NASDAQ Mean Reversion

• 04/08/2022 at 8:19 PM #191461
  fifi743

  At the bottom of my code, I added this line

   

  if longonmarket and close>positionprice and RSI[14](close)crosses under 70 and barindex-tradeindex>30 and opentime<130000 and close[1]-open[1]>20 then sell at market ENDIF

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  if longonmarket and close>positionprice and RSI[14](close)crosses under 70  and barindex-tradeindex>30 and opentime<130000 and close[1]-open[1]>20 then sell at market ENDIF

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  fifi743

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  04/08/2022 at 10:45 PM #191464
  ullle73

  thanks fifi!

  

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  04/10/2022 at 8:11 PM #191539
  fifi743

  I modified the code for long entry and the difference between the two versions is high-high[1]>5

  MM=average[30] //and high-high[1]>5 cndLong= OPEN>MM and dopen(0)<close and high-close>1 and high-close<20 and low[1]<close // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and cndLong then Buy PositionSize CONTRACTS AT MARKET ENDIF

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  MM=average[30] //and high-high[1]>5 cndLong= OPEN>MM and dopen(0)<close and high-close>1 and  high-close<20 and low[1]<close // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and cndLong then Buy PositionSize CONTRACTS AT MARKET ENDIF

   

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  04/10/2022 at 8:30 PM #191542
  fifi743

  or this version

  MM=average[30] // cndLong= OPEN>MM and dopen(0)<close and high-close>1 and high-close<20 and low[1]<close and high-high[1]>5 and not(open<low[1]) // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and cndLong then Buy PositionSize CONTRACTS AT MARKET ENDIF

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  MM=average[30] // cndLong= OPEN>MM and dopen(0)<close and high-close>1 and  high-close<20 and low[1]<close and high-high[1]>5 and not(open<low[1]) // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and cndLong then Buy PositionSize CONTRACTS AT MARKET ENDIF

   

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  04/21/2022 at 7:06 PM #192039
  Robert841

  Hi

  What is the smallest pos size to run https://www.prorealcode.com/wp-content/uploads/2021/08/TEST-KD_MeanReverting-v1.3.itf?

   

  

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  04/22/2022 at 7:01 AM #192050
  monkeys nuts

  Hi Robert841 – Depending on the index, and whether it’s CFD or Spreadbet, it’s 0.2 or 0.5.  Once you’ve run it in demo for a bit and are happy then you can try it on a small size.

  

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  04/29/2022 at 7:43 AM #192386
  MauroPro

  Hi, this is one of my revised and simplified versions (v5) with the addition of Fifi improvement.

  KD v5

  //TS KD Mean Reverting v5 - Nasdaq 15 min // spread 2 points DEFPARAM CUMULATEORDERS = FALSE positionSize = 1 //-------------------------------------------------------- avgHull = average[150,7] nBarsVolume = 15 average30 = average[30](close) //-------------------------------------------------------- c1L = close > avgHull c2L = volume < volume[nBarsVolume] c3L = open > average30 and dOpen(0)< close and high - close > 1 and high - close < 20 and low[1] < close // [Fifi improvement "cndLong": rif. 191539] //-------------------------------------------------------- If c1L and c2L and c3L and nLoss < nLossMax and openDayOfWeek <> 5 then buy positionSize contracts at market endif //------------------------------------------------------------------------------------- set target pProfit 220 set stop pLoss 100 //------------------------------------------------------------------------------- once nLoss = 0 nLossMax = 2 //max N daily losses if intradayBarIndex = 0 then nLoss=0 endif if strategyProfit < strategyProfit[1] then nLoss=nLoss +1 endif //------------------------------------------------------------------------ EZT = 1 //EZT (exit zombie trades - Nonetheless) if EZT then if longOnMarket and (barIndex-tradeIndex(1)>= 1600 and positionPerf<0) then sell at market endif endif //----------------------------------------------------- EWT = 1 //(exit winning trades - MauroPro) nCandles = 8 percentTP = 1.8 endTime = 080000 if EWT then if longOnMarket and (barIndex-tradeIndex(1)>nCandles and positionPerf*100 > percentTP) and (time>000000 and time<endTime) then sell at market endif endif //------------------------------------------------------------------ myRsi = rsi[14](close) //RSI exit if myRsi < 30 and longOnMarket and close > positionPrice then sell at market endif //---- if longOnMarket and close>positionPrice and RSI[14](close)>70 and close-open>100 then //added by Fifi sell at market ENDIF //------------------------------------------------------------------------------------------- pointToReachLong = 38*pointSize // 30 pointToKeepLong = 12*pointSize 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 //----------------------------------------------------------------------------------------------------- once bollPeriod = 20 // bollPercent Exit once multiplier = 2 avgBoll = average[bollperiod,1](close) stDevBoll = std[bollperiod] bollUp = avgBoll + multiplier * stDevBoll bollDown = avgBoll - multiplier * stDevBoll bollPercent = 100 * (close - bollDown) / (bollUp - bollDown) //----------------------------------------------------------------------------- once rangeOk = 40 once timeOk = 0 if time <= 090000 or time >= 210000 and (high - low) > rangeOk then timeOk = 0 endif IF time >= 080000 and time <= 200000 and (high - low) > rangeOk then timeOk = 1 endif period = 4 // exit with 2 of the last 4 bars below the threshold of 40 bollPerCent levelPercent = 40 candleNum = 2 if timeOk = 1 and (barIndex - tradeIndex) < 12 and summation[period](bollPercent < levelPercent) = candleNum then sell at market endif //------------------------------------------------------------------------------------------------------------

