RSI strategy on PRO RealCode giving only BUY signals

• 12/18/2016 at 7:57 PM #18747
  fesxeurex

  Hi All,

  Below is modified RSI strategy from PRORealcode pdf document but its giving only Long signals on any instrument i want to demo test it on on EURUSD and DAX

  Can someone experienced look into it and suggest what might be wrong in below approach and why its always profitable this is blowing my mind.

  Many Thanks

  Code as below

   

  ONCE NbBarLimit = 5 ONCE ProfitTarget = 5 ONCE xStopLoss = 4 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10 MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close) IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex ENDIF IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF If BarIndex >= MyBuyIndex + NbBarLimit  THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit  THEN MyLimitSell = 0 EndIF IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF If Strategyprofit < -2000 THEN QUIT 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

  ONCE NbBarLimit = 5 ONCE ProfitTarget = 5 ONCE xStopLoss = 4 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10   MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close)   IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex   ENDIF   IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF   If BarIndex >= MyBuyIndex + NbBarLimit  THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit  THEN MyLimitSell = 0 EndIF   IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF   IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF   If Strategyprofit < -2000 THEN QUIT ENDIF

  MODERATORS EDIT: Code tidied up using ‘Insert PRT Code’ button.

  

  fesxeurex

  Participant

  Topics: 6

  Replies: 19

  Been thanked: 1 time
  12/18/2016 at 9:36 PM #18752
  GraHal

  Hi Fes

  Please use the insert PRT Code button cos I just copied all your code to try it for you but it has pasted with no format into my PRT and it would be time consuming for me to sort it out etc.

  Below is how your code pastes into PRT?

  Hope that makes sense?

  PS I cant see a SellShort in the code anyway?

  Cheers
  GraHal

  NbBarLimit = 5 ONCE ProfitTarget = 5 ONCE xStopLoss = 4 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10 MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close) IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex ENDIF IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF If BarIndex >= MyBuyIndex + NbBarLimit THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit THEN MyLimitSell = 0 EndIF IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF If Strategyprofit < -2000 THEN QUIT ENDIF

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8828

  Been thanked: 2200 times
  12/18/2016 at 10:08 PM #18753
  fesxeurex

  Here you go

  Thanks GraHal for looking into this.

  Basically its RSI + Bollinger bar strategy as seen on PRO pdf

  If RSI <30 and Bollinger25 is Down then Go Long limit order at Daily Close

  If RSI>70 and Bollinger25 is Up then go short limit order at Daily Close

  But its giving only long positions never short ones. if i remove the Short If condition it says you need to buy or sell. i havent used SellShort but used Sell. Is it not the opposite of Buy?

  ONCE NbBarLimit = 5 ONCE ProfitTarget = 5 ONCE xStopLoss = 7 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10 MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close) IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex ENDIF IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF If BarIndex >= MyBuyIndex + NbBarLimit THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit THEN MyLimitSell = 0 EndIF //Go Short IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF //IF MyLimitBuy > 0 AND NOT LongOnMarket THEN //Go Long IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF If Strategyprofit < -2000 THEN QUIT 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

  ONCE NbBarLimit = 5   ONCE ProfitTarget = 5 ONCE xStopLoss = 7 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10   MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close)   IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex   ENDIF   IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF   If BarIndex >= MyBuyIndex + NbBarLimit  THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit  THEN MyLimitSell = 0 EndIF   //Go Short IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF   //IF MyLimitBuy > 0 AND NOT LongOnMarket THEN //Go Long IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF   If Strategyprofit < -2000 THEN QUIT ENDIF

   

  

  fesxeurex

  Participant

  Topics: 6

  Replies: 19

  Been thanked: 1 time
  12/18/2016 at 10:20 PM #18754
  fesxeurex

  Thanks GraHal

  Thanks for he;ping me out

  Sell was to close Long position

  and SellShort to initiate Short

  should have looked at appendix and documentation

  Cheers

   

  Thanks for looking into this

  

  fesxeurex

  Participant

  Topics: 6

  Replies: 19

  Been thanked: 1 time
  12/19/2016 at 12:22 AM #18757
  fesxeurex

  Just want to tell ya all

  after i fixed the above issue my strategy went from 28% in profit to -20% drawdown

  guess it depends on market some markets who are trending a lot can give good results using above strategy but only from buyside and closing the trades by goofup using sell orders 🙂

  Market is not perfect so why should algorithmic strategy to be perfect by adding this defect its giving me good results in a range of markets.

