Simple Moving Average Crossover Strategy

• 03/30/2022 at 7:31 PM #190799
  phoentzs

  Price distance can be set at 2 points with SP500 with a clear conscience.

  

  phoentzs

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  03/30/2022 at 7:48 PM #190800
  MauroPro

  There are different versions of Roberto’s Trp. I used the version on page 4 (rif: 165976): https://www.prorealcode.com/topic/breakeeven-trailing-profit/page/4/

  Roberto, is there a better one for this TS?

   

  

  MauroPro

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  03/30/2022 at 9:29 PM #190811
  phoentzs

  Is there a reason why you define TP and SL outside of the if block? Is this better from the encoding or just a coding style?

   

  

  phoentzs

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  03/30/2022 at 9:56 PM #190812
  nonetheless

  looks interesting, thanks for sharing.

  I tried reworking it on 1m bars but it’s fairly dead before 2018, so here’s a quick treatment on a 5 year backtest. Attached are results for yours and Mauro’s for that same period and you can see that they’re curve-fit to 200k

  SP 5m T4 Multi v4.1 is with Roberto’s trail, but I didn’t change any of the values from Mauro’s version, so that could be worth playing with.

  More room for improvement, I’m sure

  

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  03/30/2022 at 9:57 PM #190817
  nonetheless

  itfs

  

  nonetheless

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  03/30/2022 at 9:58 PM #190820
  MauroPro

  It’s just a coding style, I think the code remains cleaner.

  

  MauroPro

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  03/30/2022 at 10:12 PM #190821
  nonetheless

  here’s the code for mine, so you can see the changes

  //30.03.2022 200000k //US500 M5 Spread 0.6 //UK Time defparam preloadbars = 10000 defparam CUMULATEORDERS = false possize = 5 //Tradetime //UK time h1 = 143000 h2 = 220000 //Euro time //h1 = 153000 //h2 = 230000 //adjustment for American Daylight Savings time ADLS =1 if ADLS then DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=h1-10000 and time <h2-10000 elsif not DLS then Tradetime = time >=h1 and time <h2 endif endif if not ADLS then Tradetime = time >=h1 and time <h2 endif timeframe(8 hour) ma = average[a1,t1](typicalprice) cb1 = ma > ma[1] mb = average[a2,t2](typicalprice) cs1 = mb < mb[1] timeframe(15 minutes) MA1 = average[x1,t3](typicalprice) MA2 = average[x2,t3](typicalprice) MA4 = average[x5,t5](typicalprice) MA5 = average[x6,t5](typicalprice) cb2 = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] cs2 = MA4 < MA5 //and MA5 < MA5[1] timeframe(default)//M5 MAL1 = average[a7,t7](typicalprice) MAL2 = average[a8,t7](typicalprice) //15 cb3 = MAL1 crosses over MAL2 cs3 = MAL1 crosses under MAL2 long = cb1 and cb2 and cb3 //and RangelongD20 short = cs1 and cs2 and cs3 //and RangeshortD20 // position management IF Tradetime THEN If long then //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif If longonmarket and cs1 then sell at market endif If shortonmarket and cb1 then exitshort at market endif ////////////////////////////////////////

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  //30.03.2022  200000k //US500 M5 Spread 0.6 //UK Time   defparam preloadbars = 10000 defparam CUMULATEORDERS = false     possize = 5   //Tradetime //UK time h1 = 143000 h2 = 220000   //Euro time //h1 = 153000 //h2 = 230000       //adjustment for American Daylight Savings time ADLS =1 if ADLS then DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=h1-10000 and time <h2-10000 elsif not DLS then Tradetime = time >=h1 and time <h2 endif endif   if not ADLS then Tradetime = time >=h1 and time <h2 endif   timeframe(8 hour) ma = average[a1,t1](typicalprice) cb1 = ma > ma[1] mb = average[a2,t2](typicalprice) cs1 =  mb < mb[1]     timeframe(15 minutes) MA1 = average[x1,t3](typicalprice) MA2 = average[x2,t3](typicalprice)   MA4 = average[x5,t5](typicalprice) MA5 = average[x6,t5](typicalprice)   cb2  = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] cs2 = MA4 < MA5 //and MA5 < MA5[1]         timeframe(default)//M5 MAL1 = average[a7,t7](typicalprice) MAL2 = average[a8,t7](typicalprice) //15 cb3  = MAL1 crosses over MAL2 cs3 = MAL1 crosses under MAL2     long   =   cb1 and cb2 and cb3     //and RangelongD20 short  =   cs1 and cs2 and cs3  //and RangeshortD20       // position management IF Tradetime THEN If long then                           //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf   If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif     If longonmarket and cs1 then sell at market endif   If shortonmarket and cb1 then exitshort at market endif     ////////////////////////////////////////

