Strategy TrendImpulse v1
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Hi All,
I integrated the ML + Trailing Stop and replace the trendimpulse with bollinger, result seems better. Also added ATR to filter out the huge volatility and cause big losses or big winners (especially March) to be more practical for live.
Take note I’m taking 90-10 WFA 5 iterations to optimize the startingvalue and startingvalue2.
Please see attached.
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USDLS) AND NOT(time >060000 - USDLS AND time <070000 - USDLS)//startingvalue = 15 //5, 100, 10 boxsizeincrement = 5 //5, 20, 10maxincrement = 7 //5, 10 limit of no of increments either up or downreps = 3 //1 number of trades to use for analysis //2maxvalue = 70 //20, 300, 150 //maximum allowed valueminvalue = 50 //5, minimum allowed value//startingvalue2 = 55 //5, 100, 50 stop lossincrement2 = 3 //5, 10maxincrement2 = 7 //1, 30 limit of no of increments either up/down //4reps2 = 3 //1, 2 nos of trades to use for analysis //3maxvalue2 = 25 //20, 300, 200 maximum allowed valueminvalue2 = 5 //5, minimum allowed valueheuristicscyclelimit = 2once heuristicscycle = 0once heuristicsalgo1 = 1once heuristicsalgo2 = 0if heuristicscycle >= heuristicscyclelimit thenif heuristicsalgo1 = 1 thenheuristicsalgo2 = 1heuristicsalgo1 = 0elsif heuristicsalgo2 = 1 thenheuristicsalgo1 = 1heuristicsalgo2 = 0endifheuristicscycle = 0elseonce valuex = startingvalueonce valuey = startingvalue2endifif heuristicsalgo1 = 1 then//heuristics algorithm 1 startif (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) thenoptimise = optimise + 1endifonce valuex = startingvalueonce pincpos = 1 //positive increment positiononce nincpos = 1 //negative increment positiononce optimise = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)once mode1 = 1 //switches between negative and positive increments//once wincountb = 3 //initialize best win count//graph wincountb coloured (0,0,0) as "wincountb"//once stratavgb = 4353 //initialize best avg strategy profit//graph stratavgb coloured (0,0,0) as "stratavgb"if optimise = reps thenwincounta = 0 //initialize current win countstratavga = 0 //initialize current avg strategy profitheuristicscycle = heuristicscycle + 1for i = 1 to reps doif positionperf(i) > 0 thenwincounta = wincounta + 1 //increment current wincountendifstratavga = stratavga + (((positionperf(i)*countofposition[i]*close)*-1)*-1)nextstratavga = stratavga/reps //calculate current avg strategy profit//graph (positionperf(1)*countofposition[1]*100000)*-1 as "posperf1"//graph (positionperf(2)*countofposition[2]*100000)*-1 as "posperf2"//graph stratavga*-1 as "stratavga"//once besta = 300//graph besta coloured (0,0,0) as "besta"if stratavga >= stratavgb thenstratavgb = stratavga //update best strategy profitbesta = valuexendif//once bestb = 300//graph bestb coloured (0,0,0) as "bestb"if wincounta >= wincountb thenwincountb = wincounta //update best win countbestb = valuexendifif wincounta > wincountb and stratavga > stratavgb thenmode1 = 0elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 1 thenvaluex = valuex - (increment*nincpos)nincpos = nincpos + 1mode1 = 2elsif wincounta >= wincountb or stratavga >= stratavgb and mode1 = 1 thenvaluex = valuex + (increment*pincpos)pincpos = pincpos + 1mode1 = 1elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 2 thenvaluex = valuex + (increment*pincpos)pincpos = pincpos + 1mode1 = 1elsif wincounta >= wincountb or stratavga >= stratavgb and mode1 = 2 thenvaluex = valuex - (increment*nincpos)nincpos = nincpos + 1mode1 = 2endifif nincpos > maxincrement or pincpos > maxincrement thenif besta = bestb thenvaluex = bestaelseif reps >= 10 thenweightedscore = 10elseweightedscore = round((reps/100)*100)endifvaluex = round(((besta*(20-weightedscore)) + (bestb*weightedscore))/20) //lower reps = less weight assigned to win%endifnincpos = 1pincpos = 1elsif valuex > maxvalue thenvaluex = maxvalueelsif valuex < minvalue thenvaluex = minvalueendifoptimise = 0endif// heuristics algorithm 1 endelsif heuristicsalgo2 = 1 then// heuristics algorithm 2 startif (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) thenoptimise2 = optimise2 + 1endifonce valuey = startingvalue2once pincpos2 = 1 //positive increment positiononce nincpos2 = 1 //negative increment positiononce optimise2 = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)once mode2 = 1 //switches between negative and positive increments//once wincountb2 = 3 //initialize best win count//graph wincountb2 coloured (0,0,0) as "wincountb2"//once stratavgb2 = 4353 //initialize best avg strategy profit//graph stratavgb2 coloured (0,0,0) as "stratavgb2"if optimise2 = reps2 thenwincounta2 = 0 //initialize current win countstratavga2 = 0 //initialize current avg strategy profitheuristicscycle = heuristicscycle + 1for i2 = 1 to reps2 doif positionperf(i2) > 0 thenwincounta2 = wincounta2 + 1 //increment current wincountendifstratavga2 = stratavga2 + (((positionperf(i2)*countofposition[i2]*close)*-1)*-1)nextstratavga2 = stratavga2/reps2 //calculate current avg strategy profit//graph (positionperf(1)*countofposition[1]*100000)*-1 as "posperf1-2"//graph (positionperf(2)*countofposition[2]*100000)*-1 as "posperf2-2"//graph stratavga2*-1 as "stratavga2"//once besta2 = 300//graph besta2 coloured (0,0,0) as "besta2"if stratavga2 >= stratavgb2 thenstratavgb2 = stratavga2 //update best strategy profitbesta2 = valueyendif//once bestb2 = 300//graph bestb2 coloured (0,0,0) as "bestb2"if wincounta2 >= wincountb2 thenwincountb2 = wincounta2 //update best win countbestb2 = valueyendifif wincounta2 > wincountb2 and stratavga2 > stratavgb2 thenmode2 = 0elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 1 thenvaluey = valuey - (increment2*nincpos2)nincpos2 = nincpos2 + 1mode2 = 2elsif wincounta2 >= wincountb2 or stratavga2 >= stratavgb2 and mode2 = 1 thenvaluey = valuey + (increment2*pincpos2)pincpos2 = pincpos2 + 1mode2 = 1elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 2 thenvaluey = valuey + (increment2*pincpos2)pincpos2 = pincpos2 + 1mode2 = 1elsif wincounta2 >= wincountb2 or stratavga2 >= stratavgb2 and mode2 = 2 thenvaluey = valuey - (increment2*nincpos2)nincpos2 = nincpos2 + 1mode2 = 2endifif nincpos2 > maxincrement2 or pincpos2 > maxincrement2 thenif besta2 = bestb2 thenvaluey = besta2elseif reps2 >= 10 thenweightedscore2 = 10elseweightedscore2 = round((reps2/100)*100)endifvaluey = round(((besta2*(20-weightedscore2)) + (bestb2*weightedscore2))/20) //lower reps = less weight assigned to win%endifnincpos2 = 1pincpos2 = 1elsif valuey > maxvalue2 thenvaluey = maxvalue2elsif valuey < minvalue2 thenvaluey = minvalue2endifoptimise2 = 0endif// heuristics algorithm 2 endendif//GRAPH valuex//GRAPH valueytimeframe(1 day)volindic = (averagetruerange[5](close)/close)*100timeframe(5 minute)thigh1 = Highest[valuex](high)+ SlowPipDisplace*pointsizetlow1 = Lowest[valuex](low)- SlowPipDisplace*pointsizethigh2 = Highest[valuey](high)+ FastPipDisplace*pointsizetlow2 = Lowest[valuey](low)- FastPipDisplace*pointsizeif barindex>2 thenif Close>line1[1] thenline1 = tlow1elseline1 = thigh1endifif Close>line2[1] thenline2 = tlow2elseline2 = thigh2endifendifif (Close[0]<line1[0] and Close[0]<line2[0]) thentrend = 1endifif (Close[0]>line1[0] and Close[0]>line2[0]) thentrend = -1endifif (line1[0]>line2[0] or trend[0] = 1) thentrena = 1endifif (line1[0]<line2[0] or trend[0] = -1) thentrena = -1endifif trena<>trena[1] thenif trena=1 then//bearprefecttrend = 2else//bullprefecttrend = 1endifendiftimeframe(default)bollMA = average[length, 1](close)//50,1STDDEV = STD[length]bollUP = bollMA + 2 * STDDEVbollDOWN = bollMA - 2 * STDDEVbollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN)//====== Enter market - start =====// LONG sideC1 = bollPercent > 60 AND prefecttrend[1] = 2 AND prefecttrend = 1IF timeok AND Not OnMarket AND C1 AND volindic < 3.5 THENBUY 1 CONTRACT AT MARKETSET STOP pLOSS SLENDIF// SHORT sideC2 = bollPercent < 40 AND prefecttrend[1] = 1 AND prefecttrend = 2IF timeok AND Not OnMarket AND C2 AND volindic < 3.5 THENSELLSHORT 1 CONTRACT AT MARKETSET STOP pLOSS SLENDIF//====== Enter market - end =====//====== Exit market - start =====X1 = prefecttrend[1] = 1 AND prefecttrend = 2IF LONGONMARKET AND X1 THENSELL AT MARKETENDIFX2 = prefecttrend[1] = 2 AND prefecttrend = 1IF SHORTONMARKET AND X2 THENEXITSHORT AT MARKETENDIF// Avoid losing trade not caught by trainingtradegain = POSITIONPERF * 100rangelevel = 100* (range)/closegainenough = summation[barindex - tradeindex](tradegain > 0.2) > 1closefast = gainenough AND rangelevel < 0.5 AND POSITIONPERF * 100 <= 0.1IF closefast THENEXITSHORT AT MARKETSELL AT MARKETENDIF//====== Exit market - end =====//====== Trailing Stop mechanism - start =====trailingstart = (0.5 * SL ) / pointsizetrailingstep = (0.25 * SL ) / pointsize//resetting variables when no trades are on marketif not onmarket thenpriceexit = 0endif//case LONG orderif longonmarket then//first move (breakeven)IF priceexit=0 AND close-tradeprice(1) >= trailingstart*pointsize THENpriceexit = tradeprice(1) + trailingstep*pointsizeENDIF//next movesIF priceexit>0 THENP2 = close-priceexit >= trailingstart*pointsizeIF P2 THENpriceexit = priceexit + trailingstep*pointsizeENDIFENDIFendif//case SHORT orderif shortonmarket then//first move (breakeven)IF priceexit=0 AND tradeprice(1)-close >= trailingstart*pointsize THENpriceexit = tradeprice(1) - trailingstep*pointsizeENDIF//next movesIF priceexit>0 THENP2 = priceexit-close >= trailingstart*pointsizeIF P2 THENpriceexit = priceexit - trailingstep*pointsizeENDIFENDIFendif//exit on trailing stop price levelsif onmarket and priceexit>0 thenEXITSHORT AT priceexit STOPSELL AT priceexit STOPendif//====== Trailing Stop mechanism - end =====
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