  Cheers

   

  

  fesxeurex

  Participant

  Topics: 6

  Replies: 19

  Been thanked: 1 time
  06/21/2019 at 4:29 PM #101176
  shady5700

  Hello, I’m a beginner in trading, and your strategy seems really interesting in the backtests. When I try to activate it as a demo, PRT tells me several messages: ” trailings stops defined in percentage can not be used in proorder.

  – Trading systems with instructions that may result in a partial closing of position may not be sent to proorder. Please make sure that no quantity is specified in the instructions for closing positions

  – combined stops can not be used with proorder.

  Your code looks great, I would love to test it. Thanks for your help

  ONCE NbBarLimit = 5 ONCE ProfitTarget = 5 ONCE xStopLoss = 7 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10 MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close) IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex ENDIF IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF If BarIndex >= MyBuyIndex + NbBarLimit THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit THEN MyLimitSell = 0 EndIF //Go Short IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF //IF MyLimitBuy > 0 AND NOT LongOnMarket THEN //Go Long IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF If Strategyprofit < -2000 THEN QUIT 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

  ONCE NbBarLimit = 5   ONCE ProfitTarget = 5 ONCE xStopLoss = 7 ONCE yStopLoss = 2 ONCE OrderSize = 1 ONCE CountofShares = 10   MyRSI = RSI[14](Close) MyBollingerDown = BollingerDown[25](Close) MyBollingerUp = BollingerUp[25](Close)   IF MyRSI < 30 AND Close < MyBollingerDown THEN MyLimitBuy =close MyBuyIndex = barindex   ENDIF   IF MyRSI > 70 AND Close > MyBollingerUp THEN MyLimitSell=close MySellIndex = barindex ENDIF   If BarIndex >= MyBuyIndex + NbBarLimit THEN MyLimitBuy = 0 EndIF If BarIndex >= MySellIndex + NbBarLimit THEN MyLimitSell = 0 EndIF   //Go Short IF MyLimitSell > 0 AND COUNTOFSHORTSHARES < CountofShares THEN IF LongOnMarket THEN SELL (CountOfPosition + OrderSize) SHARES AT MyLimitSell LIMIT ELSE SELL OrderSize SHARES AT MyLimitSell LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF   //IF MyLimitBuy > 0 AND NOT LongOnMarket THEN //Go Long IF MyLimitBuy > 0 AND COUNTOFLONGSHARES < CountofShares THEN IF ShortOnMarket THEN BUY (CountOfPosition + OrderSize) SHARES AT MyLimitBuy LIMIT ELSE BUY OrderSize SHARES AT MyLimitBuy LIMIT ENDIF SET STOP %LOSS xStopLoss %TRAILING yStopLoss SET TARGET %PROFIT ProfitTarget ENDIF   If Strategyprofit < -2000 THEN QUIT ENDIF

   

   

  

  shady5700

  Participant

  Topics: 0

  Replies: 1

  Been thanked: 0 times
  06/21/2019 at 4:48 PM #101178
  robertogozzi

  @shady5700

  To write code, please use the <> “insert PRT code” button, to make code easier to read.

  Thank you.

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17188

  Been thanked: 4064 times
  06/21/2019 at 6:53 PM #101183
  GraHal

  Hi Shady

  Try attached … same code as in your post, I just added the cumulateorders = False … works fine, see attached.

  Spread = 4

  You need to Import the .itf file onto your Platform

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8828

  Been thanked: 2200 times
  06/22/2019 at 7:11 PM #101212
  Vonasi

  The strategy partially closes positions. Currently in PRT it is possible to back test strategies that do this but it is not possible to forward test them on either live or demo. This is why you get the messages.

  Also the code that you have posted still has the error that it is using SELL where it should use SELLSHORT.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  06/24/2019 at 7:18 AM #101260
  Nicolas

  Combining 2 stoploss instructions as at line 38 is also not permitted. You should replace the trailing stop instruction by a coded version instead.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
• Author
  Posts