   

  

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  03/30/2022 at 10:18 PM #190822
  phoentzs

  Thank you for your work. I’ll compare in peace. But it is interesting to see that a suitable system is created with simple indicators without much magic. I think the “problem” with the Roberto Trail is that it uses points instead of percent. I suspect. And that before 2018 the S&P500 was worth half what it is today. Of course, the fluctuations were much smaller than today. 

  

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  03/30/2022 at 10:28 PM #190823
  nonetheless

  phoentzs wrote:

  the Roberto Trail is that it uses points instead of percent

  this version has a % option:

  //RGTS2 ONCE RGTS2 = 1 if RGTS2 then ONCE UseCLOSE = 0 //1=use CLOSE, 0=use High/Low srcH = close //defaults to CLOSE srcL = close //defaults to CLOSE IF UseCLOSE = 0 THEN srcH = high srcL = low ENDIF ONCE UsePerCentage = 1 //0=use Pips (default), 1=use Percentages ONCE UseEquity = 0 //0=use price (default), 1=use current Equity (initial Capital + StrategyProfit, as defined by variable MyEquity) MyEquity = 0 DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCent = pc //0.25 = 0.25% to start triggering Trailing Stop (when UsePerCentage=1) StartPerCentShort = pcs StepPerCent = spc //50 = 50% (of the 0.25% above) as a Trailing Step (when UsePerCentage=1) (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) // TrailStart = 30 //30 Start trailing profits from this point (when UsePerCentage=0) MinStart = 10 //10 Minimum value for TrailStart (when UseEquity=1, to prevent TrailStart from dropping below ZERO when Equity turns negative) IF UsePerCentage THEN TrailStart = (close / PipSize) * StartPerCent / 100 //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100 IF UseEquity THEN //alternative calculations using EQUITY TrailStart = Max(MinStart,(MyEquity / PipValue) * StartPerCent / 100) //MyEquity is the variable (feel free to use a different name) retaining your current equity ENDIF ENDIF // BasePerCent = bpc //0.08 - 0.2 Profit percentage to keep when setting BerakEven // StepSize = ss //5 - 15 Pip chunks to increase Percentage IF UsePerCentage THEN StepSize = TrailStart * StepPerCent / 100 ENDIF // PerCentInc = pci //0.06 - 0.14 PerCent increment after each StepSize chunk RoundTO = rnd //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = IG * pipsize //IG minimum distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value //PositionCount = 0 SellPrice = 0 SellPriceX = 0 ExitPrice = 9999999 ExitPriceX = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1 = PositionPrice + ((srcH - PositionPrice) * ProfitPerCent) //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1 = PositionPrice - ((PositionPrice - srcL) * ProfitPerCent) //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND srcH > (PositionPrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (srcH - PositionPrice) / pipsize //convert price to pips IF x1 >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND srcL < (PositionPrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - srcL) / pipsize //convert price to pips IF x2 >= TrailStartShort THEN // go ahead only if N+ pips Diff2 = abs(TrailStartShort - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit ENDIF ENDIF //------------------------------------------------------------------------------ // manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = max(SellPrice,PositionPrice + (y1 * pipsize)) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions) ExitPrice = min(ExitPrice,PositionPrice - (y2 * pipsize)) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF ENDIF

