prise de position au dépassement de la Mèche

• 10/11/2019 at 11:20 AM #109922
  Sebastien Boissel

  Bonjour,

  J’ai essayer votre version mais malheureusement cela ne marche que sur probacktest, sur proorder le robot ne sort plus du marché seul.

  voici la version que j’ai utilisé.

  sell AT low stop exitshort AT high stop

  1 2	sell AT low stop exitshort AT high stop

   

  

  Sebastien Boissel

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  10/11/2019 at 11:25 AM #109923
  Nicolas

  Merci de poster le code complet de la stratégie afin d’analyser l’ensemble du problème 🙂

  

  Nicolas

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  10/11/2019 at 11:32 AM #109924
  Sebastien Boissel

  defparam cumulateorders=false DEFPARAM FLATBEFORE = 090000 DEFPARAM FLATAFTER = 173000 Tenkansen=0 Kijunsen=0 Sspa=0 Sspb=0 a=3 // Money Management SET STOP pLOSS 10 startBreakeven = 10 PointsToKeep = 0 // ICHIMOKU Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SspA = (Tenkansen[26]+Kijunsen[26])/2 SspB = (highest[52](high[26])+lowest[52](low[26]))/2 // Achat a1 = close[5] = sspa - sspb a2 = close > kijunsen and close > sspa and close > sspb a3 = close CROSSES OVER kijunsen and close > sspa and close > sspb a4 = close CROSSES OVER sspa and close > kijunsen and close > sspb a5 = close CROSSES OVER sspb and close > sspa and close > kijunsen IF a1 and a2 AND a3 or a4 or a5 THEN testea = 1 else testea = 0 endif if testea = 1 then BUY a CONTRACTS AT high stop ENDIF // vente v1 = close[5] = sspa -sspb v2 = close < kijunsen and close < sspa and close < sspb v3 = close CROSSES under kijunsen and close < sspa and close < sspb v4 = close CROSSES under sspa and close < kijunsen and close < sspb v5 = close CROSSES under sspb and close < sspa and close < kijunsen IF v1 and v2 AND v3 or v4 or v5 THEN testev = 1 else testev = 0 endif if testev = 1 then SELLSHORT a CONTRACT AT low stop ENdIF // fermeture achat fa1 = close < kijunsen fa2 = close[1] > close if fa1 and fa2 then testefa = 1 else testefa = 0 endif if testefa = 1 then sell AT low stop ENDIF // fermeture vente fv1 = close > kijunsen fv2 = close[1] < close if fv1 and fv2 then testefv = 1 else testefv = 0 endif if testefv = 1 then exitshort AT high stop ENDIF // remise à zero breakeven IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // breakeven IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF IF SHORTONMARKET AND tradeprice(1)-close>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104

  defparam cumulateorders=false DEFPARAM FLATBEFORE = 090000 DEFPARAM FLATAFTER = 173000   Tenkansen=0 Kijunsen=0 Sspa=0 Sspb=0 a=3 // Money Management   SET STOP pLOSS 10 startBreakeven = 10 PointsToKeep = 0   // ICHIMOKU   Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SspA = (Tenkansen[26]+Kijunsen[26])/2 SspB = (highest[52](high[26])+lowest[52](low[26]))/2    //  Achat   a1 = close[5] = sspa - sspb a2 = close > kijunsen and close > sspa and close > sspb a3 = close CROSSES OVER kijunsen and close > sspa and close > sspb a4 = close CROSSES OVER sspa and close > kijunsen and close > sspb a5 = close CROSSES OVER sspb and close > sspa and close > kijunsen IF a1 and a2 AND a3 or a4 or a5 THEN testea = 1 else testea = 0 endif if testea = 1 then BUY a CONTRACTS AT high stop ENDIF   // vente   v1 = close[5] = sspa -sspb v2 = close < kijunsen and close < sspa and close < sspb v3 = close CROSSES under kijunsen and close < sspa and close < sspb v4 = close CROSSES under sspa and close < kijunsen and close < sspb v5 = close CROSSES under sspb and close < sspa and close < kijunsen IF v1 and v2 AND v3 or v4 or v5 THEN testev = 1 else testev = 0 endif if testev = 1 then SELLSHORT a CONTRACT AT low stop ENdIF   // fermeture achat   fa1 = close < kijunsen fa2 = close[1] > close if fa1 and fa2 then testefa = 1 else testefa = 0 endif if testefa = 1 then sell AT low stop ENDIF   // fermeture vente   fv1 = close > kijunsen fv2 = close[1] < close if fv1 and fv2 then testefv = 1 else testefv = 0 endif if testefv = 1 then exitshort AT high stop ENDIF   // remise à zero breakeven   IF NOT ONMARKET THEN breakevenLevel=0 ENDIF   // breakeven   IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF   IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF   IF SHORTONMARKET AND tradeprice(1)-close>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF   IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF

  voici mon code complet

  

