Write a code to automate my trading strategy

• 12/13/2022 at 10:13 AM #205692
  Andrea

  Dear Team,

  I really appreciate that you are reading 🙂 can someone please write me a trading program, so I can backtest that? with the following conditions

  usd/jpy maximum 1% per operation
  I use Fibonacci as the extension of the first impulse, to define my entry and exit point. Namely:
  entry at 61.8%
  exit at 38.20 (if it is against the trend) or at the level of 23.60 or 0.00% if it is in favor of the trend
  I use the 35 and 70 period EMAs as a kind of confirmation although I honestly think they are not very reliable

  any kind of help is welcome!
  Beforehand thank you very much 🙂

  

  Andrea

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  12/14/2022 at 8:46 AM #205731
  Andrea

  No body? or is there something not clear?

  

  Andrea

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  12/14/2022 at 7:02 PM #205761
  robertogozzi

  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.

  Be patient, someone will help you as soon as possible, sometimes earlier, sometimes later.

  Thank you 🙂

  How would you define “if it is against the trend” ?

   

  

  robertogozzi

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  12/26/2022 at 10:35 AM #206315
  Andrea

  Ciao Roberto, Buone feste 🙂

  I define “against the trend” when you enter a trade that goes against the main trend, be it 1 day or 1h, entering minor planes to take advantage of the short-term correction but, I think it is quite subjective and somewhat complicated so this condition can be eliminated.

  Grazie!

   

  

  Andrea

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  01/11/2023 at 1:22 PM #207227
  robertogozzi

  There you go:

  DEFPARAM CumulateOrders = false ONCE p = 100 ONCE PositionSize = 1 ONCE PerCent = 1 IF Not OnMarket THEN SL = close * PerCent / 100 Ema35 = average[35,1](close) Ema70 = average[70,1](close) UPtrend = Ema35 > Ema70 DNtrend = Ema35 < Ema70 // HH = highest[p](high) LL = lowest[p](low) Diff = HH - LL // determine if the Fibonacci is Descending or Rising UP = 0 DN = 0 FOR i = 0 TO (p - 1) IF high[i] = HH THEN UP = 1 BREAK ENDIF IF low[i] = LL THEN DN = 1 BREAK ENDIF NEXT // standard Fibonacci levels IF UP THEN Fib0236 = HH - Diff * 0.236 Fib0382 = HH - Diff * 0.382 Fib0500 = HH - Diff * 0.500 Fib0618 = HH - Diff * 0.618 Fib0764 = HH - Diff * 0.764 ELSIF DN THEN Fib0236 = LL + Diff * 0.236 Fib0382 = LL + Diff * 0.382 Fib0500 = LL + Diff * 0.500 Fib0618 = LL + Diff * 0.618 Fib0764 = LL + Diff * 0.764 ENDIF ENDIF // entry LongCond = Not OnMarket AND UP AND close CROSSES OVER Fib0618 ShortCond = Not OnMarket AND DN AND close CROSSES UNDER Fib0618 IF LongCond THEN BUY PositionSize CONTRACTS AT MARKET SET STOP LOSS SL Exit1 = Fib0236 Exit2 = Fib0382 IF UPtrend THEN SELL AT Exit1 LIMIT ELSIF DNtrend THEN SELL AT Exit2 LIMIT ENDIF ENDIF IF ShortCond THEN SELLSHORT PositionSize CONTRACTS AT MARKET SET STOP LOSS SL Exit1 = Fib0236 Exit2 = Fib0382 IF DNtrend THEN EXITSHORT AT Exit1 LIMIT ELSIF UPtrend THEN EXITSHORT AT Exit2 LIMIT ENDIF ENDIF // exit IF LongOnMarket THEN IF UPtrend THEN SELL AT Exit1 LIMIT ELSIF DNtrend THEN SELL AT Exit2 LIMIT ENDIF ELSIF ShortOnMarket THEN IF DNtrend THEN EXITSHORT AT Exit1 LIMIT ELSIF UPtrend THEN EXITSHORT AT Exit2 LIMIT ENDIF ENDIF // //graph UP coloured("Green") //graph DN coloured("Red") //graph UPtrend coloured("Green") //graph DNtrend coloured("Red") //graphonprice Exit1 coloured("Gold") //graphonprice Exit2 coloured("Grey")

