Volume & Donchian – Daily Break Out trade

• 10/26/2016 at 7:58 PM #15597
  Per

  Intro to the strategies which is based on my view of a Daily trend break out:

  1. The Close is > DonchianUp  (40 day )
  2. Volume > 1,5 Volume[20]
  3. Buy on the next day open.

  The strategy criteria is:

  • Duration – 4-5 monts
  • Ref. index – SPY, which shall be BULL ie. MA 65D > 195D
  • The instrument, shall be BULL i.e. MA 40D > 120D

   The target is based on a ATR based trailing stop loss that is optimize by the parameter optimization function (it varies from instrument to instrument as 5-8 x ATR).

  Here is the code:

  REM Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated REM Basic Condition to trade myPriceCriteria = Close > 5.00 myVolumeCriteria = (Average[20](volume) > 100000) myMA40 = Average[40](Close) myMA120 = Average[120](Close) myBullCriteria = myMA40 > myMA120 c1 = myPriceCriteria and myVolumeCriteria and myBullCriteria REM Trigger to enter long positions // Condition 1 - DoncianUP - Break out myDonchianUp = (highest[40](high[1])) //myDonchianDown = LOWEST[40](LOW[1]) c2 = close >= myDonchianUp //Condition 2 - Daily volume-breaks up > 1,5 x Volume(average) (20) myBOVolume = Volume > 1.5*(Average[20](Volume)) c3 = myBOVolume REM Trading target = Trailing Stop loss based on ATR myATR = 4*averagetruerange[20] IF C1 AND C2 AND C3 THEN If myATR > 30 THEN BUY ((30/myATR) * close) CASH AT MARKET ELSIF myATR <= 30 THEN BUY 1500 CASH AT MARKET ELSE ENDIF ENDIF SET STOP TRAILING myAtr

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  REM Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   REM Basic Condition to trade myPriceCriteria = Close > 5.00 myVolumeCriteria = (Average[20](volume) > 100000) myMA40 = Average[40](Close) myMA120 = Average[120](Close) myBullCriteria = myMA40 > myMA120 c1 = myPriceCriteria and myVolumeCriteria and myBullCriteria   REM Trigger to enter long positions // Condition 1 - DoncianUP - Break out myDonchianUp = (highest[40](high[1])) //myDonchianDown = LOWEST[40](LOW[1]) c2 = close >= myDonchianUp //Condition 2 - Daily volume-breaks up > 1,5 x Volume(average) (20) myBOVolume = Volume > 1.5*(Average[20](Volume)) c3 = myBOVolume   REM Trading target = Trailing Stop loss based on ATR myATR = 4*averagetruerange[20]   IF C1 AND C2 AND C3 THEN If myATR > 30 THEN BUY ((30/myATR) * close) CASH AT MARKET ELSIF myATR <= 30 THEN BUY 1500 CASH AT MARKET ELSE ENDIF ENDIF SET STOP TRAILING myAtr

  I ran a back-test on a NYSE stock (GOL LINHAS …) , with this outcome:

  

  The ProOrder order part (bellow t REM Trading target = Trailing Stop loss based on ATR) is  a challenge as it does not place trades.

  I have been reading the manual and seen lots of support on this site, while eventually seeking an advice so to progress with the development of this back testing script.

  Hoping for a positive reply.

   

  Best regards,

  Per Inge

  

  Per

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  10/27/2016 at 7:35 PM #15651
  Per

  I found the following money management setup, to which I will appreciate any comment to code enhancements:

  REM Trading target = Trailing Stop loss based on ATR a changing ATR
  myATR = averagetruerange[20]
  mySL = myATR * 5
  myBetSize = 1500*0.03 //3% loss,  unit of $1500 = $45
  myNoOStock = myBetSize/mySL //No of stocks at SL is = $45 (if ATR was fixed)
  myPosSize = myNoOStock * close //No. of stocks x close

  IF C1 AND C2 AND C3 THEN
  If myPosSize > 1500 THEN
  BUY 1500 CASH AT MARKET
  ELSIF myPosSize <= 1500 THEN
  BUY myPosSize CASH AT MARKET
  ELSE
  ENDIF
  ENDIF
  SET STOP TRAILING mySL

  The weakness is:

  • Small position at high ATR
  • Fluctuation of the ATR gives an innacurate SL

   

  

  Per

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