NASDAQ Mean Reversion
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Am working on a Low Volume Reversal next, will post a new thread for that one 🙂
3 users thanked author for this post.
12345<span style="color: #202124;"><span style="font-family: inherit;"><span style="font-size: large;">This is a simplified and clean version (v2.1) of the trading system:</span></span></span><span style="color: #202124;"><span style="font-family: inherit;"><span style="font-size: large;"><span lang="en-US">TEST-KD Mean Reverting version (v1.3).</span></span></span></span><span style="color: #202124;"><span style="font-family: inherit;"><span style="font-size: large;"><span lang="en-US">I have optimized the trailing stop, added a splitPosition (thanks to Roberto Gozzi's code) and added an additional filter for the exit.</span></span></span></span>//TS KD Mean Reverting v2.1 – Nasdaq 15 min – cfd 1 contract
// spread 2 points
DEFPARAM CUMULATEORDERS = FALSE
PositionSize=1
//——————————————————– SETUP
avgHull=average[150,7] //150-7
volBars=15 //15
vol = Volume
lowBars=10 //10
c1 = close>avgHull // average Hull (filter)
c2 = vol < vol[volBars] // volume
c3 = close > lowest [lowBars] (low) // close – lowest low
If c1 and c2 and c3 and openDayOfWeek <> 5 and tradeAllowed=1 then //TS LONG ONLY ENTRY
Buy PositionSize CONTRACTS AT MARKET
ENDIF
//——————————————————— ADDED EXIT FILTERS
myrsiM5=rsi[14](close)
if myrsiM5<30 and longonmarket and close>positionprice then //RSI Exit
sell at market
endif
if myrsiM5>70 and shortonmarket and close<positionprice then
exitshort at market
endif
//—————————————————————-
maxDailyLoss = 250 // Max Loss Intraday Exit (Euro)
realPosition=positionPerf*positionPrice/pointSize*pointValue
once tradeAllowed = 1
if intradayBarIndex=0 then
myProfit=strategyProfit
tradeAllowed=1
endif
if (strategyProfit+realPosition) <= (myProfit-maxDailyLoss) then
tradeAllowed=0
endif
///——————————————————— MONEY MANAGEMENT
SET STOP pLOSS 130 //SL 100 //SL (stop loss) – TP (take profit)
SET TARGET pPROFIT 190 //TP 175
//———————————————————
pointToReachLong=35*pointSize // 30 //TrP (trailingProfit)
pointToKeepLong=10*pointSize // 12
If not onMarket then
newSL=0
endif
If longOnMarket then
If newSL=0 and high-tradePrice(1)>pointToReachLong then
newSL=tradePrice(1)+ pointToKeepLong
endif
If newSL>0 and close-newSL>pointToReachLong then
newSL = newSL+pointToKeepLong
endif
endif
If newSL>0 then
sell at newSL STOP
endif
//————————————————————- SPLIT winning position
once partialcloseGain = 1
If partialcloseGain then
ONCE PerCent = 0.5 //close 1/2 size
PipsGain = 160 //PositionPrice * PerCentGain / PipSize
ONCE MinLotSize = 0.5
ExitQuantity = abs(CountOfPosition) * PerCent
LeftQty = max(MinLotSize,abs(CountOfPosition) – ExitQuantity)
CloseQuantity = max(0,abs(CountOfPosition) – LeftQty)
TempGain = PositionPerf * PositionPrice / PipSize
IF Not OnMarket THEN
Flag = 1
ENDIF
IF partialcloseGain AND LongOnMarket and TempGain >= PipsGain*pipsize AND Flag THEN
SELL CloseQuantity Contracts AT Market
Flag = 0
endif
IF partialcloseGain AND ShortOnMarket and TempGain >= PipsGain*pipsize AND Flag THEN
exitshort CloseQuantity Contracts AT Market
Flag = 0
endif
endif
//—————————————————————————————————————————————–
1<span style="color: #202124;"><span style="font-family: inherit;"><span style="font-size: large;"><span lang="en-US"> </span></span></span></span>1 user thanked author for this post.
