Simple Lunchtime Breakout Strategy

• 02/07/2023 at 10:18 AM #209284
  Mitchy14

  morning chaps,

  I am attempting to put together a very simple breakout strategy of a range formed over a certain period of time. I have pieced together something that is fairly amateur and I am not capable of really adding the ‘complexity’ (it’s very simple) I need. For some reason, although I have only stipulated that it not trades on a Sunday (something I will apply to more days when it actually works), it doesn’t seem to place trades every day.

  Is there anyone that could cast an eye and help with the below?

  The time of the range is 11:00am – 12:00pm

  The range is from high to the low of the last hour from 12:00pm and the trade is made on the breakout

  On a long, the range low is the stop loss and vice versa for a short

  Target is 1.5 x the range

  Once it hits 1:1 RRR the stoploss moves to breakeven

  This is a very simple but fairly robust strategy if anyone could support it, I think it would take you about two minutes to solve

   

  Breakout code Lunchtime

  1

  Breakout Strategy

  defparam cumulateorders = FALSE DEFPARAM FLATAFTER = 153000 daysForbiddenEntry = OpenDayOfWeek = 0 noEntryBeforeTime = 115500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 120500 timeEnterAfter = time < noEntryAfterTime // --- parameters Size = 1 //position size StopLossLong = lowest[LookbackPeriod](low) StopLossShort = highest[LookbackPeriod](high) LookbackPeriod = 12 //lookback period to find highest high and lowest low (price range) PointsDistance = 5 //distance in points to add/substract from highest high or lowest low to put the pending stop orders // ------------ if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then BUY Size CONTRACTS AT highest[LookbackPeriod](high)+PointsDistance*pointsize STOP STOPLOSSLONG = lowest[LookbackPeriod](low[1]) TARGETLONG = highest[LookbackPeriod](high[1])+(1.5*(highest[LookbackPeriod](high[1])-lowest[LookbackPeriod](low[1]))) endif if onmarket AND LONGONMARKET then sell at STOPLOSSLONG stop sell at TARGETLONG limit endif if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then SELLSHORT Size CONTRACTS AT lowest[LookbackPeriod](low)-PointsDistance*pointsize STOP STOPLOSSSHORT = highest[LookbackPeriod](high[1.5]) TARGETSHORT = lowest[LookbackPeriod](low[1])-1*(highest[LookbackPeriod](high[1]-lowest[LookbackPeriod](low[1]))) endif if onmarket AND SHORTONMARKET then exitshort at STOPLOSSSHORT stop exitshort at TARGETSHORT limit endif

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  defparam cumulateorders = FALSE DEFPARAM FLATAFTER = 153000 daysForbiddenEntry = OpenDayOfWeek = 0     noEntryBeforeTime = 115500 timeEnterBefore = time >= noEntryBeforeTime   noEntryAfterTime = 120500 timeEnterAfter = time < noEntryAfterTime   // --- parameters   Size = 1 //position size StopLossLong = lowest[LookbackPeriod](low) StopLossShort = highest[LookbackPeriod](high) LookbackPeriod = 12 //lookback period to find highest high and lowest low (price range) PointsDistance = 5 //distance in points to add/substract from highest high or lowest low to put the pending stop orders // ------------   if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then BUY Size CONTRACTS AT highest[LookbackPeriod](high)+PointsDistance*pointsize STOP STOPLOSSLONG = lowest[LookbackPeriod](low[1]) TARGETLONG = highest[LookbackPeriod](high[1])+(1.5*(highest[LookbackPeriod](high[1])-lowest[LookbackPeriod](low[1]))) endif   if onmarket AND LONGONMARKET then sell at STOPLOSSLONG stop sell at TARGETLONG limit endif   if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then SELLSHORT Size CONTRACTS AT lowest[LookbackPeriod](low)-PointsDistance*pointsize STOP STOPLOSSSHORT = highest[LookbackPeriod](high[1.5]) TARGETSHORT = lowest[LookbackPeriod](low[1])-1*(highest[LookbackPeriod](high[1]-lowest[LookbackPeriod](low[1]))) endif   if onmarket AND SHORTONMARKET then exitshort at STOPLOSSSHORT stop exitshort at TARGETSHORT limit endif

  

  Mitchy14

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  02/07/2023 at 12:37 PM #209297
  robertogozzi

  That seems fine, but to make the SL and TP active from the entry candle you should also copy lines 28 and 29 between lines 24 and 25 for LONG trades and copy lines 39-40 between lines 35 and 36 for SHORT trades.

  It will trade every time conditions are met,  not everyday.

  Pending orders only last 1 bar, then they are cancelled automatically. So they are placed only within the specified time range.

  1 user thanked author for this post.

  Mitchy14

  

  robertogozzi

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  02/07/2023 at 12:52 PM #209298
  Mitchy14

  Hi Roberto,

  Thanks for coming back so quickly! and it’s good to hear I haven’t completely messed this up… I will amend the lines you have referenced.

