Strategy conversion from ProQuant

• 01/13/2021 at 9:03 PM #157703
  Revosh

  Hello Community,

  with ProQuant shutdown I wanted to try atleast one of my strategies on a new platform. Sadly my skills are not good enough for programming it myself. Maybe someone can take a look at it and help me out?

  Thanks a lot

  Revosh

  

  Revosh

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  01/14/2021 at 5:16 PM #157863
  Nicolas

  Please describe the strategy the best you can, and I will translate the code you provided.

  

  Nicolas

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  01/17/2021 at 12:19 PM #158147
  Revosh

  Hello Nicolas,

  thank you for your response. I use the strategy on the daily GBPUSD. Its based on three indicators as you can see in the code. Its a rahter “slow” strategy with entrys only every 1-2 months. I backtested it for 6 months on ProQuant with good results. I just realised there is no SL in the code I gave you. If I remember correctly it had a fixed SL with a 7 % SLI (stop loss impact).

  ProQuant had a simple system which entered a position when the entry rules where met. It was based on the long entry rules and simply mirrored it in the opposit for short entrys.

  I hope this is enough information for you. If not or you need anything specific, feel free to aks again.

  Thank you very much!

   

   

  

  Revosh

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  01/18/2021 at 1:33 PM #158277
  Nicolas

  Here is the translated code:

  wpr = Williams[6](close) imacd = MACDline[3,16,4](close) imacdSignal = MACDSignal[3,16,4](close) stdDev = std[21] vol=volume //Rules/triggers longEntryRule = wpr > -43 longEntryRule2 = imacd crosses over imacdsignal longEntryRule3 = stddev>stddev[1] and stddev[1]<stddev[2]//ChangesDirectionUpwards(stdDev) shortEntryRule = wpr < -57 shortEntryRule2 = imacd crosses under imacdsignal shortEntryRule3 = stddev>stddev[1] and stddev[1]<stddev[2]//ChangesDirectionUpwards(stdDev) longExitRule = vol>vol[1] and vol[1]<vol[2]//ChangesDirectionUpwards(volume) shortExitRule = vol<vol[1] and vol[1]>vol[2]//ChangesDirectionUpwards(volume) //Signals if longEntryRule and longEntryRule2 and longEntryRule3 then buy at market endif if shortEntryRule and shortEntryRule2 and shortEntryRule3 then sellshort at market endif if longExitRule then sell at market endif if shortExitRule then exitshort at market endif set stop %loss 7

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  wpr = Williams[6](close) imacd = MACDline[3,16,4](close) imacdSignal = MACDSignal[3,16,4](close) stdDev = std[21] vol=volume   //Rules/triggers longEntryRule = wpr > -43 longEntryRule2 = imacd crosses over imacdsignal longEntryRule3 = stddev>stddev[1] and stddev[1]<stddev[2]//ChangesDirectionUpwards(stdDev)   shortEntryRule = wpr < -57 shortEntryRule2 = imacd crosses under imacdsignal shortEntryRule3 = stddev>stddev[1] and stddev[1]<stddev[2]//ChangesDirectionUpwards(stdDev)   longExitRule = vol>vol[1] and vol[1]<vol[2]//ChangesDirectionUpwards(volume)   shortExitRule = vol<vol[1] and vol[1]>vol[2]//ChangesDirectionUpwards(volume)   //Signals   if longEntryRule and longEntryRule2 and longEntryRule3 then buy at market endif if shortEntryRule and shortEntryRule2 and shortEntryRule3 then sellshort at market endif if longExitRule then sell at market endif if shortExitRule then exitshort at market endif set stop %loss 7

   

  

  Nicolas

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  01/18/2021 at 6:20 PM #158343
  Revosh

  Thank you alot!

  

  Revosh

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