/ Main code : NAS 2m HULL-SAR v5.5 L
//-------------------------------------------------------------------------
// Definition of code parameters
DEFPARAM CumulateOrders = true // Cumulating positions activated
DEFPARAM preloadbars = 5000
//Money Management NAS
MM = 1 // = 0 for optimization
if MM = 0 then
positionsize= 1
ENDIF
ONCE acc = 0.028
ONCE acc2 = 0.022
ONCE e = 0.025
ONCE e1 = 0.02
ONCE e2 = 0.02
ONCE f = 8
ONCE lr = 5.0
ONCE ls = 4.0
ONCE mp = 5.0
ONCE p1 = 170.0
ONCE p2 = 17.0
ONCE p3 = 5.0
ONCE pm = 2.0
ONCE q = 0.01
ONCE q1 = 0.025
ONCE q2 = 0.005
ONCE sd = 2.0
ONCE sk = 8.0
ONCE sl = 1.6
ONCE tp = 2.3
ONCE tss = 0.2
ONCE tst = 0.29
ONCE w = 0.015
ONCE w1 = 0.005
ONCE w2 = 0.005
if MM = 1 then
ONCE startpositionsize = 0.5
ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE margin2 = (close*.05)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE tier1 = 200 // IG first tier margin limit
ONCE maxpositionsize = 2000 // IG tier 2 margin limit
ONCE minpositionsize = 0.5 // enter minimum position allowed
IF StrategyProfit <> StrategyProfit[1] THEN
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN
IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then
positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize //keeps positionsize from going below allowed minimum
ENDIF
IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit
ENDIF
ENDIF
ENDIF
ENDIF
once tradetype = 2 // [1] long/short [2]long [3]short
once closeonreversal = 0 // active when tradetype=2 or tradetype=3
MaxPos = (pm*positionsize)
MaxPos2 = (mp*positionsize)
Ctime = time >=143000 and time <210000//UK time
//Ctime = time >=153000 and time <220000//Euro time
TIMEFRAME(12 minutes)
Perioda= p1
innera = 2*weightedaverage[round( Perioda/2)](typicalprice)-weightedaverage[Perioda](typicalprice)
HULLa = weightedaverage[round(sqrt(Perioda))](innera)
c1 = HULLa > HULLa[1]
c2 = HULLa < HULLa[1]
ST1 = SAR[q,w,e]
c1a = (close > ST1)
c2a = (close < ST1)
TIMEFRAME(6 minutes)
Periodb= p2
innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice)
HULLb = weightedaverage[round(sqrt(Periodb))](innerb)
c3 = HULLb > HULLb[1]
c4 = HULLb < HULLb[1]
c3b = HULLb > HULLb[1] and HULLb[1] < HULLb[2]
c4b = HULLb < HULLb[1] and HULLb[1] > HULLb[2]
ST2 = SAR[q1,w1,e1]
c3a = (close > ST2)
c4a = (close < ST2)
//Stochastic RSI | indicator
lengthRSI = lr //RSI period
lengthStoch = ls //Stochastic period
smoothK = sk //Smooth signal of stochastic RSI
smoothD = sd //Smooth signal of smoothed stochastic RSI
myRSI = RSI[lengthRSI](close)
MinRSI = lowest[lengthStoch](myrsi)
MaxRSI = highest[lengthStoch](myrsi)
StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI)
K = average[smoothK](stochrsi)*100
D = average[smoothD](K)
c3c = K>D
c4c = K<D
TIMEFRAME(default)
Periodc= p3
innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice)
HULLc = weightedaverage[round(sqrt(Periodc))](innerc)
c5 = HULLc > HULLc[1] and HULLc[1] < HULLc[2]
c6 = HULLc < HULLc[1] and HULLc[1] > HULLc[2]
c5b = HULLc > HULLc[1]
c6b = HULLc < HULLc[1]
ST3 = SAR[q2,w2,e2]
c5a = (close > ST3)
c6a = (close < ST3)
CB = Ctime and c1 and c1a AND C3a and c3b and c3c AND C5a and c5b
CB2 = c1 and c1a and c3 and c3a and c5 AND C5a
CS = Ctime and c2 and c2a AND C4a and c4b and c4c AND C6a and c6
CS2 = c2 and c2a and c4 and c4a and c6 AND C6a
IF Not OnMarket THEN
Flag = 1
Flag1 = 1
Flag2 = 1
Flag3 = 1
ENDIF
// Conditions to enter long positions
