Strategy XXDJI-M5-EngulfingGap

Dow Jones · Tue, 12 May 2020 18:15:54 +0000

Hi everyone, Here is a new strategy on Wall Street/DJI 5 min TF based on the engulfing bar with range at least 1 ATR. Incorporated 2 Bollinger Band as trend filter. DLS code is added to avoid high spread period and for skipping trade during major market open to avoid less reliable engulfing bar. Time Zone used is UTC+08:00, please change the time zone in PRT to obtain same result. Variables atrperiod, bolltrendperiod and bolltrendperiod2 are used for optimization. Other variables are just taking moderate value, not being fully optimized. Looking forward for your suggestion and ideas of improvement. DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 5000 //atrperiod = 18 //bolltrendperiod2 = 24 //bolltrendperiod2 = 80 SL = 100 stepfactor1 = 1 stepfactor2 = 0.25 RR = 4 longbar = 0 shortbar = 0 longbarmultiplier = 1 shortbarmultipler = 1.5 strend = 2 strend2 = 2 bollBullLevel = 50 bollBearLevel = 50 bolltrendMAType = 5 bolltrendMAType2 = 5 //// --------- 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 //GRAPH UKDLS as "UKDLS" // --------- 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 //GRAPH USDLS as "USDLS" // --------- AU DAY LIGHT SAVINGS MONTHS ---------------- // oct = month = 10 // MONTH START apr = month = 4 // MONTH END IF (month > 10 OR month < 4) OR (apr AND day <=7 AND day<=dayofweek) OR (oct AND day > 7) OR (oct AND day <= 7 AND day>dayofweek) THEN AUDLS=010000 ELSE AUDLS=0 ENDIF //GRAPH AUDLS as "AUDLS" //GRAPH dayofweek //GRAPH day //Time in UTC+8 Rest0Minutes = 000000 Rest15Minutes = 001500 HighSpread1Start = 051500- USDLS HighSpread1End = 053000 - USDLS HighSpread2Start = 060000 - USDLS HighSpread2End = 070000 - USDLS IGAlmostClose = 054500 - USDLS IGOpen = 070000 - USDLS ASXOpen = 080000 - AUDLS TSEOpen = 080000 SSEOpen = 091500 HKEOpen = 093000 FWBOpen = 150000 - UKDLS LSEOpen = 160000 - UKDLS NYSEOpen = 223000 - USDLS //Skip high spread timeok = NOT(time >=HighSpread1Start AND time <=HighSpread1End) AND NOT(time >=HighSpread2Start AND time <=HighSpread2End) //Skip 15 mins when IG almost close timeok = timeok AND NOT (time >=IGAlmostClose AND time <= IGAlmostClose + Rest15Minutes) //Skip when IG just open the market timeok = timeok AND NOT (time >=IGOpen AND time <=IGOpen + Rest0Minutes) //Skip when ASX (first market) just open the market timeok = timeok AND NOT (time >=ASXOpen AND time <=ASXOpen + Rest0Minutes) //Skip when TSE (first major) just open the market timeok = timeok AND NOT (time >=TSEOpen AND time <=TSEOpen + Rest0Minutes) //Skip when SSE just open the market timeok = timeok AND NOT (time >=SSEOpen AND time <=SSEOpen + Rest0Minutes) //Skip when HKE just open the market timeok = timeok AND NOT (time >=HKEOpen AND time <=HKEOpen + Rest0Minutes) //Skip when FWB just open the market timeok = timeok AND NOT (time >=FWBOpen AND time <=FWBOpen + Rest0Minutes) //Skip when LSE just open the market timeok = timeok AND NOT (time >=LSEOpen AND time <=LSEOpen + Rest0Minutes) //Skip when NYSEjust open the market timeok = timeok AND NOT (time >=NYSEOpen AND time <=NYSEOpen + Rest0Minutes) once bolltrendBull = 1 once bolltrendBear = 1 //bolltrendperiod = 50 //strend = 2 bolltrendMA = average[bolltrendperiod, bolltrendMAType](close)//50,1 STDDEVtrend = STD[bolltrendperiod] bolltrendUP = bolltrendMA + strend * STDDEVtrend bolltrendDOWN = bolltrendMA - strend * STDDEVtrend IF bolltrendUP = bolltrendDOWN THEN bolltrendPercent = 50 ELSE bolltrendPercent = 100 * (close - bolltrendDOWN) / (bolltrendUP - bolltrendDOWN) ENDIF //bolltrendperiod = 50 //strend = 2 bolltrendMA2 = average[bolltrendperiod2, bolltrendMAType2](close)//50,1 STDDEVtrend2 = STD[bolltrendperiod2] bolltrendUP2 = bolltrendMA2 + strend2 * STDDEVtrend2 bolltrendDOWN2 = bolltrendMA2 - strend2 * STDDEVtrend2 IF bolltrendUP2 = bolltrendDOWN2 THEN bolltrendPercent2 = 50 ELSE bolltrendPercent2 = 100 * (close - bolltrendDOWN2) / (bolltrendUP2 - bolltrendDOWN2) ENDIF bolltrendBull = bolltrendPercent > bollBullLevel OR bolltrendPercent2 > bollBullLevel bolltrendBear = bolltrendPercent < bollBearLevel OR bolltrendPercent2 < bollBearLevel //====== Enter market - start ===== timeframe(5 minutes, updateonclose) atr14 = AverageTrueRange[atrperiod](close) C1 = bolltrendBull AND close[1] < open[1] AND close > open AND close > open[1] AND close - open > longbarmultiplier * atr14 + longbar C2 = bolltrendBear AND close[1] > open[1] AND close < open AND close < open[1] AND open - close > shortbarmultipler * atr14 + shortbar timeframe(default) samebarsignal = 0 IF C1 THEN //when a pullback occurs... IF timeok AND Not OnMarket AND samebarsignal = 0 THEN BUY 1 CONTRACT AT MARKET SET STOP pLOSS SL //50 TP = RR * SL SET TARGET pPROFIT TP //300 ENDIF samebarsignal = 1 ENDIF // SHORT side IF C2 THEN //when a pullback occurs... IF timeok AND Not OnMarket AND samebarsignal = 0 THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP pLOSS SL //50 TP = RR * SL SET TARGET pPROFIT TP //300 ENDIF samebarsignal = 1 ENDIF //====== Enter market - end ===== //====== Exit market - start ===== IF NOT ONMARKET THEN ENDIF //====== Exit market - end ===== //====== Trailing Stop mechanism - start ===== trailingstart = (stepfactor1 * SL ) / pointsize trailingstep = (stepfactor2 * SL ) / pointsize //resetting variables when no trades are on market if not onmarket then priceexit = 0 endif //case LONG order if longonmarket then //first move (breakeven) IF priceexit=0 AND close-tradeprice(1) >= trailingstart*pointsize THEN priceexit = tradeprice(1) + trailingstep*pointsize ENDIF //next moves IF priceexit>0 THEN P2 = close-priceexit >= trailingstart*pointsize IF P2 THEN priceexit = priceexit + trailingstep*pointsize ENDIF ENDIF endif //case SHORT order if shortonmarket then //first move (breakeven) IF priceexit=0 AND tradeprice(1)-close >= trailingstart*pointsize THEN priceexit = tradeprice(1) - trailingstep*pointsize ENDIF //next moves IF priceexit>0 THEN P2 = priceexit-close >= trailingstart*pointsize IF P2 THEN priceexit = priceexit - trailingstep*pointsize ENDIF ENDIF endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif //====== Trailing Stop mechanism - end =====

