Strategia Wall Street Cash 1€

• 06/18/2020 at 12:39 PM #136363
  Fabiano

  //------------------------------------------------------------------------- // MONEY*M15*FEBBRAIO*2022 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = FALSE PositionSize = 1 //************************************************************** BollUp = BollingerUp[36](close) BollDown = BollingerDown[38](close) WB1 = (close[9]) > BollDown WB2 = (close[28]) < BollUp WB3 = (DClose(1) < DClose(0)[26]) tor1 = CALL "CONTEGGIO CANDELE" WA1 = (tor1 < 2) F = 20 S = 24 MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S] WA2 = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/8)] WA3 = MFIFAST[0] > MFISLOW[0] WA4 = RSI[14] (CLOSE) > 31 WA5 = STE[10] (CLOSE) > 5 tor2 = CALL "John Ehlers Adaptive CCI" WA6 = (tor2 < 145) //*************************************************************** //*************************************************************** LONG = WB1 AND WB2 AND WB3 AND WA1 AND WA2 AND WA3 AND WA4 AND WA5 AND WA6 IF LONG THEN BUY PositionSize CONTRACT AT MARKET SET STOP PLOSS 130 SET TARGET PPROFIT 130 ENDIF //*************************************************************** //*************************************************************** //%trailing stop function trailingPercent = .35 //.26 stepPercent = .25 //.014 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  //------------------------------------------------------------------------- // MONEY*M15*FEBBRAIO*2022 //-------------------------------------------------------------------------   DEFPARAM CumulateOrders = FALSE   PositionSize = 1   //**************************************************************   BollUp = BollingerUp[36](close) BollDown = BollingerDown[38](close)   WB1 = (close[9])  > BollDown WB2 = (close[28]) < BollUp   WB3 = (DClose(1) < DClose(0)[26])   tor1 = CALL "CONTEGGIO CANDELE" WA1 = (tor1 < 2)   F = 20 S = 24   MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S] WA2 = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/8)] WA3 = MFIFAST[0] > MFISLOW[0]   WA4 = RSI[14] (CLOSE) > 31   WA5 = STE[10] (CLOSE) > 5   tor2 = CALL "John Ehlers Adaptive CCI" WA6 = (tor2 < 145)   //*************************************************************** //***************************************************************   LONG = WB1 AND WB2 AND WB3 AND WA1 AND WA2 AND WA3 AND  WA4 AND WA5 AND WA6   IF LONG THEN BUY PositionSize CONTRACT AT MARKET SET STOP PLOSS 130 SET TARGET PPROFIT 130 ENDIF   //*************************************************************** //***************************************************************   //%trailing stop function trailingPercent = .35 //.26 stepPercent = .25 //.014 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif   //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

  

  Fabiano

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  06/18/2020 at 12:43 PM #136425
  Nicolas

  Grazie Fabiano, potresti spiegarci come hai sviluppato la strategia? Dovresti anche condividere il codice ITF della strategia per consentire alle persone di ottenere gli indicatori necessari che stai utilizzando con CALL.

  

  Nicolas

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  06/25/2020 at 11:20 AM #137117
  Fabiano

  Buongiorno, allego i file .itf delle CALL utilizzate, la strategia è stata pensata per cercare… di prendere una partenza di un trend in long, ho testato tutti i parametri cercando di fare il meglio che mi riesce, con le mie poche conoscenze di programmazione.

  Spero si possa implementare e sia utile…anche se vedo zero interesse per la strategia.

  Grazie a TE Nicolas e a tutti quelli che aiutano in questo forum, Francesco, Grahal, Vonasi, Roberto Gozzi, Fifi, ecc….

  

  Fabiano

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  06/25/2020 at 1:12 PM #137127
  Mauro T. “Algorithm System”

  Ciao Fabiano,

  La mancanza d’interesse era dettata dalla mancanza dei file ITF degli indicatori come sopra ti aveva chiesto Nicolas…..noto che hai usato un time frame veloce ( per come la vedo io) solo LONG e il 2020 è perfetto….penso che sia probabilmente troppo ottimizzato sicuramente testato e ottimizzato fino ultimo giorno….oggi se riesco ci do un’ occhiata .

   

  

  Mauro T. “Algorithm System”

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  06/26/2020 at 7:21 AM #137200
  Fabiano

  Ciao Mauro,

  Grazie

  

  Fabiano

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  06/26/2020 at 9:04 AM #137220
  Mauro T. “Algorithm System”

  Ciao Fabiano,

  Grazie per aver condiviso la strategia, mi sembra ben fatta anche se esistono i rischi di solo due anni di statistica.

  Potresti inserire un orario di trading iniziale e uno finale tipo questo.

  timel = time >= 090000 and time <= 200000

  1	timel = time >= 090000 and time <= 200000

  Hai giustamente usato un trailing stop in percentuale, forse sarebbe meglio usare anche uno stop in percentuale per meglio adattarsi al valore del DOW J.

  Per il target io userei un sistema che si adatta alla volatilità del momento tipo questo.

  5* averagetruerange[10](close)

  1	5* averagetruerange[10](close)

  A volte uso anche un numero massimo di barre dove essere a mercato.

  ONCE maxCandlesLongWithProfit = 185 ONCE maxCandlesLongWithoutProfit = 185 posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize numberCandles = (BarIndex - TradeIndex) m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF

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  ONCE maxCandlesLongWithProfit = 185 ONCE maxCandlesLongWithoutProfit = 185 posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize numberCandles = (BarIndex - TradeIndex) m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF

  Fai delle prove e vedi come va……ma ricordati di metterlo prima in demo per un po di mesi per vedere se non è troppo ottimizato.

  Ciao buona giornata.

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  Fabiano, robertogozzi

  

  Mauro T. “Algorithm System”

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