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  DEFPARAM CumulateOrders = false ONCE p            = 100 ONCE PositionSize = 1 ONCE PerCent      = 1 IF Not OnMarket THEN    SL             = close * PerCent / 100    Ema35          = average[35,1](close)    Ema70          = average[70,1](close)    UPtrend        = Ema35 > Ema70    DNtrend        = Ema35 < Ema70    //    HH      = highest[p](high)    LL      = lowest[p](low)    Diff    = HH - LL    // determine if the Fibonacci is Descending or Rising    UP     = 0    DN     = 0    FOR i = 0 TO (p - 1)       IF high[i] = HH THEN          UP = 1          BREAK       ENDIF       IF low[i] = LL THEN          DN = 1          BREAK       ENDIF    NEXT    // standard Fibonacci levels    IF UP THEN       Fib0236 = HH -  Diff * 0.236       Fib0382 = HH -  Diff * 0.382       Fib0500 = HH -  Diff * 0.500       Fib0618 = HH -  Diff * 0.618       Fib0764 = HH -  Diff * 0.764    ELSIF DN THEN       Fib0236 = LL +  Diff * 0.236       Fib0382 = LL +  Diff * 0.382       Fib0500 = LL +  Diff * 0.500       Fib0618 = LL +  Diff * 0.618       Fib0764 = LL +  Diff * 0.764    ENDIF ENDIF // entry LongCond  = Not OnMarket  AND UP AND close CROSSES OVER  Fib0618 ShortCond = Not OnMarket  AND DN AND close CROSSES UNDER Fib0618 IF LongCond THEN    BUY PositionSize CONTRACTS AT MARKET    SET STOP LOSS SL    Exit1 = Fib0236    Exit2 = Fib0382    IF UPtrend THEN       SELL AT Exit1 LIMIT    ELSIF DNtrend THEN       SELL AT Exit2 LIMIT    ENDIF ENDIF IF ShortCond THEN    SELLSHORT PositionSize CONTRACTS AT MARKET    SET STOP LOSS SL    Exit1 = Fib0236    Exit2 = Fib0382    IF DNtrend THEN       EXITSHORT AT Exit1 LIMIT    ELSIF UPtrend THEN       EXITSHORT AT Exit2 LIMIT    ENDIF ENDIF // exit IF LongOnMarket THEN    IF UPtrend THEN       SELL AT Exit1 LIMIT    ELSIF DNtrend THEN       SELL AT Exit2 LIMIT    ENDIF ELSIF ShortOnMarket THEN    IF DNtrend THEN       EXITSHORT AT Exit1 LIMIT    ELSIF UPtrend THEN       EXITSHORT AT Exit2 LIMIT    ENDIF ENDIF // //graph UP       coloured("Green") //graph DN       coloured("Red") //graph UPtrend  coloured("Green") //graph DNtrend  coloured("Red") //graphonprice Exit1 coloured("Gold") //graphonprice Exit2 coloured("Grey")

   

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  robertogozzi

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  01/15/2023 at 3:51 PM #207462
  Andrea

  Ciao Roberto!
  I have been testing the code and it shows interesting results in a short time, the one that caught my attention the most was in the USD/CAD pair in 15 minutes, which for a period of 10 months was able to maintain consecutive positive results.
  I’m just wondering about the drawdowns; and how risk management and results can be improved before putting the strategy to work in real.
  I realized that the losses correspond to 1% of the price movement (relative perf %). Maybe it can be modified so that they are only between 1% and 3% of the capital of the account per operation?

  ***It is worth highlighting your deep knowledge and great help!!! I will be infinitely grateful to you from my heart since this means a lot to me and you are the only one who has been able to solidify my idea***

  Grazie 🙂

  

  Andrea

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  01/18/2023 at 4:31 PM #207628
  robertogozzi

  This version sets a max 3% SL on a given Capital:

