Scalping EURUSD

• 04/26/2017 at 8:34 AM #33439
  Elsborgtrading

  Hi Maz, yes you are right, it’s in yen. I think it has something to do with the ploss stoploss 70.. I have before experianced that the pipsize or pointvalue has sometimes an odd way in yen- even though it shouldn’t matter. I will take a look later.

  Cheers Kasper

  

  Elsborgtrading

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  04/26/2017 at 8:46 AM #33442
  victormork

  First, cheers to all of you who have paid interest in my topic!

  And thanks a lot Maz for helping me out with turning my beginner coding into something more functional!! I’ll have a look at the changes made and try to play around with it 🙂

  I’m sorry Kasper but I have no clue what could be wrong. Luckily I think you got some suggested from Maz with regards to what might be wrong.

  

  victormork

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  04/26/2017 at 9:02 AM #33443
  victormork

  @ Kasper on the new version from Maz you need to change the value on stoplossmode which is currently 2.

  stopLossMode = 2 // 1: Static | 2: Dynamic

  1	stopLossMode  = 2          // 1: Static | 2: Dynamic

  I got the same result at you first but when I changed to a higher value I got a positiv result.

   

  

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  04/26/2017 at 9:11 AM #33444
  victormork

  Correction -> Try the static stop (1) instead of the dynamic

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  Elsborgtrading

  

  victormork

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  04/26/2017 at 1:13 PM #33490
  victormork

  Here are the results with different kind of stops. I couldn’t get any nice result from an ATR stop. I still haven’t tried a time stop.

  

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  04/26/2017 at 5:29 PM #33535
  Maz

  For the ATR stop try:

  SET STOP pLOSS (atr * slATRmultiple) * pointSize

  1	SET STOP pLOSS (atr * slATRmultiple) * pointSize

  ??

  

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  04/26/2017 at 5:37 PM #33538
  Elsborgtrading

  SET STOP pLOSS (atr * slATRmultiple) /pointsize

  1	SET STOP pLOSS (atr * slATRmultiple) /pointsize

  Now it works 🙂

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  victormork

  

  Elsborgtrading

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  05/04/2017 at 9:09 AM #34492
  victormork

  This is the updated version for EURUSD 5M

  1

  Defparam Cumulateorders = false Defparam Preloadbars = 300 //------ Trading hours------- Starttime = 100000 Endtime = 240000 fridayEndTime = 225000 // --------Indicators------ blow = Bollingerdown[20] bhigh = Bollingerup[20] MA1 = Average[8] MA2 = Average[200] ad = adx[24] adlevel = 14 atr = averageTrueRange[40] slATRmultiple = 5 targetATRmultiple = 3 stopLossMode = 1 // 1: Static | 2: Dynamic | 3: DONCHIAN STOP DC = 20 strailing = 1 // 0=off 1=on strailingstart = 20 isLateFriday = (dayOfWeek = 5 and time >= fridayEndTime) // ------ ENTRY CONDITIONS LONG----- cb1 = (low < blow and close < blow) cb2 = (MA1 > MA2) cb3 = (currenttime > Starttime and currenttime < Endtime) cb4 = (ad > adlevel) c5 = cb1 and cb2 and cb3 and cb4 IF NOT Longonmarket and c5 THEN BUY 1 CONTRACT AT MARKET ENDIF // ------ EXIT CONDITIONS LONG----- cb9 = LONGONMARKET AND ((close > bhigh) OR isLateFriday) IF cb9 Then sell at market endif // ------ ENTRY CONDITIONS SHORT----- cs1 = (high > bhigh and close > bhigh) cs2 = (MA1 < MA2) cs3 = (currenttime > Starttime and currenttime < Endtime) cs4 = (ad > adlevel) cs6 = cs1 and cs2 and cs3 and cs4 IF NOT Shortonmarket and cs6 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // ------ ENTRY CONDITIONS SHORT---- cs9 = SHORTONMARKET AND ((close < blow) OR isLateFriday) IF cs9 Then Exitshort at market endif //------ STOP AND TARGETS ----------- if stopLossMode = 1 then SET STOP pLOSS 65 //SET TARGET pPROFIT 30 elsif stopLossMode = 2 then SET STOP pLOSS (atr * slATRmultiple)/pointsize SET TARGET pPROFIT (atr * targetATRmultiple)/pointsize elsif stopLossMode = 3 then e= Highest[DC](high) f=Lowest[DC](low) if longonmarket then laststop = f[1] endif if shortonmarket then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif endif if strailing = 1 then //trailing stop trailingstop = strailingstart //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif endif

