Bonjour Nicolas

J’utilise un code réalisé par Juan Jacobs “trend breakout” . Celui-ci m’interesse particulièrement car il fonctionne en général très bien sauf que de temps en temps j’ai une erreur de division par zero.

Aurais-tu la possibilité d’y regarder pour peut-être m’écrire  le bout de code  manquant

Cordialement

jp

//-------------------------------------------------------------------------
// Code principal : juan final fractal
//-------------------------------------------------------------------------
//Stategy: Trend Breakout
//Author: Juan Jacobs
//Market: Neutral
//Timezone: UTC +2
//Timeframe: 1Hr but not 'completely' timeframe dependant

Defparam cumulateorders = False
defparam preloadbars = 10000
If hour <= 8 or hour >= 22 then //outside market hours
possize = 0
If longonmarket Then
sell at market
Bear = 0
Bull = 0
Trendbreak = 0
optimize = optimize + 1
ElsIf shortonmarket Then
exitshort at market
Bear = 0
Bull = 0
Trendbreak = 0
optimize = optimize + 1
EndIf
Else
possize = 1 //position contract size
EndIf

// Heuristics Algorithm Start

once period =8
Increment = 1
MaxIncrement = 5
Reps = 7 //Number of bars to use for analysis
once PIncPos = 1 //Positive Increment Position
once NIncPos = 1 //Neative Increment Position
once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit)
once Mode = 1 //Switches between negative and positive increments
once WinCountB = 0 //Initialize Best Win Count
once StratAvgB = 0 //Initialize Best Avg Strategy Profit

If Optimize = Reps Then
WinCountA = 0 //Initialize current Win Count
StratAvgA = 0 //Initialize current Avg Strategy Profit

For z = 1 to Reps Do
If positionperf(z) > 0 Then
WinCountA = WinCountA + 1 //Increment Current WinCount
EndIf
StratAvgA = StratAvgA + StrategyProfit[z]
Next
StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit

If StratAvgA >= StratAvgB Then
StratAvgB = StratAvgA //Update Best Strategy Profit
BestA = Period
EndIf

If WinCountA >= WinCountB Then
WinCountB = WinCountB //Update Best Win Count
BestB = Period
EndIf

If WinCountA > WinCountB and StratAvgA > StratAvgB Then
Mode = 0
ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then
Period = Period - (Increment*NIncPos)
NIncPos = NIncPos + Increment
Mode = 2
ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then
Period = Period + (Increment*PIncPos)
PIncPos = PIncPos + Increment
Mode = 1
ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then
Period = Period + (Increment*PIncPos)
PIncPos = PIncPos + Increment
Mode = 1
ElsIf WinCountA > WinCountB or StratAvgA > StratAvgB and Mode = 2 Then
Period = Period - (Increment*NIncPos)
NIncPos = NIncPos + Increment
Mode = 2
EndIf

If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then
If BestA = BestB Then
Period = BestA
Else
Period = (BestA+BestB)/2
EndIf
NIncPos = 1
PIncPos = 1
EndIF

Optimize = 0
EndIf

// Heuristics Algorithm End

//Calculate Fractal

once Trendbreak = 0

If Trendbreak = 0 Then //No potential trendbreaks have been identified

once FracH = 0 //initialize fractal count
once FracL = 0 //initialize fractal count

For i = 0 to 4 Do
If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side
FracH = FracH + 1
EndIf
If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side
FracL = FracL + 1
EndIf
Next

If FracH = 4 Then //High Fractal Identified
If Bear = 0 and Bull = 0 Then
Bear = 1 //Initialize first trend direction
EndIf
FractalH = high[2] //High Fractal Price Level
LFractalH = low[2] //Low of High Fractal
If Bear = 1 Then
FractalP = barindex - 2 //High Fractal Bar Position
EndIf
ElsIf FracL = 4 Then //Low Fractal Identified
If Bear = 0 and Bull = 0 Then
Bull = 1 //Initialize first trend direction
EndIf
FractalL = low[2] //Low Fractal Price Level
HFractalL = high[2] //High of Low Fractal
If Bull = 1 Then
FractalP = barindex - 2 //Low Fractal Bar Position
EndIf
EndIf

