sistema stop&reverce che non funziona

• 02/10/2023 at 10:46 AM #209471
  KAMJKAZE

  salve a tutti,

  da qualche tempo sto studiando dei sistemi di stop and reverce, che alcune volte funzionano ed altre no…

  questo è il caso del sistema in questione

  ho provato diverse possibilità di scrittura ma non ne sono venuto a capo.

  il sistema è multitimeframe:

  stop and reverce

  TIMEFRAME (4H,UPDATEONCLOSE) RSI14LONG= RSI[14](close)>=50 CCILONG= CCI[20](typicalPrice)>=0 MEDIA20EXPO= CLOSE CROSSES OVER ExponentialAverage[20](close) IF RSI14LONG AND CCILONG AND MEDIA20EXPO AND REVERCE=0 THEN BUY 1 CONTRACT AT MARKET STOPPE=(LOWEST[2](LOW)) ENDIF TIMEFRAME (15MN,DEFAULT) IF LONGONMARKET AND REVERCE=0 THEN SET TARGET %PROFIT 2 SELL AT STOPPE STOP reverce=0 ENDIF //trailingstop // NewTrade is true whenever a new trade is opened, be it: // // - a trade when there was none previously // - a trade that has changed direction due to a Stop & Reverse (it's Long and previously was Short and viceversa) // // This will be useful to reset variables to their initial values after a trade has been opened. // NewTrade = (OnMarket AND Not OnMarket[1]) OR (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) // // Reset variables to their initial value when a new trade shows // IF Not OnMarket and reverce=0 OR NewTrade and reverce=0 THEN //reset to default values when a new trade has been opened (or none is OnMarket) PerCentTP = 1.0 //2.0% is TP PerCentStart = x //0.2% is the Trailing Stop trigger level PerCentStep = y //0.2% is each subsequent step PerCentSaved = z //0.1% is how much profit has to be saved when trailing starts and every step Multiplier = M //1.5 is how much PerCentSaved is incremented each trailing step // 1.5 is a 50% increment, so that: // 0.1% becomes 0.15%, then // 0.15% becomes 0.225%, then // 0.225% becomes 0.3375%, etc... Distance = 6 //6 pip distance from current price (if required by the broker) MySL = 0 ProfitPerCent = 0 ENDIF // // The trailing stop can operate only when OnMarket // IF OnMarket AND REVERCE=0 THEN // // before the trailing stop is triggered some calculations need to be done, accordin to settings // IF MySL = 0 THEN PCent = PositionPrice * PerCentTP / 100 PStart = PositionPrice * PerCentStart / 100 PStep = PositionPrice * PerCentStep / 100 PSaved = PositionPrice * PerCentSaved / 100 ENDIF // // check if Trailing Stop has to be triggered // IF MySL = 0 THEN IF LongOnMarket THEN IF (close - PositionPrice) >= PStart THEN MySL = min(close,PositionPrice + PSaved) PSaved = PSaved * Multiplier ENDIF ELSIF ShortOnMarket THEN IF (PositionPrice - close) >= PStart THEN MySL = max(close,PositionPrice - PSaved) PSaved = PSaved * Multiplier ENDIF ENDIF ELSE // // check if another Step has been triggered // IF LongOnMarket THEN IF (close - MySL) >= PStep THEN MySL = min(close,MySL + PSaved) PSaved = PSaved * Multiplier ENDIF ELSIF ShortOnMarket THEN IF (MySL - close) >= PStep THEN MySL = max(close,MySL - PSaved) PSaved = PSaved * Multiplier ENDIF ENDIF ENDIF // // place Pending STOP orders // IF MySL > 0 and reverce=0 THEN IF (MySL = close) OR (abs(MySL - close) < Distance) THEN //exit immediately in case MySL has reached // the current price or there's not enough DISTANCE SELL AT MARKET EXITSHORT AT MARKET ELSE SELL AT MySL STOP EXITSHORT AT MySL STOP ENDIF ENDIF ENDIF //reverceside IF NOT ONMARKET THEN reverce=0 ENDIF IF LONGONMARKET and POSITIONPERF<0 and CLOSE CROSSES UNDER DonchianChannelDown[10] THEN SELL AT MARKET REVERCE= 1 ENDIF IF longonmarket[1] AND REVERCE=1 THEN SELLSHORT 1 CONTRACT AT MARKET STOPPEREVERCE= HIGHEST[1] (HIGH) TARGETREVERCE= CLOSE-((HIGHEST[1](HIGH)- CLOSE)) reverce=1 ENDIF IF SHORTONMARKET and reverce=1 THEN EXITSHORT AT STOPPEREVERCE STOP EXITSHORT AT TARGETREVERCE stop ENDIF if shortonmarket[1] or not onmarket then reverce=0 endif GRAPHONPRICE TARGETREVERCE GRAPHONPRICE STOPPEREVERCE GRAPH REVERCE

