Strategy TrendImpulse v1

Dow Jones · Mon, 27 Apr 2020 03:55:57 +0000

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. 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 =====

This topic has 74 replies, 6 voices, and was last updated 1 year ago by thomas2004ch.

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05/04/2020 at 5:49 PM #129904

Dow Jones

Yomihou wrote:

On you result screen below which variable did you use?

Hi Yomihou, I’m optimizing the variables startingvalue and startingvalue2. See the picture attached. There are other variables I put in optimization, but I have set them to static value. For these static value, I did the first optimization to find the reasonable value and fixed them, e.g. choosing the right range of Stop Loss, I don’t look for the most optimized value for those static variables, just on reasonable range, similar to some fixed value in the strategy (e.g. minvalue, maxvalue that you can see is round and even number, because I didn’t optimized them to optimum, just a rough range). So at the end I only focus on startingvalue and startingvalue2 to optimize on different period of time.

Otherwise, if you import the .itf, you should have the same result as me, I capture right away the result and export right away the .itf, no other modification. Only thing to bare in mind is the time zone that I used is UTC + 8

Since you mentioned were looking at the previous version, if you have any suggestion, feel free to let me know.

Dow Jones

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05/05/2020 at 1:01 AM #129946

pjanin972

congratulations for your contribution,
on which criteria, did you define the value 3.5 for

“IF timeok AND Not OnMarket AND C1 AND volindic < 3.5 THEN ”

best regards

pjanin972

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05/05/2020 at 6:30 AM #129952

Dow Jones

pjanin972 wrote:

on which criteria, did you define the value 3.5 for “IF timeok AND Not OnMarket AND C1 AND volindic < 3.5 THEN ”

I put up the daily timeframe ATR[5] to analyze the chart manually, to see the area where volatility/risk is too high (i.e. there is plenty of huge gap down/up ~easily 1-2k points in 1 day) and fixed the value accordingly. Purpose is to avoid huge and sudden gain or loss, by skipping to trade in such period (automatically via indicator) as the parameters can be influenced by such spike thus not the goal of this strategy.

Dow Jones

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05/05/2020 at 2:42 PM #130050

pjanin972

thank you for your answer

pjanin972

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05/09/2020 at 12:26 PM #130727

Plaedies

Hi @yahootew3000,

I was wondering if you could help me with your Strategy? It works great in backtest mode but I get the following message (See Image) when I run it in live test mode. I’m not a coder so just need a bit of an understanding on what values I need to edit. Also I am from the UK so I assume I need to alter the UTC to +8 is that correct? Apologies if this is an idiot question…

Much appreciated,

Plaedies

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05/09/2020 at 7:49 PM #130797

Yomihou

Hi Plaedis,

You need define in your code the values that are in the optimization box when you want to run it live. First you can test them in the optimization box to see which are more profitable then define them in the code.

And indeed if you are in the UK you should use the DSL of the UK, Yahootew3000 posted it.

Yomihou

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05/09/2020 at 7:56 PM #130800

Vonasi

Plaedies – Thank you for wasting my time trying to assist you in your identical question asked in another topic. I have deleted that topic as it is a double post and so breaks forum rules. Please re-read the few simple forum rules before posting again.

The forum rules are as follows:

Post your topic in the correct forum.

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Only post in the language of the forum that you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.
Always use the ‘Insert PRT Code’ button when putting code in your posts to make it easier for others to read.
Do not double post. Ask your question only once and only in one forum. All double posts will be deleted anyway so posting the same question multiple times will just be wasting your own time and will not get you an answer any quicker. Double posting just creates confusion in the forums.
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I have edited your post where required. Please ensure that your future posts meet these few simple forum rules. 🙂

Vonasi

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05/09/2020 at 8:11 PM #130802

Plaedies

@Vonasi,

Please accept my apologies.