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  Defparam Cumulateorders = false Defparam Preloadbars = 300   //------ Trading hours------- Starttime = 100000 Endtime = 240000 fridayEndTime = 225000   // --------Indicators------ blow = Bollingerdown[20] bhigh = Bollingerup[20] MA1 = Average[8] MA2 = Average[200] ad = adx[24] adlevel = 14 atr   = averageTrueRange[40] slATRmultiple = 5 targetATRmultiple = 3 stopLossMode  = 1          // 1: Static | 2: Dynamic | 3: DONCHIAN STOP DC = 20 strailing = 1 // 0=off 1=on strailingstart = 20 isLateFriday  = (dayOfWeek = 5 and time >= fridayEndTime)   // ------ ENTRY CONDITIONS LONG----- cb1 = (low < blow and close < blow) cb2 = (MA1 > MA2) cb3 = (currenttime > Starttime  and currenttime < Endtime) cb4 = (ad > adlevel) c5 = cb1 and cb2 and cb3 and cb4 IF NOT Longonmarket and c5  THEN BUY 1 CONTRACT AT MARKET ENDIF   // ------ EXIT CONDITIONS LONG----- cb9 = LONGONMARKET AND ((close > bhigh) OR isLateFriday)   IF cb9 Then sell at market endif   // ------ ENTRY CONDITIONS SHORT----- cs1 = (high > bhigh and close > bhigh) cs2 = (MA1 < MA2) cs3 = (currenttime > Starttime  and currenttime < Endtime) cs4 = (ad > adlevel) cs6 = cs1 and cs2 and cs3 and cs4   IF NOT Shortonmarket and cs6 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // ------ ENTRY CONDITIONS SHORT---- cs9 = SHORTONMARKET AND ((close < blow) OR isLateFriday)   IF cs9 Then Exitshort at market endif   //------ STOP AND TARGETS ----------- if stopLossMode = 1 then SET STOP pLOSS 65 //SET TARGET pPROFIT 30   elsif stopLossMode = 2 then SET STOP pLOSS (atr * slATRmultiple)/pointsize SET TARGET pPROFIT (atr * targetATRmultiple)/pointsize     elsif stopLossMode = 3 then e= Highest[DC](high) f=Lowest[DC](low) if longonmarket  then laststop = f[1] endif if shortonmarket  then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif endif   if strailing = 1 then //trailing stop trailingstop = strailingstart   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif endif

  1

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  victormork

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  05/04/2017 at 9:57 AM #34500
  Maz

  Cool. Just a thought – have you tried using combinations stop modes together? For example rather than selection stop mode 1, 2 or 3; being able to switch 1, 2 and 3 on and off separately?

  

  Maz

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  05/04/2017 at 10:10 AM #34501
  GraHal

  Very useful Maz the timezone offset variable

  It may be less confusing for everyone if the timezone offset variable is labelled and set at the World Universal Time which is called UTC.  (UK is not at GMT in the Summer, but is at BST or GMT+1).

  UTC overcomes confusion as it is the accepted World Standard … a Universal Time Clock.

  UK is UTC+1

  Kasper is UTC+2

  Just a suggestion for improvement, but credit goes to you Maz for a great idea … hope others follow your lead.

  GraHal

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  05/04/2017 at 10:18 AM #34503
  Maz

  Good point @GraHal. A shared UTC offset snippet that can be plugged into anyone’s code would be useful.

  

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  05/04/2017 at 10:29 AM #34505
  victormork

  sorry guys but I skipped adding the time zon for EURUSD but it’s more or less a copy past form the USDJPY.

  @Maz – do you mean for example having a fixed target combined with an dynamic stop? That I’ve not yet tried.

  

  victormork

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  05/09/2017 at 12:14 PM #34924
  Maz

  Yes, that’s what I was referring to.

  

  Maz

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  05/10/2017 at 10:35 AM #35029
  victormork

  Thanks for the idea Maz.

  I tried the ATR based target to the trailing stop function which showed the best result and it did improve the return. I also tried the an ATR based starting point for the trailing stop but it left the return, win-rate etc unchanged. I’ve attached the latest code.

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  victormork

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  05/18/2017 at 10:37 AM #35961
  victormork

  I tired to make a small monte carlo on the long side for USDJPY and the result looks like attached file.

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  victormork

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