  // my FIBO system 2 // // https://www.prorealcode.com/topic/fibonacci-trading-backtest/ // DEFPARAM CumulateOrders = False DEFPARAM PreLoadBars = 0 ONCE p = 100 ONCE Capital= 10000 ONCE MaxSL = Capital / 100 * 3 //max 3% stop loss ONCE UPflag = 0 ONCE DNflag = 0 IF Not onMarket THEN HH = highest[p](high) LL = lowest[p](low) Diff = HH - LL IF Diff <> Diff[1] THEN UPflag = 0 DNflag = 0 ENDIF Fib0236 = Diff * 0.236 Fib0382 = Diff * 0.382 Fib0500 = Diff * 0.500 Fib0618 = Diff * 0.618 Fib0764 = Diff * 0.764 Fib0850 = Diff * 0.850 Fib1272 = Diff * 1.272 Fib1382 = Diff * 1.382 UP = 0 DN = 0 FOR i = 0 TO (p - 1) IF high[i] = HH THEN UP = 1 LastBar = BarIndex[i] BREAK ENDIF IF low[i] = LL THEN DN = 1 LastBar = BarIndex[i] BREAK ENDIF NEXT BarsAfterFIBO = max(1,BarIndex - LastBar) IF UP THEN Fib0236 = HH - Fib0236 Fib0382 = HH - Fib0382 Fib0500 = HH - Fib0500 Fib0618 = HH - Fib0618 Fib0764 = HH - Fib0764 Fib0850 = HH - Fib0850 Fib1272 = LL + Fib1272 Fib1382 = LL + Fib1382 LastHH = lowest[BarsAfterFIBO](min(open,close)) IF LastHH < Fib0850 THEN UPflag = -1 ENDIF ELSIF DN THEN Fib0236 = LL + Fib0236 Fib0382 = LL + Fib0382 Fib0500 = LL + Fib0500 Fib0618 = LL + Fib0618 Fib0764 = LL + Fib0764 Fib0850 = LL + Fib0850 Fib1272 = HH - Fib1272 Fib1382 = HH - Fib1382 LastLL = highest[BarsAfterFIBO](max(open,close)) IF LastHH > Fib0850 THEN DNflag = -1 ENDIF ENDIF IF UP AND (UPflag = 0) THEN IF (close < Fib0500) AND (BarsAfterFIBO >= 2) THEN UPflag = 1 ENDIF ELSIF DN AND (DNflag = 0) THEN IF (close > Fib0500) AND (BarsAfterFIBO >= 2) THEN DNflag = 1 ENDIF ENDIF ELSE UPflag = 0 DNflag = 0 UP = 0 DN = 0 ENDIF IF UP AND (UPflag = 1) AND (close >= Fib0382) AND Not OnMarket THEN BUY 2 Contract at Market // MySL = abs((close - Fib0500) / PipSize) MySL = min(MaxSL,MySL) SET STOP $LOSS MySL //SELL AT Fib0500 STOP //SL // MyTP = abs(close - Fib1382) //SELL AT Fib1382 LIMIT //TP SET TARGET PROFIT MyTP ENDIF IF DN AND (DNflag = 1) AND (close <= Fib0382) AND Not OnMarket THEN SELLSHORT 2 Contract at Market // MySL = abs((close - Fib0500) / PipSize) MySL = min(MaxSL,MySL) SET STOP $LOSS MySL //SELL AT Fib0500 STOP //SL // MyTP = abs(close - Fib1382) //EXITSHORT AT Fib1382 LIMIT //TP SET TARGET PROFIT MyTP ENDIF IF LongOnMarket THEN //SELL AT Fib0500 STOP //SL //SELL AT Fib1382 LIMIT //TP IF close >= Fib1272 AND abs(CountOfPosition) = 2 THEN SELL 1 Contract at Market //exit 50% ENDIF ELSIF ShortOnMarket THEN //EXITSHORT AT Fib0500 STOP //SL //EXITSHORT AT Fib1382 LIMIT //TP IF close <= Fib1272 AND abs(CountOfPosition) = 2 THEN EXITSHORT 1 Contract at Market //exit 50% ENDIF ENDIF //graphonprice Fib1272 coloured("Red") AS "TP 1" //graphonprice Fib1382 coloured("Blue") AS "TP 2" //graphonprice Fib0500 coloured("Black") AS "SL" //graph UP //graph DN //graph Diff <> Diff[1] //graph UPflag //graph DNflag //graph LastBar //graph BarsAfterFIBO //graph MySL //graph PositionPrice * PositionPerf //graph abs(close - Fib0500) / pipsize