if tradetype=1 or tradetype=2 then
IF not longonmarket and CB and Flag THEN
BUY positionsize CONTRACT AT MARKET
elsif Ctime and longonmarket and CB2 and COUNTOFLONGSHARES < MaxPos and Flag then
BUY positionsize CONTRACT AT MARKET
Flag = 0
elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag1 then
BUY positionsize CONTRACT AT MARKET
Flag1 = 0
elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag2 then
BUY positionsize CONTRACT AT MARKET
Flag2 = 0
elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag3 then
BUY positionsize CONTRACT AT MARKET
Flag3 = 0
SET STOP %LOSS sl
SET TARGET %PROFIT tp
ENDIF
ENDIF
if closeonreversal and tradetype=2 and CS then
sell at market
endif
// Conditions to enter short positions
if tradetype=1 or tradetype=3 then
IF not shortonmarket and CS THEN
sellshort positionsize CONTRACT AT MARKET
elsif Ctime and shortonmarket and CS2 and COUNTOFSHORTSHARES < MaxPos then
sellshort positionsize CONTRACT AT MARKET
SET STOP %LOSS 0.6
SET TARGET %PROFIT 2.3
ENDIF
ENDIF
// %trailing stop function incl. cumulative positions
once trailingstoptype1= 1
if trailingstoptype1 then
//====================
trailingpercentlong = tst // %
trailingpercentshort = tss // %
once acceleratorlong = acc // [1] default; always > 0 (i.e. 0.5-3)
once acceleratorshort= acc2 // 1 = default; always > 0 (i.e. 0.5-3)
ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once)
//====================
once steppercentlong = (trailingpercentlong/10)*acceleratorlong
once steppercentshort = (trailingpercentshort/10)*acceleratorshort
if onmarket then
trailingstartlong = positionprice*(trailingpercentlong/100)
trailingstartshort = positionprice*(trailingpercentshort/100)
trailingsteplong = positionprice*(steppercentlong/100)
trailingstepshort = positionprice*(steppercentshort/100)
endif
if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
newsl = 0
mypositionprice = 0
endif
positioncount = abs(countofposition)
if newsl > 0 then
if positioncount > positioncount[1] then
if longonmarket then
newsl = max(newsl,positionprice * newsl / mypositionprice)
else
newsl = min(newsl,positionprice * newsl / mypositionprice)
endif
endif
endif
if ts2sensitivity=1 then
ts2sensitivitylong=close
ts2sensitivityshort=close
elsif ts2sensitivity=2 then
ts2sensitivitylong=high
ts2sensitivityshort=low
elsif ts2sensitivity=3 then
ts2sensitivitylong=low
ts2sensitivityshort=high
elsif ts2sensitivity=4 then
ts2sensitivitylong=typicalprice
ts2sensitivityshort=typicalprice
endif
if longonmarket then
if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then
newsl = positionprice+trailingsteplong*pipsize
endif
if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then
newsl = newsl+trailingsteplong*pipsize
endif
endif
if shortonmarket then
if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then
newsl = positionprice-trailingstepshort*pipsize
endif
if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then
newsl = newsl-trailingstepshort*pipsize
endif
endif
if barindex-tradeindex>1 then
if longonmarket then
if newsl>0 then
sell at newsl stop
endif
if newsl>0 then
if low crosses under newsl then
sell at market
endif
endif
endif
if shortonmarket then
if newsl>0 then
exitshort at newsl stop
endif
if newsl>0 then
if high crosses over newsl then
exitshort at market
endif
endif
endif
endif
mypositionprice = positionprice
endif
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