open range strategy code – lot of success

• 10/08/2017 at 8:31 AM #48596
  dillongr

  Hi,

  I have had a lot of success with an open range break strategy and I am trying to see if I can automate the strategy, but my limited knowledge of coding is proving to be a challenge

  I am trying to define the opening range on the 5 min, for a set period of time.  using the dax as an example:

  • open range is high and low of 5 min candles between 8am and close of the 8:55 five min candle.
  • entry is 2nd  5 min close above /below the range
  • exit is a Fibonacci expansion of, 261.8

  very simple and reliable in my intraday trading on SAF40, Dax, Dow, FTSE and US500.

  Does anyone know how you define the range?

   

  

  dillongr

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  10/08/2017 at 11:30 AM #48614
  Eric

  Hi dillongr

  try something like this for high (hh) you can also use it as an indicator by “return hh” to see that the time are in right place

  starttime = 080000 endtime = 085959 if intradaybarindex=0 then hh = 0 endif if time>=starttime and time<=endtime then if high>hh then hh = high endif endif

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  starttime = 080000 endtime = 085959   if intradaybarindex=0 then hh = 0 endif   if time>=starttime and time<=endtime then if high>hh then hh = high endif endif

   

   

  

  Eric

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  10/08/2017 at 11:32 AM #48615
  Eric

  and low (ll)

  starttime = 080000 endtime = 085959 if intradaybarindex=0 then ll = 0 endif if time>=starttime and time<=endtime then if low<ll or ll=0 then ll = low endif endif

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  starttime = 080000 endtime = 085959   if intradaybarindex=0 then ll = 0 endif   if time>=starttime and time<=endtime then if low<ll or ll=0 then ll = low endif endif

   

  

  Eric

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  10/08/2017 at 12:26 PM #48618
  Despair

  Where is your stop loss for this strategy?

  

  Despair

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  10/08/2017 at 1:10 PM #48620
  dillongr

  thanks Eric!

  SL is normally at the top or bottom of the range depending if you are long or short.  Price normally comes to test the 50% Fibonacci of the range before continuing on the breakout.  I also use a 15ema to confirm trend direction

  

  dillongr

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  10/08/2017 at 2:36 PM #48621
  Despair

  If you have a long breakout you take the bottom of the range as SL and for short the top? Sounds funny. I will program this.

  

  Despair

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  10/08/2017 at 2:41 PM #48622
  Despair

  Entry condition you write the second close outside the range. Shall this two closes be consecutive?

  And tagte is the 261.8% fibs expansion. So if the range is 100 points wider you have a take profit of 261.8 points above the range top? This is far away!

  

  Despair

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  10/08/2017 at 3:18 PM #48623
  Despair

  I coded this here with a profit target at the 161.8% fibo extension (that was already bad enough) and at least for the dax the result was not very promising.

  Here is the code if you want to play with it:

  Morning range break out system

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>=90000 MA=ExponentialAverage[15](close) once tc=0 if time=90000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) endif if intradaybarindex=0 then tc=0 endif CL=close>RangeTop and close[1]>RangeTop CS=close<RangeBottom and close[1]<RangeBottom box=RangeTop-RangeBottom if not onmarket and not tc and tradingtime then if CL and close>MA then buy 1 contract at market tc=1 elsif CS and close>MA then sellshort 1 contract at market tc=1 endif set target pprofit box*1.618 endif if longonmarket then sell at RangeBottom stop elsif shortonmarket then exitshort at RangeTop stop endif

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  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>=90000 MA=ExponentialAverage[15](close) once tc=0   if time=90000 then   RangeTop=highest[11](high[1])   RangeBottom=lowest[11](low[1]) endif   if intradaybarindex=0 then   tc=0 endif   CL=close>RangeTop and close[1]>RangeTop CS=close<RangeBottom and close[1]<RangeBottom box=RangeTop-RangeBottom   if not onmarket and not tc and tradingtime then   if CL and close>MA then     buy 1 contract at market     tc=1   elsif CS and close>MA then     sellshort 1 contract at market     tc=1   endif   set target pprofit box*1.618 endif   if longonmarket then   sell at RangeBottom stop elsif shortonmarket then   exitshort at RangeTop stop endif

   

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  GraHal

  

  Despair

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  10/08/2017 at 6:35 PM #48644
  Andyswede

  Same code as Despairs but without EMA15 and a time end for buy at 09:16, tested with 1 WF at 60% resulted in fib 1,5 on OMX 30.

  Andy

  Breakout with fib 1,5

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>085900 and time<091600 once tc=0 if time=090000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) endif if intradaybarindex=0 then tc=0 endif fib=fib CL=close>RangeTop and close[1]>RangeTop CS=close<RangeBottom and close[1]<RangeBottom box=RangeTop-RangeBottom if not onmarket and not tc and tradingtime then if CL then buy 1 contract at market tc=1 elsif CS then sellshort 1 contract at market tc=1 endif set target pprofit box*fib endif if longonmarket then sell at RangeBottom stop elsif shortonmarket then exitshort at RangeTop stop endif

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  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>085900 and time<091600     once tc=0 if time=090000 then RangeTop=highest[11](high[1]) RangeBottom=lowest[11](low[1]) endif if intradaybarindex=0 then tc=0 endif fib=fib CL=close>RangeTop and close[1]>RangeTop CS=close<RangeBottom and close[1]<RangeBottom box=RangeTop-RangeBottom if not onmarket and not tc and tradingtime then if CL  then buy 1 contract at market tc=1 elsif CS   then sellshort 1 contract at market tc=1 endif set target pprofit box*fib endif if longonmarket then sell at RangeBottom stop elsif shortonmarket then exitshort at RangeTop stop endif

   

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  Andyswede

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  10/08/2017 at 6:43 PM #48651
  Andyswede

  Ooops, attached 3 times 🙂

  

  Andyswede

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  10/08/2017 at 7:42 PM #48659
  Eric

  dont forget spread and slippage (sweden30)

  

  Eric

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  10/08/2017 at 7:46 PM #48660
  Andyswede

  Spread was 0,9 should be ok I think, what do you mean with slippage Eric?

  

  Andyswede

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  10/08/2017 at 7:52 PM #48661
  Barney

  Looks really good.

  Backtest with 200k .. 🙂

  

  Barney

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  10/08/2017 at 8:37 PM #48664
  Eric

  about slippage on sweden30, i mean if you get a bad fill on market order or stop around the open of cash market

  but run it on demo it may not be a problem after all?

   

   

  

  Eric

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  10/08/2017 at 9:37 PM #48667
  Stefanb

  Andy

  On my computer it looks like this.?

  Strange.

   

  

  Stefanb

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