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  // my FIBO system 2 // // https://www.prorealcode.com/topic/fibonacci-trading-backtest/ // DEFPARAM CumulateOrders = False DEFPARAM PreLoadBars    = 0 ONCE p      = 100 ONCE Capital= 10000 ONCE MaxSL  = Capital / 100 * 3   //max 3% stop loss ONCE UPflag = 0 ONCE DNflag = 0 IF Not onMarket THEN HH          = highest[p](high) LL          = lowest[p](low) Diff        = HH - LL IF Diff <> Diff[1] THEN UPflag = 0 DNflag = 0 ENDIF Fib0236 = Diff * 0.236 Fib0382 = Diff * 0.382 Fib0500 = Diff * 0.500 Fib0618 = Diff * 0.618 Fib0764 = Diff * 0.764 Fib0850 = Diff * 0.850 Fib1272 = Diff * 1.272 Fib1382 = Diff * 1.382 UP      = 0 DN      = 0 FOR i = 0 TO (p - 1) IF high[i] = HH THEN UP = 1 LastBar = BarIndex[i] BREAK ENDIF IF low[i] = LL THEN DN = 1 LastBar = BarIndex[i] BREAK ENDIF NEXT BarsAfterFIBO = max(1,BarIndex - LastBar) IF UP THEN Fib0236 = HH - Fib0236 Fib0382 = HH - Fib0382 Fib0500 = HH - Fib0500 Fib0618 = HH - Fib0618 Fib0764 = HH - Fib0764 Fib0850 = HH - Fib0850 Fib1272 = LL + Fib1272 Fib1382 = LL + Fib1382 LastHH  = lowest[BarsAfterFIBO](min(open,close)) IF LastHH < Fib0850 THEN UPflag = -1 ENDIF ELSIF DN THEN Fib0236 = LL + Fib0236 Fib0382 = LL + Fib0382 Fib0500 = LL + Fib0500 Fib0618 = LL + Fib0618 Fib0764 = LL + Fib0764 Fib0850 = LL + Fib0850 Fib1272 = HH - Fib1272 Fib1382 = HH - Fib1382 LastLL  = highest[BarsAfterFIBO](max(open,close)) IF LastHH > Fib0850 THEN DNflag = -1 ENDIF ENDIF IF UP AND (UPflag = 0) THEN IF (close < Fib0500) AND (BarsAfterFIBO >= 2) THEN UPflag = 1 ENDIF ELSIF DN AND (DNflag = 0) THEN IF (close > Fib0500) AND (BarsAfterFIBO >= 2) THEN DNflag = 1 ENDIF ENDIF ELSE UPflag = 0 DNflag = 0 UP     = 0 DN     = 0 ENDIF IF UP AND (UPflag = 1) AND (close >= Fib0382) AND Not OnMarket THEN BUY 2 Contract at Market // MySL = abs((close - Fib0500) / PipSize) MySL = min(MaxSL,MySL) SET STOP $LOSS MySL //SELL AT Fib0500 STOP         //SL // MyTP = abs(close - Fib1382) //SELL AT Fib1382 LIMIT        //TP SET TARGET PROFIT MyTP ENDIF IF DN AND (DNflag = 1) AND (close <= Fib0382) AND Not OnMarket THEN SELLSHORT 2 Contract at Market // MySL = abs((close - Fib0500) / PipSize) MySL = min(MaxSL,MySL) SET STOP $LOSS MySL //SELL AT Fib0500 STOP         //SL // MyTP = abs(close - Fib1382) //EXITSHORT AT Fib1382 LIMIT   //TP SET TARGET PROFIT MyTP ENDIF IF LongOnMarket THEN //SELL AT Fib0500 STOP         //SL //SELL AT Fib1382 LIMIT        //TP IF close >= Fib1272 AND abs(CountOfPosition) = 2 THEN SELL 1 Contract at Market       //exit 50% ENDIF ELSIF ShortOnMarket THEN //EXITSHORT AT Fib0500 STOP    //SL //EXITSHORT AT Fib1382 LIMIT   //TP IF close <= Fib1272 AND abs(CountOfPosition) = 2 THEN EXITSHORT 1 Contract at Market //exit 50% ENDIF ENDIF //graphonprice Fib1272 coloured("Red")   AS "TP 1" //graphonprice Fib1382 coloured("Blue")  AS "TP 2" //graphonprice Fib0500 coloured("Black") AS "SL" //graph UP //graph DN //graph Diff <> Diff[1] //graph UPflag //graph DNflag //graph LastBar //graph BarsAfterFIBO //graph MySL //graph PositionPrice * PositionPerf //graph abs(close - Fib0500) / pipsize

   

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  robertogozzi

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