This topic has 34 replies, 13 voices, and was last updated 1 year ago by ProRealAlgos.

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09/03/2020 at 1:17 PM #143289

Dow Jones

Hi,

Léo wrote:

replace line 4/5/6 as below (remove the /): //atrperiod = 18 //bolltrendperiod2 = 24 //bolltrendperiod2 = 80 by atrperiod = 18 bolltrendperiod2 = 24 bolltrendperiod2 = 80

There 3 are variables that I optimize, so if importing the .itf, they are in the variables windows. If copy the code above, then can either do as you said, or add them into variable window if wish to optimize

Léo wrote:

On my side, when I want to launch the code I have the error message below “The code is invalide, please correct it” (translated from french),

Emm. I have no clue too why this error as I just try and everything is ok. I’m guess you copy paste from above, so I’m wondering is due to default PC language and unicode different, some copied content becomes different when paste into PRT coding window. Can you try to import the .itf directly and try again?

Léo wrote:

Can anyone explain me the task of lines 167 to 172 ? I have the feeling that some conditions are missing

It has no use, just my template of code for all my strategies, so I have accidentally left it there.

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10/30/2020 at 9:12 AM #148985

Daniel Carlsson

Hi,

I get

“replace variables with specific values: To prepare this strategy for automatic trading, remove all variables from the “ProBacktest” section of the programming window and replace these variables with specific numeric values in the code of the trading system”.