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  //TS KD Mean Reverting v5 - Nasdaq 15 min // spread 2 points DEFPARAM CUMULATEORDERS = FALSE positionSize = 1 //-------------------------------------------------------- avgHull = average[150,7] nBarsVolume = 15 average30 = average[30](close) //-------------------------------------------------------- c1L = close > avgHull c2L = volume < volume[nBarsVolume] c3L = open > average30 and dOpen(0)< close and high - close > 1 and high - close < 20 and low[1] < close  // [Fifi improvement "cndLong": rif. 191539] //-------------------------------------------------------- If c1L and c2L and c3L and nLoss < nLossMax and openDayOfWeek <> 5 then buy positionSize contracts at market endif //------------------------------------------------------------------------------------- set target pProfit 220 set stop pLoss 100 //------------------------------------------------------------------------------- once nLoss = 0 nLossMax = 2   //max N daily losses if intradayBarIndex = 0 then nLoss=0 endif if strategyProfit < strategyProfit[1] then nLoss=nLoss +1 endif //------------------------------------------------------------------------ EZT = 1 //EZT (exit zombie trades - Nonetheless) if EZT then if longOnMarket and (barIndex-tradeIndex(1)>= 1600 and positionPerf<0)  then sell at market endif endif //----------------------------------------------------- EWT = 1   //(exit winning trades - MauroPro) nCandles = 8 percentTP        =  1.8 endTime   = 080000 if EWT then if longOnMarket and (barIndex-tradeIndex(1)>nCandles and positionPerf*100 > percentTP) and (time>000000 and time<endTime) then sell at market endif endif //------------------------------------------------------------------ myRsi = rsi[14](close)      //RSI exit if myRsi < 30  and longOnMarket and close > positionPrice  then sell at market endif //---- if longOnMarket and close>positionPrice and RSI[14](close)>70 and  close-open>100 then  //added by Fifi sell at market ENDIF //------------------------------------------------------------------------------------------- pointToReachLong = 38*pointSize   // 30 pointToKeepLong =  12*pointSize 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 //----------------------------------------------------------------------------------------------------- once bollPeriod = 20              // bollPercent Exit once multiplier = 2 avgBoll = average[bollperiod,1](close) stDevBoll = std[bollperiod] bollUp = avgBoll + multiplier * stDevBoll bollDown = avgBoll - multiplier * stDevBoll bollPercent = 100 * (close - bollDown) / (bollUp - bollDown) //----------------------------------------------------------------------------- once rangeOk = 40 once timeOk = 0 if time <= 090000 or time >= 210000 and (high - low) > rangeOk then timeOk = 0 endif IF time >= 080000 and time <= 200000 and (high - low) > rangeOk then timeOk = 1 endif   period = 4     // exit with 2 of the last 4 bars below the threshold of 40 bollPerCent levelPercent = 40 candleNum = 2 if  timeOk = 1 and (barIndex - tradeIndex) < 12 and summation[period](bollPercent < levelPercent) = candleNum then sell at market endif //------------------------------------------------------------------------------------------------------------

   

   

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  04/29/2022 at 7:44 AM #192387
  MauroPro

   

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