ProRealTime / ProScreener / ProRealTrend / ProBackTest

I'm afraid that is all a bit above my capabilities or understanding, however i value your help vastly. This is the code i am running, the charts run only from 6am through to 10pm. Would you be kind enough to indicate waht I should do.

SMA= AVERAGE[a](weightedclose)
upper = (c)* AVERAGETRUERANGE[b](weightedclose)
lower = (d)* AVERAGETRUERANGE[b](weightedclose)
upperband=SMA+upper
lowerband=SMA-lower
midband = (upperband+lowerband)/2
midupper = (midband+upperband)/2
midlower = (midband+lowerband)/2
ind1 = close
ind2 = open
ind3 = RSI[14](weightedclose)

c1 = (ind1 < lowerband and ind1 < ind2)
c2 = (ind3 > 60 or ind1 CROSSES OVER midupper)
c3 = (ind1 > upperband and ind1 > ind2)
c4 = (ind3 < 40 or ind1 CROSSES UNDER midlower)

IF c1 AND HOUR >6 AND HOUR <22 AND NOT LONGONMARKET THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
ENDIF

IF c2 AND HOUR >6 AND HOUR <22 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF

IF c3 AND HOUR >6 AND HOUR <22 AND NOT SHORTONMARKET THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE
ENDIF

IF c4 AND HOUR >6 AND HOUR <22 THEN
EXITSHORT AT MARKET THISBARONCLOSE
ENDIF


cheers

chris

Sgt Iria,

I thought to myself don't be such a lazy sod, at least try to work it out. So I came up with this which seems to do the job it implies where it has to produce alternating signals long or short, this indeed stops anyone trying to catch that falling knife. Where it differs from what i wanted is that I was trying to establish only 1 trade a day, however this has an improved effect on the backtest.


SMA= AVERAGE[a](weightedclose)
upper = (c)* AVERAGETRUERANGE[b](weightedclose)
lower = (d)* AVERAGETRUERANGE[b](weightedclose)
upperband=SMA+upper
lowerband=SMA-lower
midband = (upperband+lowerband)/2
midupper = (midband+upperband)/2
midlower = (midband+lowerband)/2
ind1 = close
ind2 = open
ind3 = RSI[14](weightedclose)

c1 = (ind1 < lowerband and ind1 < ind2)
c2 = (ind3 > 60 or ind1 CROSSES OVER midupper)
c3 = (ind1 > upperband and ind1 > ind2)
c4 = (ind3 < 40 or ind1 CROSSES UNDER midlower)

// let us be short or long whichever comes first
ONCE myLongToggle = 0> 1 // longs are off
ONCE myShortToggle = 0> 1 // longs are off

// if were not already long and my entry criteria are met then
IF NOT myLongToggle AND c1 AND HOUR >6 AND HOUR <22 AND NOT LONGONMARKET THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
// We have made a long trade so toggle on longs to prevent more
myLongToggle = 1>0
// initialise longs when you are short, initialise shorts when you are long
myShortToggle = 0>1 // we can go short again
ENDIF

IF c2 AND HOUR >6 AND HOUR <22 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF

IF NOT myShortToggle AND c3 AND HOUR >6 AND HOUR <22 AND NOT SHORTONMARKET THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE

// We have made a long trade so toggle on longs to prevent more
myShortToggle = 1>0
// initialise longs when you are short, initialise shorts when you are long
myLongToggle = 0>1 // we can go short again
ENDIF

IF c4 AND HOUR >6 AND HOUR <22 THEN
EXITSHORT AT MARKET THISBARONCLOSE
ENDIF

Many, many thanks,

Chris

Sorry simply dont have the time available to do much more than hint at ideas.

You could just try the variable DAYS to work out how many trades you've conducted in a day.