This is a simplified and clean version of the tradingsystem : TEST-KD Mean Reverting version 1,3
Test over 200k:
on the leftside the basic version 1,3
on the right side the new version 2,1
2 users thanked author for this post.
Yes, here is the code.
I added an output with the rsi in overbuy123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163164165166167168169170//================================================// Code: TEST KD3 Mean Reverting v1// Source: https://www.youtube.com/watch?v=D_P_XqB5nHs// Entry Strategy #3 Mean REverting// Author: Kevin Davey// Version 1// Index: NASDAQ// TF: 15 min// TZ: Europe// Notes: v1.1 Long Olny// Notes: v1.2 Entry Filter (optimised to 150 MA)// Notes: v1.3 Day of week - do not trade Friday's//// Pending Test Short side// Reduce Drawdown (Long Entry Filter)//================================================DEFPARAM CUMULATEORDERS = FALSE//Risk ManagementPositionSize=10//=== Entry Filter ===//Filter 1indicator1=average[150,7]F1 = close>indicator1//Range ParametersNbars=15Pbars=10//Entry Criteriaindicator1 = Volumec1 = (indicator1 < indicator1[Nbars])MM=average[50]// Conditions to enter long positionsIf close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and OPEN>MM and dopen(0)<close thenBuy PositionSize CONTRACTS AT MARKETENDIF// Conditions to enter short positions//IF rrange>2*stdrange+avgrange and close<close[10] THEN//SELLSHORT PositionSize CONTRACTS AT MARKET//ENDIF// Stops and targetsSET STOP LOSS 100 //50//SET TARGET PROFIT 175 //50//FOR STOPLOSS MANNGEMENT// Conditions to enter long positionsstartBreakeven = 30PointsToKeep = 12IF NOT ONMARKET THENbreakevenLevel=0ENDIF// --- BUY SIDE ---//test if the price have moved favourably of "startBreakeven" points alreadyIF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN//calculate the breakevenLevelbreakevenLevel = tradeprice(1)+PointsToKeep*pipsizeENDIF//place the new stop orders on market at breakevenLevelIF breakevenLevel>0 THENSELL AT breakevenLevel STOPENDIF//************************************************************************IF longonmarket and barindex-tradeindex>1600 and close<positionprice thensell at marketendifIF shortonmarket and barindex-tradeindex>1800 and close>positionprice thenexitshort at marketendif//===================================myrsiM5=rsi[14](close)//if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice thensell at marketendifif myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice thenexitshort at marketendif//===================================once openStrongLong = 0once openStrongShort = 0if (time <= 090000 or time >= 210000) thenopenStrongLong = 0openStrongShort = 0endif//detect strong direction for market openonce rangeOK = 30once tradeMin = 2500IF (time >= 090500) AND (time <= 090500 + tradeMin) AND ABS(high - low) > rangeOK THENIF close > open and close > open[1] THENopenStrongLong = 1openStrongShort = 0ENDIFIF close < open and close < open[1] THENopenStrongLong = 0openStrongShort = 1ENDIFENDIFonce bollperiod = 20once bollMAType = 1once s = 2bollMA = average[bollperiod, bollMAType](close)STDDEV = STD[bollperiod]bollUP = bollMA + s * STDDEVbollDOWN = bollMA - s * STDDEVIF bollUP = bollDOWN THENbollPercent = 50ELSEbollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN)ENDIFonce trendPeriod = 80once trendPeriodResume = 10once trendGap = 4once trendResumeGap = 4if not onmarket thenfullySupported = 0fullyResisteded = 0endif//Market supported in the wrong directionIF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THENfullySupported = 1ENDIF//Market pull back but continue to be supportedIF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THENexitshort at marketENDIF//Market resisted in wrong directionIF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THENfullyResisteded = 1ENDIF//Market pull back but continue to be resistedIF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THENsell at marketENDIF//Started real wrong directiononce strongTrend = 60once strongPeriod = 4once strongTrendGap = 2IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap thenexitshort at marketENDIFIF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap thensell at marketENDIF//====ajouté par fifiif longonmarket and close>positionprice and RSI[14](close)>70 and close-open>100 thensell at marketENDIF3 users thanked author for this post.
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