Range Breakout 5min

• 02/07/2017 at 2:49 PM #24219
  O-jay8

  Hello All,
  I am new here and that is my first post. I am going through a lot of blogs and strategies for the last week and I am very impressed by the effort you guys put in this platform. I see you are are very dedicated to find profitable strategies, effective indicators, screeners etc. and help one another.
  Quickly to myself. I have a demo account at IG and do some manual and automatic trading there. I want to test one of my strategies with backtest but due to my limited coding abilities, I stuck at several points. I hope some of you guys can help me.

  Now to a part of my little strategy:
  I want to trade the breakout of a range (usually on a 5min chart).
  Rangetime: 7am-8am UK time (I have already problems to set the range constant, used a method by nicolas but unforunately works only as an indicator)
  Breakout: at toplevel +10% of Range or lowlevel – 10% of range
  Stoploss: Range/2
  Take profit: Range

  The first advice I need is to set the Range constant in the period 7am to 8am without having to call my own little created indicator.
  Second advice I need is, instead of taking profit, do a trailing stop. In case we are Long, set stop on previous low. In case we are short, set stop on previous high.

  Thank you in advance

  Oliver

  // Open Range Breakout DAX 5 Min ONCE Start = 070000 ONCE End = 080000 // trading window ONCE BuyTime = 080000 ONCE SellTime = 163000 // money management Capital = 10000 Risk = 0.01 equity = Capital + StrategyProfit maxrisk = round(equity*Risk) Distance=0.1 PositionSize = abs(round((maxrisk/RR)/PointValue)*pipsize) // calculate high/low and sl/tp if time >= start and time <=end or intradaybarindex =0 then DAYSTARTINDEX = INTRADAYBARINDEX HIGHLEVEL = HIGHEST[INTRADAYBARINDEX - DAYSTARTINDEX+12](HIGH) LOWLEVEL = LOWEST [INTRADAYBARINDEX - DAYSTARTINDEX+12](LOW) Area=highlevel-lowlevel TP=area-area*distance RR=area/2+area*distance endif // position management IF Time >= BuyTime AND Time <= SellTime THEN // Long IF Not longonmarket and not shortonmarket THEN IF close < highlevel and close > lowlevel THEN BUY PositionSize CONTRACT AT highlevel+area*distance stop ENDIF ENDIF // short IF Not shortonmarket and not longonmarket THEN IF close < highlevel and close > lowlevel THEN SELLSHORT PositionSize CONTRACT AT lowlevel-area*distance Stop ENDIF ENDIF // close positions IF Time = SellTime THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND Time = SellTime THEN EXITSHORT AT MARKET ENDIF endif set target profit TP set stop loss RR 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

  // Open Range Breakout DAX 5 Min   ONCE Start = 070000 ONCE End = 080000 // trading window ONCE BuyTime = 080000 ONCE SellTime = 163000   // money management Capital = 10000 Risk = 0.01 equity = Capital + StrategyProfit maxrisk = round(equity*Risk) Distance=0.1 PositionSize = abs(round((maxrisk/RR)/PointValue)*pipsize)   // calculate high/low and sl/tp if time >= start and time <=end or intradaybarindex =0 then DAYSTARTINDEX = INTRADAYBARINDEX HIGHLEVEL = HIGHEST[INTRADAYBARINDEX - DAYSTARTINDEX+12](HIGH) LOWLEVEL = LOWEST [INTRADAYBARINDEX - DAYSTARTINDEX+12](LOW) Area=highlevel-lowlevel TP=area-area*distance RR=area/2+area*distance endif // position management IF Time >= BuyTime AND Time <= SellTime THEN // Long IF Not longonmarket and not shortonmarket THEN IF close < highlevel and close > lowlevel THEN BUY PositionSize CONTRACT AT highlevel+area*distance stop ENDIF ENDIF // short IF Not shortonmarket and not longonmarket THEN IF close < highlevel and close > lowlevel THEN SELLSHORT PositionSize CONTRACT AT lowlevel-area*distance Stop ENDIF ENDIF // close positions IF Time = SellTime THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND Time = SellTime THEN EXITSHORT AT MARKET ENDIF endif set target profit TP set stop loss RR ENDIF

  Sorry for my code, I dont know why the syntax colors are not shown.
  Just for your information: here the indicator code I used to set the range top and bottom level.

  start=70000 end=80000 if time >= start and time <=end or intradaybarindex =0 then DAYSTARTINDEX = INTRADAYBARINDEX HIGHLEVEL = HIGHEST[INTRADAYBARINDEX - DAYSTARTINDEX+12](HIGH) LOWLEVEL = LOWEST [INTRADAYBARINDEX - DAYSTARTINDEX+12](LOW) endif return highlevel, lowlevel

  1 2 3 4 5 6 7 8 9

  start=70000 end=80000   if time >= start and time <=end or intradaybarindex =0 then DAYSTARTINDEX = INTRADAYBARINDEX HIGHLEVEL = HIGHEST[INTRADAYBARINDEX - DAYSTARTINDEX+12](HIGH) LOWLEVEL = LOWEST [INTRADAYBARINDEX - DAYSTARTINDEX+12](LOW) endif return highlevel, lowlevel

   

   

   

  

  O-jay8

  Participant

  Topics: 5

  Replies: 207

  Been thanked: 285 times
  02/07/2017 at 4:27 PM #24231
  Nicolas

  What is the code of mine you tried to find the highest/lowest values of the range?

