TSV time segmented volume

• 12/30/2020 at 12:22 AM #155633
  JohnScher

  Your loved ones.

  It’s about this indicator: https://www.prorealcode.com/prorealtime-indicators/tsv-time-segmented-volume/

  I reprogrammed the indicator into a long-only strategy and brought in a time-based component, a filter and a trailing stop.
  The result 200k attached in the screenshot.

   

  TSV 1HL 51/151 trail 1/1/1

  //------------------------------------------------------------------------- // Main code : TSV 1HL 51/151 trail 1/1/1 // dax 1 euro // timezone europe, berlin // timeframe 1h //------------------------------------------------------------------------- defparam cumulateorders = false once position = 1 ONCE p1 = 51 ONCE p2 = 151 ONCE Mtype = 0 p1 = max(1,min(999,p1)) p2 = max(1,min(999,p2)) Mtype = max(0,min(6,Mtype)) MyVol = 0 IF close > close[1] THEN MyVol = volume * (close - close[1]) ELSIF close < close[1] THEN MyVol = -volume * (close - close[1]) ENDIF TSV = summation[p1](MyVol) Signal = average[p2, MType](TSV) td = opendayofweek = 1 or opendayofweek = 2 or opendayofweek = 3 or opendayofweek = 4 or opendayofweek = 5 tt = time >= 090000 and time <= 110000 or time >= 160000 and time <= 180000 a = 1 b = 1 c = 1 IF td and tt then if TSV crosses over Signal and close > exponentialaverage [100] (close) then buy position contracts at market set stop %loss a endif endif //%trailing stop function trailingPercent = b stepPercent = c if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  //------------------------------------------------------------------------- // Main code : TSV 1HL 51/151 trail 1/1/1 // dax 1 euro // timezone europe, berlin // timeframe 1h //-------------------------------------------------------------------------       defparam cumulateorders = false once position = 1   ONCE p1    = 51 ONCE p2    = 151 ONCE Mtype = 0   p1           = max(1,min(999,p1)) p2           = max(1,min(999,p2)) Mtype        = max(0,min(6,Mtype)) MyVol = 0   IF close > close[1] THEN MyVol = volume * (close - close[1]) ELSIF close < close[1] THEN MyVol = -volume * (close - close[1]) ENDIF   TSV    = summation[p1](MyVol) Signal = average[p2, MType](TSV)     td = opendayofweek = 1 or opendayofweek = 2 or opendayofweek = 3 or opendayofweek = 4 or opendayofweek = 5 tt = time >=  090000 and time <= 110000 or time >= 160000 and time <= 180000     a = 1 b = 1 c = 1     IF td and tt then if TSV crosses over Signal and close > exponentialaverage [100] (close) then buy position contracts at market set stop %loss a endif endif   //%trailing stop function trailingPercent = b stepPercent = c   if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

  The question I have is whether I have programmed this through correctly? Maybe one of you can take a look at it and give me his opinion? Maybe

  Can I still improve something on it? –  or is this complete stupid what I have programmed here?

  Kind regards
  JohnScher

  1 user thanked author for this post.

  MAKSIDE

  

  JohnScher

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  12/30/2020 at 2:53 AM #155642
  robertogozzi

  The code was modified due to a typo in the formula I used to make it. A user pointed this out and I corrected the code at https://www.prorealcode.com/topic/time-segmented-volume-by-worden-brothers-code/page/2/#post-150506.

   

  

  robertogozzi

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