PositionPrice + SellHalf AS "SellHALF"

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  DEFPARAM CumulateOrders = False Offset   = 10 * PipSize Distance = 6  * PipSize MySL     = 20 * PipSize LotSize  = 10 SellHalf = 20 * PipSize Ema20    = average[20,1](close) MyMACD   = Macd[12,26,9](close) L1       = close CROSSES OVER Ema20 L2       = summation[5](MyMacd CROSSES OVER 0) Lcond    = L1 AND L2 AND Not OnMarket IF Lcond THEN    Entry = Ema20 + Offset    IF close > (Entry + Distance) THEN       BUY LotSize Contract AT Entry LIMIT    ELSIF close < (Entry - Distance) THEN       BUY LotSize Contract AT Entry STOP    ELSE       BUY LotSize Contract AT Market       //comment out this line to not enter AT MARKET    ENDIF    SET STOP   LOSS   MySL    SET TARGET PROFIT MySL * 3              //comment out this line not to set a TP ENDIF // Gain = PositionPerf * PositionPrice / PipSize IF LongOnMarket AND abs(CountOfPosition) = LotSize THEN    IF Gain >= SellHalf THEN       StopLevel = PositionPrice       SELL (LotSize / 2) Contract AT Market    ENDIF ENDIF // IF Not OnMarket THEN    StopLevel = 0 ELSIF StopLevel > 0 THEN    SELL AT StopLevel STOP ENDIF graph Gain                 coloured(0,0,255,255) graph abs(CountOfPosition) graphonprice StopLevel     coloured(255,0,0,255)        AS "BreakEven" graphonprice PositionPrice coloured(0,128,0,255)        AS "Entry Price" graphonprice PositionPrice - MySL coloured(0,0,255,255) AS "SL" graphonprice PositionPrice + SellHalf                   AS "SellHALF"

  I added:

  • Distance to comply with the broker’s requirements (set it to 0 to disable it)
  • TP   (comment out that line to disable it)

  You can comment out the line to enter at MARKET when there’s not enough distance to place a pending order. In such a case you will get fewer trades, only those within the pending order limits.

   

   

   

   

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  robertogozzi

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  08/25/2021 at 3:00 PM #176214
  phanz

  Thank you so much, Roberto.  I really appreciate it.

  

  phanz

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  08/25/2021 at 3:43 PM #176222
  phanz

  Hi Roberto, can you pls explain what  summation[5](MyMacd CROSSES OVER 0) mean?  Does it mean:

  (MyMacd[0] CROSSES Over 0)   OR   (MyMacd[1] CROSSES Over 0)   OR   (MyMacd[2] CROSSES Over 0)   OR   (MyMacd[4] CROSSES Over 0)    OR   (MyMacd[5] CROSSES Over 0)  ?

  Thank you in advance.

  

  phanz

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  08/25/2021 at 4:25 PM #176224
  robertogozzi

  Yes, it’s (MyMacd[0] CROSSES Over 0) OR (MyMacd[1] CROSSES Over 0) OR (MyMacd[2] CROSSES Over 0) OR (MyMacd[3] CROSSES Over 0) OR (MyMacd[4] CROSSES Over 0).

  It makes a sum of the number of times a MACD crossover occurs in the last 5 bars (0 to 4). The returned value is true whenever it’s different from 0.

   

  

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  08/25/2021 at 4:27 PM #176225
  phanz

  Or does it mean:

  (myMaCD crosses over 0)     OR     ((myMACD[1] crosses over 0) AND myMACD>0)     OR     ((myMACD[2] crosses over 0) AND myMACD[1]>0 AND myMACD>0)     OR     ((myMACD[3] crosses over 0) AND myMACD[2]>0 AND myMACD[1]>0 AND myMACD>0)     OR     ((myMACD[4] crosses over 0) AND myMACD[3]>0 AND myMACD[2]>0 AND myMACD[1]>0 AND myMACD>0)     OR     ((myMACD[5] crosses over 0) AND myMACD[4]>0 AND myMACD[3]>0 AND myMACD[2]>0 AND myMACD[1]>0 AND myMACD>0)

  

  phanz

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