  Did you try to GRAPH your variables to see how they were calculated and to find if they are correct?

  There are a lot of nested conditions, I think it could be reduce to less lines, there may be some conditions not correctly tested somewhere.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  02/07/2017 at 5:22 PM #24242
  O-jay8

  Hi Nicolas,
  Yes I want to find the highest/lowest in the range.
  I think I managed what I planned to do. But I had to use the function highest high and lowest low for the last 12 bars in a 5min chart.
  I think there is a smarter idea with intradaybarindex, where you can test the strategy throughout all timeframes without changing the code. That is why I tried to use your code unfortunately without success.

  I mangaged to reduce the code as well a bit.

  Here my new code.

  // Open Range Breakout DAX 5 Min ONCE Start = 070000 ONCE End = 080000 // trading window ONCE BuyTime = 080000 ONCE SellTime = 163000 // money management //Capital = 10000 //Risk = 0.01 //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs(round((maxrisk/RR)/PointValue)*pipsize) positionsize=1 Distance=0.1 // calculate high/low and sl/tp if time >= start and time <=end then top= highest[12](high) bottom= lowest[12](low) Area=top-bottom TP=area-area*distance RR=area/2+area*distance endif // position management IF Time >= BuyTime AND Time <= SellTime THEN // Long IF Not onmarket and close < top THEN BUY PositionSize CONTRACT AT top+area*distance stop ENDIF // short IF Not onmarket and close >bottom THEN SELLSHORT PositionSize CONTRACT AT bottom-area*distance Stop ENDIF set target profit TP set stop loss RR 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

  // Open Range Breakout DAX 5 Min   ONCE Start = 070000 ONCE End = 080000 // trading window ONCE BuyTime = 080000 ONCE SellTime = 163000   // money management //Capital = 10000 //Risk = 0.01 //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs(round((maxrisk/RR)/PointValue)*pipsize) positionsize=1 Distance=0.1 // calculate high/low and sl/tp if time >= start and time <=end then top= highest[12](high) bottom= lowest[12](low) Area=top-bottom TP=area-area*distance RR=area/2+area*distance endif // position management IF Time >= BuyTime AND Time <= SellTime THEN // Long IF Not onmarket and close < top THEN BUY PositionSize CONTRACT AT top+area*distance stop ENDIF // short IF Not onmarket and close >bottom THEN SELLSHORT PositionSize CONTRACT AT bottom-area*distance Stop ENDIF set target profit TP set stop loss RR ENDIF

   

  

  O-jay8

  Participant

  Topics: 5

  Replies: 207

  Been thanked: 285 times
  02/07/2017 at 5:58 PM #24252
  Nicolas

  I modify the code with my own breakout box code, seems to work correctly I think. Please review it.

  // Open Range Breakout DAX 5 Min ONCE Start = 070000 ONCE End = 080000 // trading window ONCE BuyTime = 080000 ONCE SellTime = 163000 positionsize=1 Distance=0.1 if intradaybarindex=0 then top=0 bottom=close*100 endif tcondition = time>Start and time<=End if tcondition then top = max(top,high) bottom = min(bottom,low) Area=top-bottom TP=area-area*distance RR=area/2+area*distance endif // position management IF Time >= BuyTime AND Time <= SellTime THEN // Long IF Not onmarket and close < top THEN BUY PositionSize CONTRACT AT top+area*distance stop ENDIF // short IF Not onmarket and close >bottom THEN SELLSHORT PositionSize CONTRACT AT bottom-area*distance Stop ENDIF set target profit TP set stop loss RR 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

  // Open Range Breakout DAX 5 Min   ONCE Start = 070000 ONCE End = 080000 // trading window ONCE BuyTime = 080000 ONCE SellTime = 163000   positionsize=1 Distance=0.1   if intradaybarindex=0 then top=0 bottom=close*100 endif   tcondition = time>Start and time<=End   if tcondition then top = max(top,high) bottom = min(bottom,low) Area=top-bottom TP=area-area*distance RR=area/2+area*distance endif   // position management IF Time >= BuyTime AND Time <= SellTime THEN // Long IF Not onmarket and close < top THEN BUY PositionSize CONTRACT AT top+area*distance stop ENDIF // short IF Not onmarket and close >bottom THEN SELLSHORT PositionSize CONTRACT AT bottom-area*distance Stop ENDIF set target profit TP set stop loss RR ENDIF

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  08/03/2018 at 3:28 PM #77478
  O-jay8

  Hello guys,
  I picked up my old topic as I had some time.
  For the range breakout before the official trading hours I used now a trailing stop approach which got posted once by Nicolas.
  Furthermore I skipped the hours around lunch and included a ADX indicator.

  It looks not as bad as I expected actually.

  If you have time, let me know what you are thinking and whether you have some ideas of improvement.

  Kind regards

  

  O-jay8

  Participant

  Topics: 5

  Replies: 207

  Been thanked: 285 times
  08/07/2018 at 10:31 AM #77703
  Nicolas

  Thanks a lot for feedback on your strategy. I made my own test and result is attached. Maybe it would benefit from the trailing stop calculated and triggered on a lowest timeframe with the new MTF capabilities.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
• Author
  Posts