Best wishes,

Plaedies

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05/09/2020 at 8:15 PM #130803

Plaedies

@Yomihou & @vonasi

I’m really sorry I know this is probably a simple thing but within the code I don’t know what to delete/change. I know the startingvalue and startingvalue2 need to simply = the static numeric values that were obtained from the optimisation but even when I do that i get an error messeges stating the code is invalid.

Thank you for your support

Best wishes

Plaedies

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05/09/2020 at 8:40 PM #130805

Vonasi

Yes – it is a very simple thing but at this time of night I don’t have my PRT platform open and a glass of wine is more interesting than firing it up again so I can’t show you in pictures how to do this very simple thing. Perhaps tomorrow – unless someone else is kind enough to ~~draw~~ screenshot them for you in the mean time. 🙂

Vonasi

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05/09/2020 at 8:45 PM #130806

Plaedies

@Vonasi

🤣🤣🤣 Yes I completely agree the Vino always comes 1st 🤣🤣

Have a great evening

best wishes

Plaedies

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Vonasi

Plaedies

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05/10/2020 at 9:54 AM #130850

Vonasi

@Plaedies

1 user thanked author for this post.

Dow Jones

Vonasi

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05/10/2020 at 11:08 AM #130862

Plaedies

Thank you ever so much @vonasi I learned a valuable lesson here!

just one more thing, there are around 8 variables to add from the variable tables so just simply add all of them right? I say that as you added 4 but I’m guessing that was an example to illustrate the idea?

Best Wishes,

Andrew

Plaedies

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05/10/2020 at 11:33 AM #130866

Vonasi

Yes it was just an example and I got bored typing! Add them all or the strategy won’t work.

Vonasi

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05/10/2020 at 12:41 PM #130878

Plaedies

Hi @vonasi,

I’ve mirrored what you showed me in the screen grabs and included the UKDLS element (See attached) still getting the code error message? Any ideas? Ive also inserted the code that i have added. Nothing else within the code has been touched.

DEFPARAM CumulateOrders = false
DEFPARAM PRELOADBARS = 1000

SL = 200
SlowPipDisplace = 0
FastPipDisplace = 0
Length = 200
startingvalue = 50
startingvalue2 = 5
SlowLength = 60
FastLength = 30


// ---------   UK DAY LIGHT SAVINGS MONTHS      ---------------- //
mar = month = 3 // MONTH START
oct = month = 10 // MONTH END
 
IF ( dayofweek >= 0 and mar AND 31-day<7 ) OR ( month > 3 AND month < 10 ) OR ( oct AND 31-day > 6 )  OR  (dayofweek = 4 AND oct AND day<31) OR (dayofweek = 3 AND oct AND day+1<31) OR  (dayofweek = 2 AND oct AND day+2<31) OR (dayofweek = 1 AND oct AND day+3<31) OR (dayofweek = 0 AND oct AND day+4<31)  OR (dayofweek = 5 AND oct AND 31-day<7) THEN
UKDLS=1
ELSE
UKDLS=0
ENDIF

// ---------   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)

DEFPARAM CumulateOrders = false

DEFPARAM PRELOADBARS = 1000

SL = 200

SlowPipDisplace = 0

FastPipDisplace = 0

Length = 200

startingvalue = 50

startingvalue2 = 5

SlowLength = 60

FastLength = 30

// --------- UK DAY LIGHT SAVINGS MONTHS ---------------- //

mar = month = 3 // MONTH START

oct = month = 10 // MONTH END

IF ( dayofweek >= 0 and mar AND 31-day<7 ) OR ( month > 3 AND month < 10 ) OR ( oct AND 31-day > 6 ) OR (dayofweek = 4 AND oct AND day<31) OR (dayofweek = 3 AND oct AND day+1<31) OR (dayofweek = 2 AND oct AND day+2<31) OR (dayofweek = 1 AND oct AND day+3<31) OR (dayofweek = 0 AND oct AND day+4<31) OR (dayofweek = 5 AND oct AND 31-day<7) THEN

UKDLS=1

ELSE

UKDLS=0

ENDIF

// --------- 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)

Kind regards,
Plaedies

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