  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 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141

  TIMEFRAME (4H,UPDATEONCLOSE)       RSI14LONG= RSI[14](close)>=50 CCILONG= CCI[20](typicalPrice)>=0 MEDIA20EXPO= CLOSE CROSSES OVER ExponentialAverage[20](close)   IF RSI14LONG AND CCILONG AND MEDIA20EXPO AND REVERCE=0 THEN BUY 1 CONTRACT AT MARKET STOPPE=(LOWEST[2](LOW)) ENDIF   TIMEFRAME (15MN,DEFAULT)     IF LONGONMARKET AND REVERCE=0 THEN SET TARGET %PROFIT 2 SELL AT STOPPE STOP reverce=0 ENDIF     //trailingstop   // NewTrade is true whenever a new trade is opened, be it: // //   - a trade when there was none previously //   - a trade that has changed direction due to a Stop & Reverse (it's Long and previously was Short and viceversa) // // This will be useful to reset variables to their initial values after a trade has been opened. // NewTrade         = (OnMarket AND Not OnMarket[1]) OR (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) // // Reset variables to their initial value when a new trade shows // IF Not OnMarket and reverce=0 OR NewTrade and reverce=0 THEN //reset to default values when a new trade has been opened (or none is OnMarket) PerCentTP     = 1.0           //2.0%  is TP PerCentStart  = x           //0.2%  is the Trailing Stop trigger level PerCentStep   = y           //0.2%  is each subsequent step PerCentSaved  = z           //0.1%  is how much profit has to be saved when trailing starts and every step Multiplier    = M           //1.5   is how much PerCentSaved is incremented each trailing step //                                    1.5 is a 50% increment, so that: //                                         0.1%   becomes 0.15%,   then //                                         0.15%  becomes 0.225%,  then //                                         0.225% becomes 0.3375%, etc... Distance      = 6             //6     pip distance from current price (if required by the broker) MySL          = 0 ProfitPerCent = 0 ENDIF // // The trailing stop can operate only when OnMarket // IF OnMarket AND REVERCE=0 THEN // // before the trailing stop is triggered some calculations need to be done, accordin to settings // IF MySL = 0 THEN PCent      = PositionPrice * PerCentTP    / 100 PStart     = PositionPrice * PerCentStart / 100 PStep      = PositionPrice * PerCentStep  / 100 PSaved     = PositionPrice * PerCentSaved / 100 ENDIF // // check if Trailing Stop has to be triggered // IF MySL = 0 THEN IF LongOnMarket THEN IF (close - PositionPrice) >= PStart THEN MySL   = min(close,PositionPrice + PSaved) PSaved = PSaved * Multiplier ENDIF ELSIF ShortOnMarket THEN IF (PositionPrice - close) >= PStart THEN MySL   = max(close,PositionPrice - PSaved) PSaved = PSaved * Multiplier ENDIF ENDIF ELSE // // check if another Step has been triggered // IF LongOnMarket THEN IF (close - MySL) >= PStep THEN MySL   = min(close,MySL + PSaved) PSaved = PSaved * Multiplier ENDIF ELSIF ShortOnMarket THEN IF (MySL - close) >= PStep THEN MySL   = max(close,MySL - PSaved) PSaved = PSaved * Multiplier ENDIF ENDIF ENDIF // // place Pending STOP orders // IF MySL > 0 and reverce=0 THEN IF (MySL = close) OR (abs(MySL - close) < Distance) THEN //exit immediately in case MySL has reached //                                                      the current price or there's not enough DISTANCE SELL      AT MARKET EXITSHORT AT MARKET ELSE SELL      AT MySL STOP EXITSHORT AT MySL STOP ENDIF ENDIF ENDIF     //reverceside   IF NOT ONMARKET THEN reverce=0 ENDIF     IF LONGONMARKET and POSITIONPERF<0 and CLOSE CROSSES UNDER DonchianChannelDown[10] THEN SELL AT MARKET REVERCE= 1 ENDIF   IF longonmarket[1]  AND REVERCE=1  THEN SELLSHORT 1 CONTRACT AT MARKET STOPPEREVERCE= HIGHEST[1] (HIGH) TARGETREVERCE= CLOSE-((HIGHEST[1](HIGH)- CLOSE)) reverce=1 ENDIF   IF SHORTONMARKET and reverce=1  THEN EXITSHORT AT STOPPEREVERCE STOP EXITSHORT AT TARGETREVERCE stop ENDIF   if shortonmarket[1] or not onmarket then reverce=0 endif   GRAPHONPRICE TARGETREVERCE GRAPHONPRICE STOPPEREVERCE GRAPH REVERCE