FracH = 0 //reset fractal count
FracL = 0 //reset fractal count

//Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)

If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle
If Bear = 1 Then
MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high
ElsIf Bull = 1 Then
MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high
EndIf
EndIf

EndIf

If Bear = 1 Then //Down trend
Height = FractalH - high //Calcululate height between high fractal and high of current bar
HeightB = FractalH - close[1] //Calcululate height between high fractal and close of current bar (used to determine trend violation)
ElsIf Bull = 1 Then //Up trend
Height = Low - FractalL //Calcululate height between low fractal and low of current bar
HeightB = close[1] - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation)
EndIf

If barindex > FractalP + 2 Then //If current bar greater than end of fractal set:
If Bear = 1 Then //For Down Trend
If Trendbreak = 1 and close >= close[1] Then
Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend)
BreakoutP = Barindex //Breakout position
OrderLevel = LFractalH + (AverageTrueRange[PERIOD](close)*1.618) //Enter into long position at specified price level
PreviousLow = LFractalH //Level to re-initate preious trend
ElsIf Trendbreak = 1 and close <= open[1] Then
Trendbreak = 0//Trend violation invalidated, latest close did not confirm
MaxAngle = TAngle //New max trend as trend break was invalidated
EndIf
If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close <= open Then
MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid
ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then
TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar
TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated
EndIF
ElsIf Bull = 1 Then //For Up Trend
If Trendbreak = 1 and close <= close[1] Then
Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend)
BreakoutP = Barindex //Breakout position
OrderLevel = HFractalL - (AverageTrueRange[PERIOD](close)*1.618) //Enter into short position at specified price level
PreviousHigh = HFractalL //Level to re-initiate previous trend
ElsIf Trendbreak = 1 and close >= open[1] Then
MaxAngle = TAngle //New max trend as trend break was invalidated
Trendbreak = 0
EndIf
If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close >= open Then
MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid
ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then
TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar
TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated
EndIf
EndIf
EndIf

If Trendbreak = 2 Then //Trend violation is confirmed:

If Bear = 1 and close > PreviousLow Then
Buy possize contract at OrderLevel stop
ElsIf Bull = 1 and close < PreviousHigh Then
Sellshort possize contract at OrderLevel stop
EndIf

If barindex >= BreakoutP Then
If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables and initialize new trend
Trendbreak = 0
Bear = 0
Bull = 1
optimize = optimize + 1
ElsIf Bear = 1 and close < PreviousLow Then //New trend invalidated and previous trend resumed
Trendbreak = 0
ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables and initialize new trend
Trendbreak = 0
Bear = 1
Bull = 0
optimize = optimize + 1
ElsIf Bull = 1 and close > PreviousHigh Then //New trend invalidated and previous trend resumed
Trendbreak = 0
EndIf
EndIf
EndIf

//Trade Management (Note that Trend Direction need to be reset with exits's)

Deviations = 1.5
periods = 32

PRICE = LOG(customclose)
alpha = 2/(PERIODS+1)

if barindex < PERIODS then
EWMA = AVERAGE[3](PRICE)
else
EWMA = alpha * PRICE + (1-alpha)*EWMA
endif

error = PRICE - EWMA
dev = SQUARE(error)
if barindex < PERIODS+1 then
var = dev
else
var = alpha * dev + (1-alpha) * var
endif
ESD = SQRT(var)

BollU = EXP(EWMA + (DEVIATIONS*ESD))
BollL = EXP(EWMA - (DEVIATIONS*ESD))

RS2 = ROUND(RSI[2](close))

PSH = Highest[100](high)[1]
PSL = Lowest[100](low)[1]

If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then
LE = 1
ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then
SE = 1
EndIf

If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then
Sell at market
Bear = 0
Bull = 0
optimize = optimize + 1
ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then
Exitshort at market
Bear = 0
Bull = 0
optimize = optimize + 1
EndIf