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  //RGTS2 ONCE RGTS2 = 1 if RGTS2 then   ONCE UseCLOSE = 0                        //1=use CLOSE,  0=use High/Low srcH = close                                      //defaults to CLOSE srcL = close                                      //defaults to CLOSE IF UseCLOSE = 0 THEN srcH = high srcL = low ENDIF ONCE UsePerCentage = 1                            //0=use Pips  (default), 1=use Percentages ONCE UseEquity     = 0                            //0=use price (default), 1=use current Equity (initial Capital + StrategyProfit, as defined by variable MyEquity) MyEquity = 0 DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket)  //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCent  = pc //0.25  = 0.25%  to start triggering Trailing Stop       (when UsePerCentage=1) StartPerCentShort  = pcs StepPerCent   = spc //50  = 50%    (of the 0.25% above) as a Trailing Step (when UsePerCentage=1) (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) // TrailStart    = 30          //30     Start trailing profits from this point  (when UsePerCentage=0) MinStart      = 10          //10     Minimum value for TrailStart            (when UseEquity=1, to prevent TrailStart from dropping below ZERO when Equity turns negative) IF UsePerCentage THEN TrailStart = (close / PipSize) * StartPerCent / 100    //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100 IF UseEquity THEN                                             //alternative calculations using EQUITY TrailStart = Max(MinStart,(MyEquity / PipValue) * StartPerCent / 100)  //MyEquity is the variable (feel free to use a different name) retaining your current equity ENDIF ENDIF // BasePerCent   = bpc //0.08 - 0.2  Profit percentage to keep when setting BerakEven // StepSize      = ss //5 - 15     Pip chunks to increase Percentage IF UsePerCentage THEN StepSize   = TrailStart * StepPerCent / 100 ENDIF // PerCentInc    = pci //0.06 - 0.14  PerCent increment after each StepSize chunk RoundTO       = rnd        //-0.5   rounds always to Lower integer,   +0.4 rounds always to Higher integer,     0 defaults PRT behaviour PriceDistance = IG * pipsize //IG minimum distance from current price y1            = 0           //reset to 0 y2            = 0           //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value //PositionCount = 0 SellPrice     = 0 SellPriceX    = 0 ExitPrice     = 9999999 ExitPriceX    = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1         = PositionPrice + ((srcH - PositionPrice) * ProfitPerCent)      //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice  = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1         = PositionPrice - ((PositionPrice - srcL) * ProfitPerCent)      //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice  = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND srcH > (PositionPrice + (y1 * pipsize)) THEN                              //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (srcH - PositionPrice) / pipsize                                     //convert price to pips IF x1 >= TrailStart THEN                                                //    go ahead only if N+ pips Diff1         = abs(TrailStart - x1)                                 //difference from current profit and TrailStart Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))           //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1)                                     //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND srcL < (PositionPrice - (y2 * pipsize)) THEN                             //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - srcL) / pipsize                                     //convert price to pips IF x2 >= TrailStartShort THEN                                                //      go ahead only if N+ pips Diff2         = abs(TrailStartShort - x2)                                 //difference from current profit and TrailStart Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))           //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2)                                     //y2 = % of max profit ENDIF ENDIF //------------------------------------------------------------------------------ //                    manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions) SellPrice = max(SellPrice,PositionPrice + (y1 * pipsize))                  //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN                                                                 //Place pending STOP order when y2 > 0   (SHORT positions) ExitPrice = min(ExitPrice,PositionPrice - (y2 * pipsize))                  //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF ENDIF

   

  

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  03/30/2022 at 11:33 PM #190824
  phoentzs

  Which do you prefer? This one (Robertos) or your own, which I also use? Both of which are by Roberto in terms of construction. 

  

  phoentzs

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  03/31/2022 at 12:07 AM #190825
  nonetheless

  I mostly use this one (above) – has a few more options and usually gives better results. I added a separate TrailStartShort as it often helps to have different values there.

  

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  03/31/2022 at 12:19 AM #190826
  phoentzs

  I have found that separate trailing for long and short is important. But the steps must also be separate. Short trades usually have to be secured faster than long trades.

  

  phoentzs

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  03/31/2022 at 9:43 AM #190839
  deletedaccount051022

  Thanks for sharing nonetheless

  Agree with you that % is better than fixed.  Given the change in index value over the last 2 years I tend to optimise over a more recent data set to have something more relevant going forwards.

  

  deletedaccount051022

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  03/31/2022 at 12:53 PM #190855
  phoentzs

  I once again looked at my original version and installed lightweight filter …
  In the H4 time frame I installed a new noTrade-filter that should prevent the strategy enters a covered or oversold market. In addition, I added an entrance timer who should find out if there is a better price after the Ma-Cross.
  All small changes, but … more Profit, Smaller Drawdown.