  Although there are conditions, they are only to trade within a certain time and not on a Sunday – shouldn’t it, therefore, be able to trade each day? I apologise if I am being short-sighted…

  In addition, is it possible to outline how to move stop loss to breakeven on reaching a rrr of 1:1? Or perhaps there is a similar/previous post that I can reference so not to take too much time.

   

  best, Tom

  

  Mitchy14

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  02/07/2023 at 1:02 PM #209299
  Mitchy14

  Sorry Roberto – it’s just occurred to me what you mean… that price may not break out of the range within those time periods and therefore a trade won’t be made.

  

  Mitchy14

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  02/07/2023 at 1:49 PM #209301
  Mitchy14

  Hi, i have made the amendments but unfortunately, the stop loss and profit aren’t activating (at least how I would like them to) – for instance on a short trade that instantly whipsaws long, it doesn’t exit the trade for quite a while, which points to the stop loss not being in place at the high of the range of the last 12 candles. Is the algo looking back 12 periods on each new candle? if so, how do I fix the stoploss in place on the execution of the trade?

  

  Mitchy14

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  02/07/2023 at 2:25 PM #209303
  robertogozzi

  Please post the current code you are using.

   

  

  robertogozzi

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  02/07/2023 at 2:41 PM #209305
  Mitchy14

  Just to confirm this is to be traded on USDJPY 5min

  Latest code

  defparam cumulateorders = FALSE DEFPARAM FLATAFTER = 173000 daysForbiddenEntry = OpenDayOfWeek = 0 OR OpenDayOfWeek = 5 OR OpenDayOfWeek = 6 noEntryBeforeTime = 115500 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 140000 timeEnterAfter = time < noEntryAfterTime // --- parameters Size = 3 //position size StopLossLong = lowest[LookbackPeriod](low) StopLossShort = highest[LookbackPeriod](high) LookbackPeriod = 12 //lookback period to find highest high and lowest low (price range) PointsDistance = 0 //distance in points to add/substract from highest high or lowest low to put the pending stop orders // ------------ if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then BUY Size CONTRACTS AT highest[LookbackPeriod](high)+PointsDistance*pointsize STOP STOPLOSSLONG = lowest[LookbackPeriod](low) TARGETLONG = highest[LookbackPeriod](high[1])+(1.5*(highest[LookbackPeriod](high[1])-lowest[LookbackPeriod](low[1]))) sell at STOPLOSSLONG stop sell at TARGETLONG limit endif if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then SELLSHORT Size CONTRACTS AT lowest[LookbackPeriod](low)-PointsDistance*pointsize STOP STOPLOSSSHORT = highest[LookbackPeriod](high) TARGETSHORT = lowest[LookbackPeriod](low[1])-(1.5*(highest[LookbackPeriod](high[1]-lowest[LookbackPeriod](low[1])))) exitshort at STOPLOSSSHORT stop exitshort at TARGETSHORT limit endif

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  defparam cumulateorders = FALSE DEFPARAM FLATAFTER = 173000 daysForbiddenEntry = OpenDayOfWeek = 0 OR OpenDayOfWeek = 5 OR OpenDayOfWeek = 6     noEntryBeforeTime = 115500 timeEnterBefore = time >= noEntryBeforeTime   noEntryAfterTime = 140000 timeEnterAfter = time < noEntryAfterTime   // --- parameters   Size = 3 //position size StopLossLong = lowest[LookbackPeriod](low) StopLossShort = highest[LookbackPeriod](high) LookbackPeriod = 12 //lookback period to find highest high and lowest low (price range) PointsDistance = 0 //distance in points to add/substract from highest high or lowest low to put the pending stop orders // ------------   if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then BUY Size CONTRACTS AT highest[LookbackPeriod](high)+PointsDistance*pointsize STOP STOPLOSSLONG = lowest[LookbackPeriod](low) TARGETLONG = highest[LookbackPeriod](high[1])+(1.5*(highest[LookbackPeriod](high[1])-lowest[LookbackPeriod](low[1]))) sell at STOPLOSSLONG stop sell at TARGETLONG limit endif   if not onmarket AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then SELLSHORT Size CONTRACTS AT lowest[LookbackPeriod](low)-PointsDistance*pointsize STOP STOPLOSSSHORT = highest[LookbackPeriod](high) TARGETSHORT = lowest[LookbackPeriod](low[1])-(1.5*(highest[LookbackPeriod](high[1]-lowest[LookbackPeriod](low[1])))) exitshort at STOPLOSSSHORT stop exitshort at TARGETSHORT limit endif

  

  Mitchy14

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  02/08/2023 at 1:33 PM #209354
  robertogozzi

  To make it Stop & Reverse, just replace Not OnMarket in line 21 with Not LongOnMarket and Not OnMarket in line 29 with Not ShortOnMarket.

  You shouldn’t have removed the original lines 27-30 and 38-41. Restore them into their place.

  

  robertogozzi

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