Strategy TrendImpulse v1

• 04/27/2020 at 4:55 AM #128304
  Dow Jones

  Hi everyone,

  Here is a new strategy on Wall Street/DJI 5 min TF that utilize Perfect Trend Line as entry/exit and Trend Impulse Filter as trend direction. All credits to the original author.

  DLS code is added to avoid high spread period. Time Zone used is UTC+08:00. Looking forward for your suggestion and ideas of improvement.

  XXXDJI-M1-TrendImpulsev1

  DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 1000 // --------- US DAY LIGHT SAVINGS MONTHS ---------------- // mar = month = 3 // MONTH START nov = month = 11 // MONTH END IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN USDLS=010000 ELSE USDLS=0 ENDIF timeok = NOT(time >051500- USDLS AND time <053000 - USDLS) AND NOT(time >060000 - USDLS AND time <070000 - USDLS) timeframe(5 minute) thigh1 = Highest[SlowLength](high)+ SlowPipDisplace*pointsize tlow1 = Lowest[SlowLength](low)- SlowPipDisplace*pointsize thigh2 = Highest[FastLength](high)+ FastPipDisplace*pointsize tlow2 = Lowest[FastLength](low)- FastPipDisplace*pointsize if barindex>2 then if Close>line1[1] then line1 = tlow1 else line1 = thigh1 endif if Close>line2[1] then line2 = tlow2 else line2 = thigh2 endif endif if (Close[0]<line1[0] and Close[0]<line2[0]) then trend = 1 endif if (Close[0]>line1[0] and Close[0]>line2[0]) then trend = -1 endif if (line1[0]>line2[0] or trend[0] = 1) then trena = 1 endif if (line1[0]<line2[0] or trend[0] = -1) then trena = -1 endif if trena<>trena[1] then if trena=1 then //bear prefecttrend = 2 else //bull prefecttrend = 1 endif endif timeframe(default) once bb = src if barindex>length then src = (highest[length](high)+lowest[length](low))/2 rising = src-src[length]>0 falling = src-src[length]<0 aa = rising or falling bb = exponentialaverage[centertrend](aa*src+(1-aa)*bb[1]) //—- if bb>bb[1] then //bull trendimpulse = 1 elsif bb<bb[1] then //bear trendimpulse = 2 endif endif //====== Enter market - start ===== // LONG side C1 = trendimpulse = 1 AND prefecttrend[1] = 2 AND prefecttrend = 1 IF timeok AND Not OnMarket AND C1 THEN BUY 1 CONTRACT AT MARKET SET STOP pLOSS SL ENDIF // SHORT side C2 = trendimpulse = 2 AND prefecttrend[1] = 1 AND prefecttrend = 2 IF timeok AND Not OnMarket AND C2 THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP pLOSS SL ENDIF //====== Enter market - end ===== //====== Exit market - start ===== X1 = prefecttrend[1] = 1 AND prefecttrend = 2 IF LONGONMARKET AND X1 THEN SELL AT MARKET ENDIF X2 = prefecttrend[1] = 2 AND prefecttrend = 1 IF SHORTONMARKET AND X2 THEN EXITSHORT AT MARKET ENDIF //====== Exit market - end =====

  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

  DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 1000   // ---------   US DAY LIGHT SAVINGS MONTHS      ---------------- // mar = month = 3 // MONTH START nov = month = 11 // MONTH END IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN USDLS=010000 ELSE USDLS=0 ENDIF   timeok = NOT(time >051500- USDLS AND time <053000 - USDLS) AND NOT(time >060000 - USDLS AND time <070000 - USDLS)   timeframe(5 minute) thigh1 = Highest[SlowLength](high)+ SlowPipDisplace*pointsize tlow1  = Lowest[SlowLength](low)- SlowPipDisplace*pointsize thigh2 = Highest[FastLength](high)+ FastPipDisplace*pointsize tlow2  = Lowest[FastLength](low)- FastPipDisplace*pointsize   if barindex>2 then if Close>line1[1] then line1 = tlow1 else line1 = thigh1 endif if Close>line2[1] then line2 = tlow2 else line2 = thigh2 endif endif   if (Close[0]<line1[0] and Close[0]<line2[0]) then trend =  1 endif if (Close[0]>line1[0] and Close[0]>line2[0]) then trend = -1 endif if (line1[0]>line2[0] or trend[0] =  1) then trena =  1 endif if (line1[0]<line2[0] or trend[0] = -1) then trena = -1 endif if trena<>trena[1] then if trena=1 then //bear prefecttrend = 2 else //bull prefecttrend = 1 endif endif   timeframe(default)   once bb = src if barindex>length then src = (highest[length](high)+lowest[length](low))/2 rising = src-src[length]>0 falling = src-src[length]<0 aa = rising or falling bb = exponentialaverage[centertrend](aa*src+(1-aa)*bb[1]) //—-   if bb>bb[1] then //bull trendimpulse = 1 elsif bb<bb[1] then //bear trendimpulse = 2 endif   endif     //====== Enter market - start =====   //  LONG  side C1 = trendimpulse = 1 AND prefecttrend[1] = 2 AND prefecttrend = 1   IF timeok AND Not OnMarket AND C1 THEN BUY 1 CONTRACT AT MARKET SET STOP   pLOSS   SL   ENDIF   //  SHORT side C2 = trendimpulse = 2 AND prefecttrend[1] = 1 AND prefecttrend = 2   IF timeok AND Not OnMarket AND C2 THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP   pLOSS   SL   ENDIF     //====== Enter market - end =====   //====== Exit market - start =====   X1 = prefecttrend[1] = 1 AND prefecttrend = 2 IF LONGONMARKET AND X1 THEN SELL AT MARKET ENDIF     X2 = prefecttrend[1] = 2 AND prefecttrend = 1 IF SHORTONMARKET AND X2 THEN EXITSHORT AT MARKET ENDIF     //====== Exit market - end =====