  //31.03.2022 200000k //US500 M5 Spread 0.6 //German Time defparam preloadbars = 10000 defparam CUMULATEORDERS = false possize = 5 timeframe(4hour, updateonclose) myRSI = RSI[rs](close) noTradeL = myRSI > rso noTradeS = myRSI < rsu timeframe(15minute, updateonclose) RangeMAD5 = average[480,0](close) //Wochentrend Daily MA5 RangelongD5 = close > RangeMAD5 RangeshortD5 = close < RangeMAD5 RangeMAD20 = average[1920,0](close) //"Monatstrend" Daily MA20 RangelongD20 = RangeMAD5 > RangeMAD20 RangeshortD20 = RangeMAD5 < RangeMAD20 MA1 = average[x1,0](close) MA2 = average[x2,0](close) //MA3 = average[x3,0](close) MA4 = average[x5,1](close) MA5 = average[x6,1](close) longA = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] shortA = MA4 < MA5 //and MA5 < MA5[1] MAL1 = average[5,0](close) MAL2 = average[15,0](close) //15 longB = MAL1 crosses over MAL2 shortB = MAL1 crosses under MAL2 timeframe(default)//M5 long = RangelongD5 and longB[t1] and longA and not noTradeL //and RangelongD20 short = RangeshortD5 and shortB[t2] and shortA and not noTradeS //and RangeshortD20 Exit1 = RangeshortD5 Exit2 = RangelongD5 // trading window ONCE BuyTime = 110000 ONCE SellTime = 213000 ONCE BuyTime2 = 150000 ONCE SellTime2 = 213000 // position management IF Time >= buyTime AND Time <= SellTime THEN If long then //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf endif IF Time >= buyTime2 AND Time <= SellTime2 THEN If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif If longonmarket and Exit1 then sell at market endif If shortonmarket and Exit2 then exitshort at market endif if time = 223000 then //223000 //sell at market exitshort at market endif if time = 225500 and dayofweek=5 then //225500 sell at market exitshort at market endif //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong = startl // % trailingpercentshort = start // % once acceleratorlong = stepl // typically tst*0.1 once acceleratorshort= step // typically tss*0.1 ts2sensitivity = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////

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  //31.03.2022  200000k //US500 M5 Spread 0.6 //German Time   defparam preloadbars = 10000 defparam CUMULATEORDERS = false     possize = 5   timeframe(4hour, updateonclose) myRSI = RSI[rs](close) noTradeL = myRSI > rso noTradeS = myRSI < rsu   timeframe(15minute, updateonclose) RangeMAD5 = average[480,0](close)   //Wochentrend Daily MA5 RangelongD5  = close > RangeMAD5 RangeshortD5 = close < RangeMAD5   RangeMAD20 = average[1920,0](close)  //"Monatstrend" Daily MA20 RangelongD20  = RangeMAD5 > RangeMAD20 RangeshortD20 = RangeMAD5 < RangeMAD20     MA1 = average[x1,0](close) MA2 = average[x2,0](close) //MA3 = average[x3,0](close) MA4 = average[x5,1](close) MA5 = average[x6,1](close)   longA  = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] shortA = MA4 < MA5 //and MA5 < MA5[1]   MAL1 = average[5,0](close) MAL2 = average[15,0](close) //15 longB  = MAL1 crosses over MAL2 shortB = MAL1 crosses under MAL2     timeframe(default)//M5 long   =   RangelongD5 and longB[t1] and longA and not noTradeL    //and RangelongD20 short  =   RangeshortD5 and shortB[t2] and shortA and not noTradeS  //and RangeshortD20 Exit1 = RangeshortD5 Exit2 = RangelongD5   // trading window ONCE BuyTime   = 110000 ONCE SellTime  = 213000 ONCE BuyTime2  = 150000 ONCE SellTime2 = 213000 // position management IF Time >= buyTime AND Time <= SellTime THEN   If long then                           //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf   endif   IF Time >= buyTime2 AND Time <= SellTime2 THEN   If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf   endif   If longonmarket and Exit1 then sell at market endif   If shortonmarket and Exit2 then exitshort at market endif   if time = 223000 then  //223000 //sell at market exitshort at market endif   if time = 225500 and dayofweek=5 then  //225500 sell at market exitshort at market endif   //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong  = startl // % trailingpercentshort = start // % once acceleratorlong = stepl // typically tst*0.1 once acceleratorshort= step // typically tss*0.1 ts2sensitivity  = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif   if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////

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  03/31/2022 at 2:04 PM #190862
  nonetheless

  I expect you’ve decided that you don’t really care what happened before your test period, but just in case you’re curious:

  

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