  Sebastien Boissel

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  10/11/2019 at 12:23 PM #109931
  Nicolas

  Un order conditionnel de type STOP restera valide durant une seule période/bougie, si tu veux qu’ils restent à un certain niveau durant plusieurs bougies, alors il faudra les placer continuellement (en fonction des conditions que tu établiras bien entendu..). Les fermetures que tu as programmé aux lignes 66 et 79 avec les ordres STOP, sont placés uniquement à la bougie suivante, quand les variables “testefv” et “testefa” sont vrais. Si à la bougie qui suit ces variables sont fausses, alors l’ordre de fermeture STOP ne sera pas placé à nouveau. Il faut donc revoir la logique pour ceux-ci.

  

  Nicolas

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  10/11/2019 at 3:14 PM #109943
  Sebastien Boissel

  malheureusement je code depuis 3 semaines et très honnêtement je ne vois pas vraiment comment faire. si vous pouviez prendre le temps de me mettre sur la vois. je vous en serais très reconnaissant.

  

  Sebastien Boissel

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  10/14/2019 at 10:35 AM #110104
  Sebastien Boissel

  bonjours, j’ai reussi à modifier mon code, je voudrais savoir si il est possible de décaler la prise de position ainsi que la sortie de 1 point? merci

  

  Sebastien Boissel

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  10/14/2019 at 11:16 AM #110111
  Nicolas

  Pour acheter 1 point plus haut que le High, tu peux modifier le code comme ceci:

  BUY a CONTRACTS AT high+1*pointsize stop

  1	BUY a CONTRACTS AT high+1*pointsize stop

  Pour les sorties, ce sera pareil:

  revendre 1 point plus bar que le Low

  sell AT low-1*pointsize stop

  1	sell AT low-1*pointsize stop

   

  

  Nicolas

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  10/15/2019 at 2:04 PM #110245
  Sebastien Boissel

  Bonjour, je rencontre toujours le même problème le robot ne sort plus de position. avait une solution?

  

  Sebastien Boissel

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  10/15/2019 at 2:28 PM #110248
  Nicolas

  Je ne sais pas ce qui a était modifié, une solution … pour que je le sache ?

  A nouveau, un ordre conditionnel est valable durant une seule bougie, si il n’est pas renouvelé, il n’y aura pas d’ordres permettant de sortir (hormis un ordre contrarien bien entendu).

  Par exemple, si la condition “testefa” n’est pas valide, aucun ordre de vente ne sera placé à la bougie suivante, donc rien ne fera sortir le robot de sa position d’achat !

  Tu devrais grapher ces conditions en backtest pour bien comprendre :

  GRAPH testefa coloured(0,255,0) GRAPH testefv coloured(255,0,0)

  1 2	GRAPH testefa coloured(0,255,0) GRAPH testefv coloured(255,0,0)

   

  

  Nicolas

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  10/15/2019 at 6:39 PM #110263
  Sebastien Boissel

  dans un 1er temps je tiens à vous dire que le code fonction très bien sur probactest mais que des que je l’active sur proorder il ne sort plus de positon. merci

  defparam cumulateorders=false DEFPARAM FLATBEFORE = 090000 DEFPARAM FLATAFTER = 173000 Tenkansen=0 Kijunsen=0 Sspa=0 Sspb=0 l=1 // Money Management SET TARGET pPROFIT 20 SET STOP pLOSS 10 startBreakeven = 10 PointsToKeep = 0 // ICHIMOKU Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SspA = (Tenkansen[26]+Kijunsen[26])/2 SspB = (highest[52](high[26])+lowest[52](low[26]))/2 // Achat a1 = close[5] < sspa or close[5] < sspb a2 = close CROSSES OVER kijunsen and close > sspa and close > sspb a3 = close CROSSES OVER sspa and close > kijunsen and close > sspb a4 = close CROSSES OVER sspb and close > sspa and close > kijunsen for a = 0 to 5 do if close[a] > kijunsen[a] and close[a] > sspa[a] and close[a] > sspb[a] then testea = 1 else testea = 0 endif IF testea = 1 and a1 and a2 or a3 or a4 THEN BUY l CONTRACTS AT high+0.2*pointsize stop endif next // vente v1 = close[5] > sspa or close[5] > sspb v2 = close CROSSES under kijunsen and close < sspa and close < sspb v3 = close CROSSES under sspa and close < kijunsen and close < sspb v4 = close CROSSES under sspb and close < sspa and close < kijunsen for v = 0 to 5 do if close[v] < kijunsen[v] and close[v] < sspa[v] and close[v] < sspb[v] then testev = 1 else testev = 0 endif IF testev = 1 and v1 and v2 or v3 or v4 THEN SELLSHORT l CONTRACTS AT low-0.2*pointsize stop endif next // fermeture achat fa1 = close[1] > close fa2 = close < kijunsen for x = 0 to 5 do if close[x] crosses under kijunsen[x]then testefa = 1 else testefa = 0 endif if testefa = 1 and fa1 and fa2 then sell AT low-0.2*pointsize stop ENDIF next // fermeture vente fv1 = close[1] < close fv2 = close > kijunsen for c = 0 to 5 do if close[c] crosses over kijunsen[c]then testefa = 1 else testefa = 0 endif if testefa = 1 and fv1 and fv2 then exitshort AT high+0.2*pointsize stop ENDIF next // remise à zero breakeven IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // breakeven IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF IF SHORTONMARKET AND tradeprice(1)-close>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111

