Parabolic Short/Long Strategy

• 03/14/2023 at 4:45 PM #211550
  Francesco

  Hi everyone, after taking a break for a while, I’m back to jot down a few more ideas during my free time. Since I’m a bit rusty, I would like some help in converting some elements into a code that I will then assemble and share with you if it’s decent.

  First code: Identify an increase/decrease of x percent in a stock during the past y days;

  Second code: Enter short during the breakdown of the opening range low if the candle is red/Enter long during the breakout of the opening range high if the candle is green;

  Third code: Open a position when the price, after crossing over or under the VWAP, fails and bounces back.

  Thanks!

  

  Francesco

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  03/15/2023 at 7:53 AM #211567
  JS

  Hi @Francesco,

  Here is the first code…

  Increase / Decrease

  Period = y //y days Gain = x // x% Increase = 0 Decrease = 0 If (Close - Close[y]) / Close[y] * 100 >= x then Increase = 1 ElsIf (Close - Close[y]) / Close[y] * 100 <= x then Decrease = 1 EndIf

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  Period = y //y days Gain = x // x%   Increase = 0 Decrease = 0   If (Close - Close[y]) / Close[y] * 100 >= x then Increase = 1 ElsIf (Close - Close[y]) / Close[y] * 100 <= x then Decrease = 1 EndIf

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  Francesco

  

  JS

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  03/15/2023 at 8:16 AM #211568
  JS

  If (Close – Close[y]) / Close[y] * 100 >= x then

  Increase = 1

  ElsIf (Close – Close[y]) / Close[y] * 100 <= –x then

  Decrease = 1

  EndIf

  

  JS

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  03/15/2023 at 10:59 AM #211577
  robertogozzi

  I suggest to modify the code as follows, to make sure both variables are always different:

  If (Close – Close[y]) / Close[y] * 100 >= x then Increase = 1 Decrease = 0 ElsIf (Close – Close[y]) / Close[y] * 100 <= –x then Increase = 0 Decrease = 1 EndIf

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  If (Close – Close[y]) / Close[y] * 100 >= x then    Increase = 1    Decrease = 0 ElsIf (Close – Close[y]) / Close[y] * 100 <= –x then    Increase = 0    Decrease = 1 EndIf

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  Francesco

  

  robertogozzi

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  03/15/2023 at 2:05 PM #211592
  Francesco

  Thank you guys!

  For the second request, could something like this work? (the time refers to NASDAQ opening hours)

  // Entry Conditions if time>= 153000 and time <= 153500 then if time= 153000 then dailyhigh= high dailylow= low endif if high> dailyhigh then dailyhigh= high endif if low< dailylow then dailylow = low endif endif cl= close crosses over dailyhigh cs= close crosses under dailylow

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  // Entry Conditions if time>= 153000 and time <= 153500 then if time= 153000 then dailyhigh= high dailylow= low endif if high> dailyhigh then dailyhigh= high endif if low< dailylow then dailylow = low endif endif   cl= close crosses over dailyhigh cs= close crosses under dailylow

   

  

  Francesco

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  03/15/2023 at 3:24 PM #211593
  Francesco

  Seems not to work properly… i’ll explain better with the attached image, an example of a long setup.

  Is this possible to code?

   

  

  Francesco

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  03/15/2023 at 5:36 PM #211603
  JS

  When I use Time >=153000 the high and Low of the previous candle is used, hence Time >= 153500…

  Second Code

  DefParam CumulateOrders=False TimeFrame(5 minutes, UpDateOnClose) Once HighEntry=0 Once LowEntry=0 If Time >= 153500 and Time <= 154000 and NOT OnMarket then If Time = 153500 then HighEntry = High LowEntry = Low EndIf If (HighEntry + LowEntry) <> 0 then Buy 1 contract at HighEntry STOP SellShort 1 contract at LowEntry STOP EndIf EndIf

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  DefParam CumulateOrders=False TimeFrame(5 minutes, UpDateOnClose)   Once HighEntry=0 Once LowEntry=0   If Time >= 153500 and Time <= 154000 and NOT OnMarket then If Time = 153500 then HighEntry = High LowEntry = Low EndIf If (HighEntry + LowEntry) <> 0 then Buy 1 contract at HighEntry STOP SellShort 1 contract at LowEntry STOP EndIf EndIf

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  Francesco

  

  JS

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  03/15/2023 at 7:47 PM #211613
  Francesco

  It seems to open the positions correctly now! But i’m still missing on how to put the stop loss on the high/low of the entry candle.

  Also in your example @js the postion should be closed at 15:55 after crossing under the low of the entry candle.