I have tried to remove the “//” comment out parts on :

replace line 4/5/6 as below (remove the /): //atrperiod = 18 //bolltrendperiod2 = 24 //bolltrendperiod2 = 80 by atrperiod = 18 bolltrendperiod2 = 24 bolltrendperiod2 = 80

But still the same issue. 🙁

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10/30/2020 at 3:36 PM #149018

Dow Jones

You also need to remove variables from the variable windows, you can refer to think guideline post, https://www.prorealcode.com/topic/strategy-trendimpulse-v1/page/3/#post-130850

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10/30/2020 at 5:37 PM #149035

Mestor

Try this file. Tested from UTC+1

SL in % and different for Long/Short Trade

DJ M5

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10/30/2020 at 7:19 PM #149051

Daniel Carlsson

Thanks a bunch! 🙂

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11/11/2020 at 11:41 AM #150108

Roberto Blázquez

~~Buenos días Daniel,~~

~~gracias por este impresionate trabajo realizado. Yo lo tengo funcionando en real y me va muy bien, es cierto que he ajustado algún parámetro pero te felicito por este robot.~~

~~Saludos~~

Good morning Daniel,

thank you for this impressive work done. I have it working in real life and I’m doing very well, it is true that I have adjusted some parameter but I congratulate you on this robot.

Cheers

Roberto Blázquez
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11/11/2020 at 12:34 PM #150117

robertogozzi

@Roberto Blázquez 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. Thank you 🙂

@Daniel Carlsson Update your country in your profile. Thank you 🙂

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11/11/2020 at 3:22 PM #150138

bertrandpinoy

Hi Roberto, share your itf file please

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11/11/2020 at 5:50 PM #150159

Roberto Blázquez

only code change on line

9 stepfactor1 = 1

By

9 stepfactor1 = 3

and the lotage instead of 1 contract I have 0.25

I’ve got it working in real andit doesn’t give any problems and it’s profitable.

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11/17/2020 at 1:00 PM #150783

UkDownUnder

Hi,

Altered time zone on my chart for back testing and some forward testing, running this strategy on UTC+8, works okay, great.

My question is, ……….which I’m sure will help many of us.

As this is not my computers system time zone,

How would i lock this time setting in when sending it to ProOrder?

As ProOrder will set the trades at my original computers time zone,

Time setting to offset my system.

Thanks and Regards

UkDownUnder
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11/17/2020 at 3:18 PM #150796

GraHal

UkCoopDownUnder wrote:

running this strategy on UTC+8

If you mean you have set your Platform to UTC+8 then start the Algo in ProOrder and you will see from the ProOrder start screen that the Algo will run in UTC+8.

Then change you Platform back to UTC+0 (UK Time) … then Exit with Save, Log back in and you will be at UTC+0.

Check Algo by clicking on the Algo title in ProOrder and you will see it is still running in UTC+8.

Good Eh!? 🙂

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11/20/2020 at 6:57 AM #151003

UkDownUnder

Legendary GraHal, Legendary, Thanks:)

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05/11/2021 at 11:17 AM #169392

Gringogaz

Thanks, Roberto, and Daniel.
I tweaked your version very slightly Roberto, It makes a small improvement.
line 8 SL = 105 from 100
line 15 – shortbarmultipler = 1.4 from 1.5
For my demo account, I made it 1 contract, Long or Short. As per the Dashboard results attached.

I have been testing on a demo trading account and works well, however, I have one question.
I am not a coder by the way. But in the code, I see there is a trailing stop. But When I watch a successful trade it doesn’t seem to trigger and move down.

I am a trader of 7 years and have been experimenting with ProRealTime for some time. With some good outcomes.
I am looking to work with a developer/coder who knowes trading and coding well to be able to fine-tune some other algos I have made. For mutual benefit, if you guys are interested.

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05/11/2021 at 11:24 AM #169395

Gringogaz

Hi, This is really good and have followed the thread of the post.
On page 2 there is a tweak from Roberto, which I also followed working from your code. It tends to cut the number of trades but lessons the risk.
I tweaked that a little myself, Not being a coder my tweaking was based around trial and error on the existing code. But managed to get Roberto’s version to work better returning more profit and less potential drawdown.

I tweaked your version very slightly Roberto, It makes a small improvement.
line 8 SL = 105 from 100
line 15 – shortbarmultipler = 1.4 from 1.5
For my demo account, I made it 1 contract, Long or Short. As per the Dashboard results attached.

I have been testing on a demo trading account and works well, however, I have one question.
I see there is a trailing stop. But When I watch a successful trade it doesn’t seem to trigger and move down. Which I am sure would protect profit and better these results.

Is the trailing stop working at all?
When I look through the backtesting it’s showing either a full loss or a full win, suggesting it isn’t.

I am a trader of 7 years and have been experimenting with ProRealTime for some time. With some good outcomes.
I am looking to work with a developer/coder who knowes trading and coding well to be able to fine-tune some other algos I have made. For mutual benefit, if you are interested.
thanks once again!
G

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05/12/2021 at 1:12 AM #169440

Dow Jones

Stepfactor1=1, so trailing trigger by stepfactor1 * SL, i.e. 105 points after your modification. Seeing average is $340.33, it should be triggered. If you like it to be triggered earlier, then set stepfactor1 to lower value.

As TF is 5 mins, it means the code is read by PRT every 5 mins, thus trailing checking is done on this time interval.

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