// DAYS is a throw back to Linux count of days since 1970,Jan,1st
ONCE myCurrentDay = 0
ONCE myNoTradesToday = 0

// when we move to a new day the old
IF myCurrentDay < DAYS THEN
myNoTradesToday = 0
myCurrentDay = DAYS
ENDIF

IF myCriteriaMet and myNoTradesToday = 0 THEN
BUY 1 AT MARKET
myNoTradesToday = myNoTradesToday + 1
ENDIF

Its an idea, all code from memory so pls check

What can I say Sgt Iria this works just perfectly. Many thanks once again for your help and for taking the time.

s2m

Can anyone help, here is the code I am running. Is it possible to place into the code stops and limits into the code instead of using the stops section on the backtest creation. Something along the lines of the following for a long position:

SET STOP AT ENTRY -25
SET LIMIT AT ENTRY +25



SMA= AVERAGE[a](weightedclose)
upper = (c)* AVERAGETRUERANGE[b](weightedclose)
lower = (d)* AVERAGETRUERANGE[b](weightedclose)
upperband=SMA+upper
lowerband=SMA-lower
midband = (upperband+lowerband)/2
midupper = (midband+upperband)/2
midlower = (midband+lowerband)/2
ind1 = close
ind2 = open
ind3 = RSI[14](weightedclose)

c1 = (ind1 < lowerband and ind1 < ind2)
c2 = (ind3 > 60 or ind1 CROSSES OVER midupper)
c3 = (ind1 > upperband and ind1 > ind2)
c4 = (ind3 < 40 or ind1 CROSSES UNDER midlower)


// DAYS is a throw back to Linux count of days since 1970,Jan,1st
ONCE myCurrentDay = 0
ONCE myNoTradesToday = 0

// when we move to a new day the old
IF myCurrentDay < DAYS THEN
myNoTradesToday = 0
myCurrentDay = DAYS
ENDIF

IF c1 AND HOUR >6 AND HOUR <22 AND NOT LONGONMARKET AND myNoTradesToday = 0 THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
myNoTradesToday = myNoTradesToday + 1
ENDIF

IF c2 AND HOUR >6 AND HOUR <22 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF

IF c3 AND HOUR >6 AND HOUR <22 AND NOT SHORTONMARKET AND myNoTradesToday = 0 THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE
myNoTradesToday = myNoTradesToday + 1
ENDIF

IF c4 AND HOUR >6 AND HOUR <22 THEN
EXITSHORT AT MARKET THISBARONCLOSE
ENDIF


Cheers

s2m

UPDATE.

I have managed to incorporate the stoploss thankyou, if anyone want details just let me know.

Thanks to all.

s2m

Hi saidtomuch,

Being a complete Newbie to ProBacktest etc, I have been looking at using it to help prove a strategy on other markets, so I would be very interested in how you managed to code in Stops and Limits as whole numbers from entry,

Phil.

Hi Phil

It's the following code which is placed after your entry command, so place the 1st after your command to enter long and the 2nd after your short command.

IF LONGONMARKET THEN
SELL 1 SHARES AT EntryQuote +A LIMIT
ENDIF
IF LONGONMARKET THEN
SELL 1 SHARES AT EntryQuote -B STOP
ENDIF




IF SHORTONMARKET THEN
EXITSHORT 1 SHARES AT EntryQuote +C STOP
ENDIF
IF SHORTONMARKET THEN
EXITSHORT 1 SHARES AT EntryQuote -D LIMIT
ENDIF

replacing ABCor D with the figures you have in mind.

s2m

Does anyone know if it is possible to define a specific period for selecting the high and low of that period, I just want the high and low for 08.00 to 16.30 on each day to be included in the pivot point calculation, not the daily high and low.

Many thanks,

s2m

Thanks S2m,

I aim to spend some time at it over the weekend, I'll let you know how it goes,

Phil

Hi, yep that would look something like this:

Note: Set the time to 30 minutes for the back test (the smallest unit that divides into your time frame) if you had said 4:35 then you would use 5.