  defparam cumulateorders=false DEFPARAM FLATBEFORE = 090000 DEFPARAM FLATAFTER = 173000   Tenkansen=0 Kijunsen=0 Sspa=0 Sspb=0 l=1 // Money Management   SET TARGET pPROFIT 20 SET STOP pLOSS 10 startBreakeven = 10 PointsToKeep = 0   // ICHIMOKU   Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SspA = (Tenkansen[26]+Kijunsen[26])/2 SspB = (highest[52](high[26])+lowest[52](low[26]))/2    //  Achat   a1 = close[5] < sspa or close[5] < sspb a2 = close CROSSES OVER kijunsen and close > sspa and close > sspb a3 = close CROSSES OVER sspa and close > kijunsen and close > sspb a4 = close CROSSES OVER sspb and close > sspa and close > kijunsen for a = 0 to 5 do if close[a] > kijunsen[a] and close[a] > sspa[a] and close[a] > sspb[a] then testea = 1 else testea = 0 endif IF testea = 1 and a1 and a2 or a3 or a4 THEN BUY l CONTRACTS AT high+0.2*pointsize stop endif next   // vente   v1 = close[5] > sspa or close[5] > sspb v2 = close CROSSES under kijunsen and close < sspa and close < sspb v3 = close CROSSES under sspa and close < kijunsen and close < sspb v4 = close CROSSES under sspb and close < sspa and close < kijunsen for v = 0 to 5 do if close[v] < kijunsen[v] and close[v] < sspa[v] and close[v] < sspb[v] then testev = 1 else testev = 0 endif IF testev = 1 and v1 and v2 or v3 or v4 THEN SELLSHORT l CONTRACTS AT low-0.2*pointsize stop endif next   // fermeture achat   fa1 = close[1] > close fa2 = close < kijunsen for x = 0 to 5 do if close[x] crosses under kijunsen[x]then testefa = 1 else testefa = 0 endif if testefa = 1 and fa1 and fa2 then sell AT low-0.2*pointsize stop ENDIF next   // fermeture vente   fv1 = close[1] < close fv2 = close > kijunsen for c = 0 to 5 do if close[c] crosses over kijunsen[c]then testefa = 1 else testefa = 0 endif if testefa = 1 and fv1 and fv2 then exitshort AT high+0.2*pointsize stop ENDIF next   // remise à zero breakeven   IF NOT ONMARKET THEN breakevenLevel=0 ENDIF   // breakeven   IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF   IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF   IF SHORTONMARKET AND tradeprice(1)-close>=startBreakeven*pipsize THEN breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF   IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF

   

  

  Sebastien Boissel

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  10/16/2019 at 8:05 AM #110317
  Nicolas

  Sebastien Boissel wrote:

  il ne sort plus de positon

  c’est à dire ? Il en crée et il ne sort pas de position ? (sortir = fermer la position)

  

  Nicolas

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  10/16/2019 at 8:09 AM #110318
  Sebastien Boissel

  Bonjour, il attend forcement de toucher le stop ou le breakeven. plus de sorti avec les conditions. pour la création tous fonction bien

  

  Sebastien Boissel

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  10/16/2019 at 8:15 AM #110321
  Nicolas

  il faut regarder dans les ordres rejetés (liste des ordres dans la plateforme). Quel est l’instrument ? La distance au stop n’est peut être pas respecté, 0.2 * pointsize ça revient à 0.2 points sur le DAX par exemple ..

  

  Nicolas

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  10/16/2019 at 8:27 AM #110322
  Sebastien Boissel

  je travail sur le dax et le dow.

  

  Sebastien Boissel

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  10/16/2019 at 9:02 AM #110324
  Sebastien Boissel

  je ne c pas vraiment comment l’interpréter.

  

  Sebastien Boissel

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