   

   

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  Dow Jones

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  04/27/2020 at 5:04 AM #128311
  Dow Jones

  Please use XXXDJI-M1-TrendImpulsev1-1.itf, I cannot delete XXXDJI-M1-TrendImpulsev1.itf. Anyway, they are functionally the same, but v1 has the variable [center] which cannot be interpreted by Insert PRT code correctly, thus I rename it to [centertrend]

  

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  04/27/2020 at 7:34 AM #128315
  Nicolas

  Thanks a lot @yahootew3000. Did you make backtests with “only” 2 OOS please? What about the results if you exclude the last 3 months periods? (start the backtest earlier or just shorten the end date). I think that for most trend following strategy, the last period OOS is not so relevant because of the large volatility and directional bias of the market, just my humble opinion.

  

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  04/27/2020 at 11:07 AM #128392
  GraHal

  yahootew3000 wrote:

  Time Zone used is UTC+08:00

  How come you used UTC + 8 when you are UTC +2 in Netherlands?

  Great looking code / System btw!

  Thank You for sharing with us all!

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  Dow Jones

  

  GraHal

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  04/27/2020 at 11:48 AM #128396
  robertogozzi

  GraHal wrote:

  How come you used UTC + 8 when you are UTC +2 in Netherlands?

  Looks like more Singapore than Netherlands, doesn’t it?

   

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  Lavallette

  

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  04/27/2020 at 12:01 PM #128400
  GraHal

  robertogozzi wrote:

  Looks like more Singapore than Netherlands, doesn’t it?

  His flag you mean?

  It’s weird on his post his flag looks like Singapore? But then when I click  on his name I see a Netherlands flag??

  But yeah … UTC + 8 would be correct for Singapore as Singapore is 12 hours ahead of New York.

  Now to convert for UK Time (UTC +1)

  EDIT / PS

  Now I look more closely you are correct Roberto … both flags are Singapore!

  My eyes again, but also the flags appear so tiny on my screen.

   

  

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  04/27/2020 at 3:20 PM #128449
  Dow Jones

  Nicolas wrote:

  Thanks a lot @yahootew3000. Did you make backtests with “only” 2 OOS please? …

  Oh ya Nicolas. I did just 2 OOS, used to 1 min time frame. I redo for 5 OOS, seems not so good 🙁 I like this system due to high frequency, but perhaps need to add some other filter…

  

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  04/27/2020 at 3:27 PM #128453
  Dow Jones

  GraHal wrote:

  Now I look more closely you are correct Roberto … both flags are Singapore!

  Haha, yes, from Singapore indeed…

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  GraHal

  

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  04/30/2020 at 12:27 AM #128898
  Lucho0712

  Hi, congrats for the strategy, it works great with indexes. It’s probably a newbie’s question, but here it goes: how come when I apply this startegy to indexes the performance is great, but when I apply it to a stock the result is not good. I have tried in many different ways to get a good performance with different stocks, but no success. Maybe I am getting this wrong, but isn’t the end objective to apply these to stocks, as we can not buy indexes? sory for the ignorance…

  Another issue I have encountered is that the command “timeframe” is not accepted by prorealtime 10.3, it returns a message that says it is only allowed for ProScreener. How did you manage to make it work?

  Cheers and thanks for the great strategy

  Luis

  

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  04/30/2020 at 12:15 PM #128990
  Dow Jones

  No worry, in fact, I’m new as well, I learned a lot from this forum actually 🙂

  Lucho0712 wrote:

  how come when I apply this startegy to indexes the performance is great, but when I apply it to a stock the result is not good.

  It is built for the index future only, not for a specific stock, the variables may not be suitable, the SL range is different as well. But I think take some effort, it is possible to apply for stock, but I have less interest to trade algo on stock as you can see this strategy is for frequent trade, if applying on stocks, the commission is costly.

  Lucho0712 wrote:

  Maybe I am getting this wrong, but isn’t the end objective to apply these to stocks, as we can not buy indexes?

  Not trading against the index itself, but the future contract of the index. The trade is done using CFD.

   

  Lucho0712 wrote:

  Another issue I have encountered is that the command “timeframe” is not accepted by prorealtime 10.3

  PRT 10.3 should support it. I don’t know if there is any known issue. @Nicolas, maybe you encounter similar question before or know the answer?

  

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  04/30/2020 at 12:18 PM #128993
  Nicolas

  @Lucho0712

  If your broker not support real live automatic trading, this error is normal since you still using a previous version of the platform.

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  04/30/2020 at 12:45 PM #128998
  nonetheless

  GraHal wrote:

  Now to convert for UK Time (UTC +1)

  Did you manage to get this to run on UK time? I tried subtracting 7 hours from all times but makes no difference, results are dismal using the fixed values in the opt box.

  

  nonetheless

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  04/30/2020 at 1:07 PM #129007
  GraHal

  I agree @Nonetheless and I don’t think it’s times either as they are only short periods where spread is sky high.

  I put it on the back burner for a while … be good if we can solve the mystery as the OP and  Lucho0712 say it works great!?

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  nonetheless

  

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  04/30/2020 at 1:28 PM #129018
  Lucho0712

  Thanks yahootew for the answers. I am not going to get in CFDs rirght now as I have read that most beginers loose a lot. I will continue learning before getting into this, Thanks anyway!

  

  Lucho0712

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  04/30/2020 at 1:30 PM #129019
  Lucho0712

  Don´t listen to mee too much, I am new at this. I just tried it out on some indexes and compared it to a simple buy and hold strategy, outperforming it.

  

  Lucho0712

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