ONCE myHigh = 0 // a small number
ONCE myLow = 10000 // an arbitrary large number

myStartHour = 10 // 10am uses 24 hour clock
myStartMinute = 0
myEndHour = 16 // 4pm uses 24 hour clock
myEndMinute = 30


// Only look for highs and lows in this time window
IF (HOUR >= myStartHour AND MINUTE >=myStartMinute) AND (HOUR <= myEndHour AND MINUTE <= myEndMinute)

IF HIGH > myHigh THEN
myHigh = HIGH
ENDIF

IF LOW < myLow THEN
myLow = LOW
ENDIF

ENDIF

RETURN myHigh AS "Time window high", myLow AS "Time window low"

All from memory not tested, but should work.

Has usual Sgt.Iria many many thanks, you are a great help.

s2m

Hi Guys,

Thanks again S2M, that works perfectly, but I have another question which I hope one of you experts can advise me on, if I have crossover strategy, the stochstics say, is it possible to have an entry at the 5 points above/below the cross depending on whether it's a long or short trade of course, or can we only use the cross itself?

Phil

Sgt.Iria,

I thought this was working right until I looked further, it appears to deliver the high and low from all the data available on the chart window not just the previous days, any thoughts ?

s2m

This is probably a little above my knowledge but if you could post the code i will take a look when time permits.

Chris

Thanks Chris,

I have to admit that I havn't written any code for it at the moment, a bit of a theoretical question, thanks for the offer anyway.

So now I will have to get my butt into gear and write some code, I'll post when I have done it,

Thanks again Chris,

Phil.

Hi there,
I am trying to implement the code from Sgt. Iria although I am getting some errors .. wondering if this thread is still active enough to post here?
Will keep monitoring just in case.

The error is when i try to Validate the code from page 3 dated Feb 24, 2011 11:09am by sgt. Iria part II. the Hekin Ashi works fine but the other throws a syntax error ... anyone else having issues ?

Regards
Scot

Hi all!

Has anyone built Elliot Wave indicator here?

Hi everyone!

New to this forum! Anyone familiar with the percentage indicator with the real time or pro realtime platform? I am looking for some documentation on it!

Thank you in advance for you consideration.

Chris

Hi everyone, this is my latest code. What I am wanting to do is open it up for more entries even if in a position. C1 or C3 triggers the 1st entry and I want the 2nd entry (if needed) to be when the exit point hits the entry price.
For example if short C3 would trigger that entry, after that I would want a subsequent entry to be if close < midlower, if long C1 would trigger the initial entry and a 2nd entry if close > midupper.


SMA= AVERAGE[C](weightedclose)
upper = (3.275)* AVERAGETRUERANGE[D](weightedclose)
lower = (3.375)* AVERAGETRUERANGE[D](weightedclose)
upperband=SMA+upper
lowerband=SMA-lower
midband = (upperband+lowerband)/2
midupper = (midband+upperband)/2
midlower = (midband+lowerband)/2
ind1 = close
ind3 = RSI[14](weightedclose)
c1 = (ind1 < lowerband and ind3 < 30)
c2 = (ind3 > 52 or ind1 CROSSES OVER midupper)
c3 = (ind1 > upperband and ind3 > 70)
c4 = (ind3 < 45 or ind1 CROSSES UNDER midlower)
IF c1 AND NOT LONGONMARKET THEN
BUY 1 SHARES AT MARKET THISBARONCLOSE
ENDIF
IF LONGONMARKET THEN
SELL 1 SHARES AT EntryQuote -EntryQuote/100*.5 STOP
ENDIF
IF c2 THEN
SELL AT MARKET THISBARONCLOSE
ENDIF
IF c3 AND NOT SHORTONMARKET THEN
SELLSHORT 1 SHARES AT MARKET THISBARONCLOSE
ENDIF
IF SHORTONMARKET THEN
EXITSHORT 1 SHARES AT EntryQuote +EntryQuote/100*.5 STOP
ENDIF
IF c4 THEN
EXITSHORT AT MARKET THISBARONCLOSE
ENDIF

Many thanks if you can offer me any assistance.

Chris