  Any suggestion? Current code version below:

  // Entry Conditions once highentry=0 once lowentry=0 if time= 153000 then highentry=high lowentry=low endif cl=close crosses over highentry cs=close crosses under lowentry // Time Conditions t=time>=153500 and time< 154000 // Enter Long if not onmarket and cl and t then buy n contract at market endif // Enter Short if not onmarket and cs and t then sellshort n contract at market endif

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  // Entry Conditions once highentry=0 once lowentry=0   if time= 153000 then highentry=high lowentry=low endif   cl=close crosses over highentry cs=close crosses under lowentry   // Time Conditions t=time>=153500 and time< 154000   // Enter Long if not onmarket and cl and t then buy n contract at market endif   // Enter Short if not onmarket and cs and t then sellshort n contract at market endif

   

  

  Francesco

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  03/16/2023 at 1:44 PM #211647
  Francesco

  I implemented the following code and it seems that i’m getting closer

  // Entry Conditions if time=153000 then highentry=high lowentry=low endif cl=close crosses over highentry cs=close crosses under lowentry // Time Conditions t=time>=153500 and time<154000 // Stop Loss Conditions sll=abs(close-low) sls=abs(close-high) // Enter Long if not onmarket and cl and t then buy n contract at market set stop loss sll endif // Enter Short if not onmarket aand cs and t then sellshort n contract at market set stop loss sls endif

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  // Entry Conditions if time=153000 then highentry=high lowentry=low endif   cl=close crosses over highentry cs=close crosses under lowentry   // Time Conditions t=time>=153500 and time<154000   // Stop Loss Conditions sll=abs(close-low) sls=abs(close-high)   // Enter Long if not onmarket and cl and t then buy n contract at market set stop loss sll endif   // Enter Short if not onmarket aand cs and t then sellshort n contract at market set stop loss sls endif

  But as you can see in the image attached, the position is closed when crossing the high of the opening range candle and not when crossing the high of the candle where the position was opened

  

  Francesco

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  03/16/2023 at 6:46 PM #211666
  Francesco

  Ok i think i managed to solve the issue changing with:

  // Stop Loss Conditions sll=abs(close[2]-low) sls=abs(close[2]-high)

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  // Stop Loss Conditions sll=abs(close[2]-low) sls=abs(close[2]-high)

  But looking at the backtests, putting the stop loss on the high/low of the opening range candle (so at the daily high/low) instead of the candle where the position was opened (as i wanted to during last posts) seems more effective for gains.

  Below the first version of the system (i’m still figuring out if it’s necessary to implement the VWAP condition) on NASDAQ 5M – 1.5 Contracts (939€ atm)

  // Parabolic Long/Short v1 by Francesco // ProRealCode.com - 20230316 // NASDAQ - 5M // Setup defparam cumulateorders=false n=1.5 once long=1 once short=1 timeframe (1 day) // Filter x=3 if (close-close[1])/close*100>=x then increase=1 decrease=0 elsif (close-close[1])/close*100<=-x then increase=0 decrease=1 endif timeframe (default) // Entry Conditions if time=153000 then highentry=high lowentry=low endif cl=close crosses over highentry cs=close crosses under lowentry // Time Conditions t=time>=153500 and time<154000 // Stop Loss Conditions sll=abs(close-low) sls=abs(close-high) // Enter Long if long then if not onmarket and decrease=1 and cl and t then buy n contract at market set stop loss sll endif endif // Enter Short if short then if not onmarket and increase=1 and cs and t then sellshort n contract at market set stop loss sls endif endif // Trailing Stop trailingstart=200 trailingstep=5 If not onmarket then newsl=0 endif if longonmarket then if newsl=0 and close-tradeprice(1)>=trailingstart*pipsize then newsl=tradeprice(1)+trailingstep*pipsize endif if newsl>0 and close-newsl>=trailingstep*pipsize then newsl=newSL+trailingstep*pipsize endif endif if shortonmarket then if newsl=0 and tradeprice(1)-close>=trailingstart*pipsize then newsl=tradeprice(1)-trailingstep*pipsize endif if newsl>0 and newSL-close>=trailingstep*pipsize then newsl=newsl-trailingstep*pipsize endif endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif

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  // Parabolic Long/Short v1 by Francesco // ProRealCode.com - 20230316 // NASDAQ - 5M   // Setup defparam cumulateorders=false   n=1.5   once long=1 once short=1   timeframe (1 day) // Filter x=3   if (close-close[1])/close*100>=x then increase=1 decrease=0 elsif (close-close[1])/close*100<=-x then increase=0 decrease=1 endif   timeframe (default) // Entry Conditions if time=153000 then highentry=high lowentry=low endif   cl=close crosses over highentry cs=close crosses under lowentry   // Time Conditions t=time>=153500 and time<154000   // Stop Loss Conditions sll=abs(close-low) sls=abs(close-high)   // Enter Long if long then if not onmarket and decrease=1 and cl and t then buy n contract at market set stop loss sll endif endif   // Enter Short if short then if not onmarket and increase=1 and cs and t then sellshort n contract at market set stop loss sls endif endif   // Trailing Stop trailingstart=200 trailingstep=5   If not onmarket then newsl=0 endif   if longonmarket then if newsl=0 and close-tradeprice(1)>=trailingstart*pipsize then newsl=tradeprice(1)+trailingstep*pipsize endif if newsl>0 and close-newsl>=trailingstep*pipsize then newsl=newSL+trailingstep*pipsize endif endif   if shortonmarket then if newsl=0 and tradeprice(1)-close>=trailingstart*pipsize then newsl=tradeprice(1)-trailingstep*pipsize endif if newsl>0 and newSL-close>=trailingstep*pipsize then newsl=newsl-trailingstep*pipsize endif endif   if newsl>0 then sell at newsl stop exitshort at newsl stop endif

  Few details about the system:

  • Entirely based on price action
  • Pretty easy to optimize (just 1 value to edit)
  • No optimization needed for stop loss, just play with the trailing stop
  • Running just the Long version drastically decreases drawdown but generates less gains

   

  Please find attached a 10y backtest; feel free to give your contribution

  

  Francesco

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