Adding Spike Protection | Forex Factory

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Adding Spike Protection

  • #1
  • First Post: Edited 7:01am Aug 24, 2009 6:59am | Edited 7:01am
Hi People,


I am trying to add spike protection to an EA so when a buy stop gets hit via a spike it closes the Trade immediately and before it turns out badly. I am sure all you traders know exactly what I am talking about.

Anyway, I wrote this code but, I must be missing something because, it closes every Trade.. Not what I wanted of course.

Can anyone spot why it is doing this. (dont forget I am just knew at this)

thanks

if (spikeActivatedTrade ==true)

{
total = OrdersTotal();

for(i = total - 1; i >= 0; i--)
{
OrderSelect(i, SELECT_BY_POS, MODE_TRADES);

if(OrderSymbol() != Symbol()) continue;

if((OrderType() == OP_BUY) || (OrderType() == OP_SELL))
{
// Bears Spike
if (((type == _OP_BUY) && (iOpen(NULL,PERIOD_M15,1))>(iClose(NULL,PERIOD_M15,1))) && (iHigh(NULL,PERIOD_M15,1))+(iLow(NULL,PERIOD_M15,1))/2 > (iOpen(NULL,PERIOD_M15,1)))
{
if(PrintComments) Print("Closed spike activated order");
glOrderClose();
}
}
}
}
  • #2
  • Aug 24, 2009 7:17am Aug 24, 2009 7:17am
Based on what I see in your code:

1. You must be long.
2. The previous candle must have gone down.
3. You average the high and low and it must be greater than the open.

I don't see how the third part is ever true.

simplify your code too. I am assuming that you are on some other timeframe than the 15 min.

go from this:
if (((type == _OP_BUY) && (iOpen(NULL,PERIOD_M15,1))>(iClose( NULL,PERIOD_M15,1))) && (iHigh(NULL,PERIOD_M15,1))+(iLow(NU LL,PERIOD_M15,1))/2 > (iOpen(NULL,PERIOD_M15,1)))

to this:

if (type == _OP_BUY && iOpen(NULL,PERIOD_M15,1)> iClose( NULL,PERIOD_M15,1) && (iHigh(NULL,PERIOD_M15,1))+iLow(NU LL,PERIOD_M15,1)/2 > (iOpen(NULL,PERIOD_M15,1)))
  • #3
  • Aug 24, 2009 8:53am Aug 24, 2009 8:53am
I haven't looked to close to your code but I use ATR as a circuit breaker now. So far is seems like a nice way to keep the range dynamic. I do something like this:

double CircuitBreaker = NormalizeDouble((iATR(NULL,0,14,1)*3),Digits);
if((Bid+Ask)/2 <= CloseStop-CircuitBreaker) or reverse for sell order
{
CloseOrder();
}

I use the average of bid/ask because the spread can get pretty wide during a run and close[0] could take you out prematurely. Its all theory right now because it hasn't kicked in yet but I plan to test it on the next big news.
  • #4
  • Aug 24, 2009 9:12am Aug 24, 2009 9:12am
My suggestion for spike detection is if the true range is more than 2 standard deviations away from the 20 bar ATR.
  • #5
  • Aug 24, 2009 10:09am Aug 24, 2009 10:09am
My spike protection is very simple, I just use a shifted moving average as a extra crossover exit strat, if the price is going in your favor and then all of a sudden reverses for a large spike, the TS would be the crossover of the shifted moving average (just use Smooth MA settings 2 shift 5) This will allow for some minor fluctuation but will inform of any major movement in the opposing direction.
  • #6
  • Aug 24, 2009 10:21am Aug 24, 2009 10:21am
Because for some reason I can't edit the post above.

But, I do understand this method could exit you out of a trade early, but it's better sometimes to get out of a trade early, then to suffer a huge loss from a spike.
  • #7
  • Aug 24, 2009 6:07pm Aug 24, 2009 6:07pm
Quoting magnumfreak
Based on what I see in your code:

1. You must be long.
Yes, I thought if this one worked I would write and equivalent for short. Maybe, that is too long winded and too much code. Still trying to get my head around it.
Quote
2. The previous candle must have gone down.
I wrote another for the bull candle so I had an if statement for either direction of the candle. My thinking was that as soon as the next tick came after the candle was drawn, the decision would be made based on what direction the last candle was.

Quote
3. You average the high and low and it must be greater than the open.

I don't see how the third part is ever true.
Yes, you are right of course, I tried it both ways to test if I was missing something.

Unfortunately I put the code here without considering I had changed the arrow.

