open range strategy code – lot of success

• 10/10/2017 at 10:34 AM #48890
  dillongr

  thanks Nicolas,  I just picked that up

  

  dillongr

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  10/18/2017 at 12:15 PM #49818
  Leo

  Despair wrote:

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

  Line 24 should be close< ema,

  This strategy sounds interesting, let me know if is working

  

  Leo

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  10/18/2017 at 12:57 PM #49825
  Despair

  You are right, there is a typo in the sell short part. Thanks!

  

  Despair

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  11/07/2017 at 7:42 AM #51760
  dillongr

  Here is a link to a webinair that talks about this strategy  https://brookstradingcourse.com/webinars-lectures/futures-io-webinar-trading-opening-breakouts-reversals/

  1 user thanked author for this post.

  GraHal

  

  dillongr

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  02/20/2018 at 7:11 AM #63247
  dillongr

  Hi,  I have simplified my code, but have a small problem.  I only want orders to be placed within 10% of the bottom / top of range.  Range is the 2nd 4hr candles, and entry is based on 10 min bar closing outside the range. I am getting orders placed after I have taked profit, which is to far from the range.  any ideas how to solve that?

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000 if time=100000 then RangeTop=highest[24](high[1]) RangeBottom=lowest[24](low[1]) endif box=RangeTop-RangeBottom TP1=box*1.1 SL=box*.8 pricezoneS=rangebottom*0.9 pricezoneL=rangetop*1.1 //TP2=box*1.62 //TP3=box*2 entryl= close >= rangetop and close <= pricezonel entrys=close<= rangebottom and close >= pricezones if not onmarket and tradingtime then if entryl then buy 1 contract at market //tc=1 elsif entrys then sellshort 1 contract at market //tc=1 endif endif //set profit to range height SET TARGET PROFIT TP1 set stop loss SL

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  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000     if time=100000 then RangeTop=highest[24](high[1]) RangeBottom=lowest[24](low[1]) endif   box=RangeTop-RangeBottom TP1=box*1.1 SL=box*.8 pricezoneS=rangebottom*0.9 pricezoneL=rangetop*1.1 //TP2=box*1.62 //TP3=box*2   entryl= close >= rangetop and close <= pricezonel entrys=close<= rangebottom and close >= pricezones     if not onmarket and tradingtime then if entryl then buy 1 contract at market //tc=1 elsif entrys then sellshort 1 contract at market //tc=1 endif   endif   //set profit to range height SET TARGET PROFIT TP1   set stop loss SL

   

  

  dillongr

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  02/20/2018 at 8:16 AM #63253
  juanj

  Problem is that new orders are being placed as soon as the ‘not onmarket’ condition becomes true again.

  Do you perhaps want to limit the strategy to only 1 profitable trade?

   

   

  

  juanj

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  02/20/2018 at 8:23 AM #63255
  juanj

  Maybe try this, it will only create one set of stop orders for the day;

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000 If hour = 1 Then TD = 1 ElsIf hour = 10 and minute = 0 then RangeTop=highest[24](high)[1] RangeBottom=lowest[24](low)[1] endif box=RangeTop-RangeBottom TP1=box*1.1 SL=box*0.8 pricezoneS=rangebottom - (box*0.1) pricezoneL=rangetop + (box*0.1) If TD = 1 and on market Then TD = 0 EndIf if TD = 1 and not onmarket and tradingtime then buy 2 contract at pricezoneL stop sellshort 2 contract at pricezoneS stop endif //set profit to range height SET TARGET pPROFIT TP1 set stop ploss SL //GRAPH RangeTop coloured(255,0,0) AS "RangeTop" //GRAPH RangeBottom coloured(0,255,0) AS "RangeBottom"

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  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000   If hour = 1 Then TD = 1 ElsIf hour = 10 and minute = 0 then RangeTop=highest[24](high)[1] RangeBottom=lowest[24](low)[1] endif   box=RangeTop-RangeBottom TP1=box*1.1 SL=box*0.8 pricezoneS=rangebottom - (box*0.1) pricezoneL=rangetop + (box*0.1)   If TD = 1 and on market Then TD = 0 EndIf   if TD = 1 and not onmarket and tradingtime then buy 2 contract at pricezoneL stop sellshort 2 contract at pricezoneS stop endif   //set profit to range height SET TARGET pPROFIT TP1 set stop ploss SL   //GRAPH RangeTop coloured(255,0,0) AS "RangeTop" //GRAPH RangeBottom coloured(0,255,0) AS "RangeBottom"

   

  

  juanj

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  02/20/2018 at 11:48 AM #63282
  dillongr

  Thanks Juan,

  That still produces multiple orders,  I only want 1 long or 1 short per day.  Once target is hit, we wait for the next day.  I am using this on the GBP pairs manually right now with great success  (it is basically the London Breakout strategy)

   

  

  dillongr

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  02/20/2018 at 1:09 PM #63290
  dillongr

  Ok got it like I wanted,  now to test on GBP pairs

  defparam cumulateorders=false once order = 0 tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000 if time=100000 then RangeTop=highest[24](high[1]) RangeBottom=lowest[24](low[1]) order = 0 endif box=RangeTop-RangeBottom TP1= box*1.5 SL=box*1.1 pricezoneS=rangebottom*0.9 pricezoneL=rangetop*1.1 //TP2=box*1.62 //TP3=box*2 entryl= close >= rangetop and close <= pricezonel entrys=close<= rangebottom and close >= pricezones if not onmarket and not order and tradingtime then if entryl then buy 1 contract at market order = 1 //tc=1 elsif entrys then sellshort 1 contract at market order = 1 //tc=1 endif endif //set profit to range height SET TARGET PROFIT TP1 set stop loss SL

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  defparam cumulateorders=false once order = 0 tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000     if time=100000 then RangeTop=highest[24](high[1]) RangeBottom=lowest[24](low[1]) order = 0 endif   box=RangeTop-RangeBottom TP1= box*1.5 SL=box*1.1 pricezoneS=rangebottom*0.9 pricezoneL=rangetop*1.1 //TP2=box*1.62 //TP3=box*2   entryl= close >= rangetop and close <= pricezonel entrys=close<= rangebottom and close >= pricezones     if not onmarket and not order and tradingtime then if entryl   then buy 1 contract at market order = 1   //tc=1 elsif entrys   then sellshort 1 contract at market order = 1   //tc=1 endif   endif     //set profit to range height   SET TARGET PROFIT TP1         set stop loss SL

   

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  dillongr

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