   

  il primo ingresso è solo long, la condizione principale è sulle 4h, l’entry e il trailing stop a 15 minuti

  il reverce entra in funzione nella condizione in cui il close cross under il canale di donchian a 10 periodi.

  vi allego il sistema è uno screeshot del problema.

   

   

   

  

  KAMJKAZE

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  02/10/2023 at 12:43 PM #209502
  robertogozzi

  Le righe 123-128 toglile e scrivi queste al  posto delle righe 119-120:

  SELLSHORT 1 CONTRACT AT MARKET STOPPEREVERCE= HIGHEST[1] (HIGH) TARGETREVERCE= CLOSE-((HIGHEST[1](HIGH)- CLOSE))

  1 2 3

  SELLSHORT 1 CONTRACT AT MARKET STOPPEREVERCE= HIGHEST[1] (HIGH) TARGETREVERCE= CLOSE-((HIGHEST[1](HIGH)- CLOSE))

  

  robertogozzi

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  02/10/2023 at 12:49 PM #209503
  robertogozzi

  Però c’è un altro errore logico, TARGETREVERCE e STOPPEREVERCE non possono essere piazzati entrambi come ordini pendenti dello stesso tipo, se uno è STOP l’altro dovrebbe essere LIMIT.

   

  

  robertogozzi

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  02/10/2023 at 3:28 PM #209516
  KAMJKAZE

  ciao roberto,

  intanto grazie,

  alcune cose che non ho capito:

  1: io per indicare il trade principale e il reverce utilizzo una variabile (reverce=0/1) , serve o non serve in questo sistema in  particolare o in generale?

  2: quindi posso entrare in una posizione short senza chiudere una posizione long in essere? in quel caso viene eseguita subito o alla prossima barra?

  3 : le righe  130-133 io ho provato tutte le combinazioni sia con ordini pendenti stop/limit; limit/stop ecc eppure mi da backtest mi salta lo stop o il target o entrambi.

  non ne cavo un ragno dal buco…

  

  KAMJKAZE

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  02/10/2023 at 4:42 PM #209522
  robertogozzi

  1. Non serve, ma se ti serve per SL e TP degli Short, lascialo:

  2. quando entri Long prima chiude eventuali operazioni Short aperte, poi apre la nuova operazione Long. L’opposto per lo Short;

  3. STOP si usa quando il prezzo di uscita è peggiorativo rispetto all’attuale (ad esempio SL), mentre LIMIT si usa quando è migliorativo (ad esempio TP).

  Esempio di entrata SENZA Stop & Reverse:

  If Not OnMarket then If CondizioniLong then Buy at Market ElsIf CondizioniShort then SellShort at Market Endif Endif

  1 2 3 4 5 6 7

  If Not OnMarket then    If CondizioniLong then       Buy at Market    ElsIf CondizioniShort then       SellShort at Market    Endif Endif

  Esempio di entrata CON Stop & Reverse:

  If Not LongOnMarket and CondizioniLong then Buy at Market ElsIf Not ShortOnMarket and CondizioniShort then SellShort at Market Endif

  1 2 3 4 5

  If Not LongOnMarket  and CondizioniLong then       Buy at Market ElsIf Not ShortOnMarket  and  CondizioniShort then    SellShort at Market Endif

   

  

  robertogozzi

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  02/14/2023 at 7:23 PM #209683
  KAMJKAZE

  risolto

  grazie mille 😀

  

  KAMJKAZE

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