Sistema giornaliero con loss e profit

• 09/13/2023 at 10:27 AM #220920
  Ciccarelli Franco

  Nel codice trovato in libreria (allego) ho aggiunto un loss e profit, ma essendo il TF giornaliero , gli stessi operano a fine giornata e il drawdown è veramente alto. Vorrei limitarlo agendo sul loss e profit che dovrebbero agire dentro la candela, ma non so se è possibile.

  Grazie a chi mi può aiutare.

  //Universal XBody STrategy
  // instrument: DAX
  // timeframe : Daily
  // Spread: 4
  // created and coded by davidelaferla
  //————————————————————————-

  //————————————————————————-
  defparam cumulateorders=false

  //***********************************************************************************************************
  N = 1
  //—————— SYSTEM VARIABLES—————————————
  //CAC40 Values: ——————————————– Ottimization info
  period=per// Optimize best value for each Symbol, range=1-1000, with step=1
  mode=md// Optimize the best trading mode , range=1-4, with step=1
  invertsignal=inv// 1=positive signal, -1=negative signal, range=-1-1, with step=2
  //***********************************************************************************************
  //—————— SYSTEM FILTER—————————————
  filter1=fl1// to set after the variable optimization, range=1-100, with step=1
  filter2=fl2// to set after the variable optimization, range=0-100, with step=1
  //—————— INDICATOR —————————————
  body=close-open
  var=(body-body[1])
  sumvar=summation[period](var)
  if sumvar>filter1*pipsize then
  green=(sumvar)
  endif
  if sumvar<-filter2*pipsize then
  red=(sumvar)
  endif

  if mode=1 then
  c1=red<red[1]
  c2=green>green[1]
  endif
  if mode=2 then
  c1=red>red[1]
  c2=green<green[1]
  endif
  if mode=3 then
  c1=red<red[1]
  c2=green<green[1]
  endif
  if mode=4 then
  c1=red>red[1]
  c2=green>green[1]
  endif
  if c1 then
  signal=1*invertsignal
  elsif c2 then
  signal=-1*invertsignal
  endif

  // Conditions for entering long positions and exit short positions
  IF signal>0 then
  BUY n contract AT market
  ENDIF
  // Conditions for entering short positions and exit long positions
  IF signal<0 THEN
  SELLSHORT n CONTRACTs AT market

   

  SET STOP LOSS l*AverageTrueRange[10](close)
  SET TARGET PROFIT p*AverageTrueRange[12](close)

  ENDIF

  

  Ciccarelli Franco

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  Been thanked: 4 times
  09/13/2023 at 11:25 AM #220922
  Aragorna

  secondo me l’unico modo è inserire un TF diverso sulla parte di esecuzione e inserire un timeframe giornaliero sull’indicatore, per esempio:

  //Universal XBody STrategy
  // instrument: DAX
  // timeframe : Daily
  // Spread: 4
  // created and coded by davidelaferla
  //————————————————————————-

  //————————————————————————-
  defparam cumulateorders=false

  Timeframe ( 1 day, updateonclose)

  //***********************************************************************************************************
  N = 1
  //—————— SYSTEM VARIABLES—————————————
  //CAC40 Values: ——————————————– Ottimization info
  period=per// Optimize best value for each Symbol, range=1-1000, with step=1
  mode=md// Optimize the best trading mode , range=1-4, with step=1
  invertsignal=inv// 1=positive signal, -1=negative signal, range=-1-1, with step=2
  //***********************************************************************************************
  //—————— SYSTEM FILTER—————————————
  filter1=fl1// to set after the variable optimization, range=1-100, with step=1
  filter2=fl2// to set after the variable optimization, range=0-100, with step=1
  //—————— INDICATOR —————————————
  body=close-open
  var=(body-body[1])
  sumvar=summation[period](var)
  if sumvar>filter1*pipsize then
  green=(sumvar)
  endif
  if sumvar<-filter2*pipsize then
  red=(sumvar)
  endif

  if mode=1 then
  c1=red<red[1]
  c2=green>green[1]
  endif
  if mode=2 then
  c1=red>red[1]
  c2=green<green[1]
  endif
  if mode=3 then
  c1=red<red[1]
  c2=green<green[1]
  endif
  if mode=4 then
  c1=red>red[1]
  c2=green>green[1]
  endif
  if c1 then
  signal=1*invertsignal
  elsif c2 then
  signal=-1*invertsignal
  endif

  Timeframe ( 1 hour, default)

  // Conditions for entering long positions and exit short positions
  IF signal>0 then
  BUY n contract AT market
  ENDIF
  // Conditions for entering short positions and exit long positions
  IF signal<0 THEN
  SELLSHORT n CONTRACTs AT market

   

  SET STOP LOSS l*AverageTrueRange[10](close)
  SET TARGET PROFIT p*AverageTrueRange[12](close)

  ENDIF

  1 user thanked author for this post.

  robertogozzi

  

  Aragorna

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  09/13/2023 at 11:27 AM #220923
  Aragorna

  da adattare i valori di AverageTrueRange, perchè lavoranso ull’orario, quidni da moltiplicare per 24 presumo

  

  Aragorna

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  09/14/2023 at 9:57 AM #221012
  Ciccarelli Franco

  Lo sto provando, ma mi da l’errore che allego

  

  Ciccarelli Franco

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  Topics: 87

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  09/14/2023 at 12:03 PM #221015
  robertogozzi

  Devi usare un TF di 1 ora o minore (però se minore, bisogna che 60, che sono i minuti di un’ora ne siano multipli).

   

  

  robertogozzi

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