Quote

simplify your code too. I am assuming that you are on some other timeframe than the 15 min.

go from this:
if (((type == _OP_BUY) && (iOpen(NULL,PERIOD_M15,1))>(iClose( NULL,PERIOD_M15,1))) && (iHigh(NULL,PERIOD_M15,1))+(iLow(NU LL,PERIOD_M15,1))/2 > (iOpen(NULL,PERIOD_M15,1)))

to this:

if (type == _OP_BUY && iOpen(NULL,PERIOD_M15,1)> iClose( NULL,PERIOD_M15,1) && (iHigh(NULL,PERIOD_M15,1))+iLow(NU LL,PERIOD_M15,1)/2 > (iOpen(NULL,PERIOD_M15,1)))
Thank you for that.. I am trying it now. Not really sure that my solution is the best one for the problem.

You are a great help, as always

A
  • #8
  • Aug 24, 2009 6:33pm Aug 24, 2009 6:33pm
Quoting Tigertron
I haven't looked to close to your code but I use ATR as a circuit breaker now. So far is seems like a nice way to keep the range dynamic. I do something like this:...
Well I was caught on this spike somewhere around the red arrow just this month. The market continued down for the next two days. If I had shut the order on the exit of that candle, I would still have lost but nowhere near, what I did loose.

Your code looks like it might be a good solution..
What is the variable closeStop? Sorry I have to ask and I am sure it is clear to most others here.

If I knew what it was, I have the EA to test it.
Attached Image (click to enlarge)
Click to Enlarge Name: spike.png Size: 8 KB
  • #9
  • Aug 24, 2009 8:13pm Aug 24, 2009 8:13pm
Ok, this is what I have come up with.. if it is not a good solution, please let me know.

It seems to be working. I put it here as a pic because it is easier to read
Attached Image (click to enlarge)
Click to Enlarge Name: spikecode.png Size: 24 KB
  • #10
  • Aug 25, 2009 1:51am Aug 25, 2009 1:51am
Actually, the code is a total failure. No, Not Working people!

Each time it buys it looks at the previous candle whether that is the candle it bought on or not. So if it buys on the current candle and the last candle is a spike, it closes within seconds and buys and closes again for the next 15 minutes.

LOL.. fastest way I ever saw to go broke.
  • #11
  • Aug 25, 2009 2:53am Aug 25, 2009 2:53am
Quoting Tigertron
I haven't looked to close to your code but I use ATR as a circuit breaker now. So far is seems like a nice way to keep the range dynamic. I do something like this:...
OK, using your code and not really understanding what CloseStop is I have used it this way. Please let me know if I am off base?

if (SpikeProtection ==true)

double CircuitBreaker = NormalizeDouble((iATR(NULL,0,14,1)* 3),Digits);
if (type == _OP_BUY &&((Bid+Ask)/2) <= (SpikePipsMargin *0001) -CircuitBreaker) //or reverse for sell order
{
glOrderClose();
}
  • #12
  • Aug 25, 2009 7:37pm Aug 25, 2009 7:37pm
Quoting Pharoah
My spike protection is very simple, I just use a shifted moving average as a extra crossover exit strat, if the price is going in your favor and then all of a sudden reverses for a large spike, the TS would be the crossover of the shifted moving average (just use Smooth MA settings 2 shift 5) This will allow for some minor fluctuation but will inform of any major movement in the opposing direction.
Would this be a good solution for a stoploss/takeprofit instead of a trailing stop?

I optimise on where to set my trailing stop and I have found that really there is no good answer. If the market is moving slowly, it should be closer that when it is volatile.

Can you paste the line of code that you are using for this, I am right out of my depth with this one.
  • #13
  • Last Post: Aug 27, 2009 5:17am Aug 27, 2009 5:17am
Quoting asgard2
OK, using your code and not really understanding what CloseStop is I have used it this way. Please let me know if I am off base?

if (SpikeProtection ==true)

double CircuitBreaker = NormalizeDouble((iATR(NULL,0,14,1)* 3),Digits);
if (type == _OP_BUY &&((Bid+Ask)/2) <= (SpikePipsMargin *0001) -CircuitBreaker) //or reverse for sell order
{
glOrderClose();
}
My CloseStop is a Fractal level. Basically the last swing high or low point. To update; it didn't work that good. I got whacked on a 15 min bar that had my circuit breaker set almost 20 pips away. There was a lot of increasing volatility right before the big move that caused ATR to rise. Perhaps shifting the ATR to eliminate recent noise. I need to think about it some more.
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