Futures strategy: Wide Ranging Days In ThinkOrSwim

[danB]

How does it actually Work? some instructions for the strategy?

Hello, read the original post that is linked in the text you just cited.

 

[danB]

Hey @danB - Thanks for the strat. I think I may be misunderstanding something. It sounds like the recommended timeframe for this is daily with a 2 /4 bar look back/forward. When I load that into ToS and look at FloatingPL its a sea of red. The first bar on the chart is 1/25/21 and I set the start date parameter to the same. Are you able to see what I am misunderstanding? Thank you.

Hello, Originally in the book which introduces the strategy it is used at the daily time frame, hence the name "Wide ranging days". However, other users here tried using it in a lower time frame, such as the 5 min chart, and it works beautifully. I suggest you try the 5 min chart.

 

[_Merch_Man_]

Hello, Originally in the book which introduces the strategy it is used at the daily time frame, hence the name "Wide ranging days". However, other users here tried using it in a lower time frame, such as the 5 min chart, and it works beautifully. I suggest you try the 5 min chart.

Hey @danB - So I spent a fair amount of time with this today on an ES 5 day/5 min chart and could not find any combination of parameters that resulted in a positive P&L over 5 days. Would you be so kind as to share the settings that you have found to work well on a 5 min chart? TIA.

 

[danB]

Hey @danB - So I spent a fair amount of time with this today on an ES 5 day/5 min chart and could not find any combination of parameters that resulted in a positive P&L over 5 days. Would you be so kind as to share the settings that you have found to work well on a 5 min chart? TIA.

Hello, I use 2 days before, 4 after. I am looking at the /ES right now. I have my chart set up with a 30 day period and I see a profit of 7K, see the image attached.

I agree the numbers are not impressive. This is an "always-in" strategy, meaning that you either have a long or short position, and just wait for the opposite signal if you are having a losing trade. I have seen other strategies, such as this one that include a stop loss in the code. Maybe adding one here can improve the P&L figures. Hope it helps.

 

[_Merch_Man_]

Hello, I use 2 days before, 4 after. I am looking at the /ES right now. I have my chart set up with a 30 day period and I see a profit of 7K, see the image attached. I agree the numbers are not impressive. This is an "always-in" strategy, meaning that you either have a long or short position, and just wait for the opposite signal if you are having a losing trade. I have seen other strategies, such as this one that include a stop loss in the code. Maybe adding one here can improve the P&L figures. Hope it helps.

Thanks for taking the time to response @danB. I see the same results on a 30day/5 min chart, though looking at that chart I do also see that the last 5 days of the period show a loss. I'm going to keep playing around with it. I've also ordered the book that this idea came from.

 

[_Merch_Man_]

I'm still playing around with this. Here's the best I've got so far. Designed for /ES on a 5 min chart. Changes from the original are:

1. Long trades only
2. Stop is the midpoint between PTRH and PTRL
3. Trade will exit on the last bar of the futures trading session
4. Added a variable for slippage (default 0.25 points per trade)
5. Added a variable for commissions (set to my commission rate of 0.12 points * $50 = $6)

I've looked at a good number of historical periods using onDemand and it holds up pretty well with an upward sloping profit curve.

#Wide Ranging Days Strategy - Long Only
#Original code by Svanoy.   Modified by Matt Ward Feb 2nd 2022.
#https://usethinkscript.com/threads/futures-strategy-wide-ranging-days-in-thinkorswim.9767

input length = 10;
input averageType = AverageType.WILDERS;
input Days_Before = 1;
input Days_After = 2;
input ExcludeDowntrend = Yes;
input DowntrendEMA1 = 5;
input DowntrendEMA2 = 9;
input DowntrendEMA3 = 14;
input Slippage = 0.25;
input Commission = 0.12;

def WideRangingDay = TrueRange(high, close, low) / ATR(length, averageType) > 1.6;

def Signal = if IsNaN(close[Days_After]) then Signal[Days_After] else WideRangingDay[Days_After];
def ValidBarNumber = if !IsNaN(BarNumber()) then BarNumber() else ValidBarNumber[1];
def WideRangingDayStartBarID = if Signal then ValidBarNumber[Days_After + Days_Before] else WideRangingDayStartBarID[1];
def WideRangingDayEndBarID = if Signal then ValidBarNumber else WideRangingDayEndBarID[1];

def True_High = fold th = ValidBarNumber - WideRangingDayEndBarID
                to ValidBarNumber - WideRangingDayStartBarID + 1
                with THC = GetValue(high, ValidBarNumber - WideRangingDayEndBarID)
                do if THC > GetValue(high, th) then THC else GetValue(high, th);

def True_Low = fold tl =  ValidBarNumber - WideRangingDayEndBarID
               to ValidBarNumber - WideRangingDayStartBarID + 1
               with TLC = GetValue(low, ValidBarNumber - WideRangingDayEndBarID)
               do if TLC < GetValue(low, tl) then TLC else GetValue(low, tl);

plot PTRH = True_High;
plot PTRL = True_Low;
plot MidLevel = ((PTRH-PTRL)/2)+PTRL;

input StartDate = 19501201;
def Days = DaysFromDate(StartDate);

def DownTrend = MovingAverage(averageType.EXPONENTIAL, OHLC4[-1], DowntrendEMA1) < MovingAverage(averageType.EXPONENTIAL, OHLC4[-1], DowntrendEMA2) and MovingAverage(averageType.EXPONENTIAL, OHLC4[-1], DowntrendEMA2) < MovingAverage(averageType.EXPONENTIAL, OHLC4[-1], DowntrendEMA3);
def EntryCondition = high crosses above PTRH and Days >= 0 and !(ExcludeDowntrend and DownTrend);
def EntryPrice = PTRH;
def ExitCondition1 = low crosses below ((PTRH-PTRL)/2)+PTRL;
def ExitCondition2 = if SecondsTillTime(1655) == 0 and SecondsFromTime(1655) == 0 then 1 else 0;
def ExitPrice = if ExitCondition1 then ((PTRH-PTRL)/2)+PTRL else if ExitCondition2 then open else 0;

def ExitNow = ExitCondition1 or ExitCondition2;

AddOrder(OrderType.BUY_TO_OPEN, EntryCondition, price = EntryPrice+Slippage+Commission, tradeSize = 1, tickcolor = GetColor(0), arrowcolor = GetColor(0), name = "");
AddOrder(OrderType.SELL_TO_CLOSE, ExitNow, price = ExitPrice-Slippage-Commission, tradeSize = 1, tickcolor = GetColor(0), arrowcolor = GetColor(0), name = "");

 

[Svanoy]

@_Merch_Man_
First of all, Great Work!
But... I did notice an error in your definition of EntryCondition.
Current definition will result in false buy signals and impossible entry prices.
There will be a false buy signal at the yellow arrow and if you wait until bar close then the price should be at the orange arrow.

You have to either change:

def EntryCondition = close crosses above PTRH and Days >= 0;

to:

def EntryCondition = high crosses above PTRH and Days >= 0;

to make the entry price valid.

Or change it to:

def EntryCondition = close[1] crosses above PTRH[1] and Days >= 0;

and change your AddOrder entry price to: open+Slippage+Commission

Again you've done a Great Job, I just didn't want your results to get skewed with impossible data.

 

[_Merch_Man_]

Thank you @Svanoy! I've modified the entry condition in the post above. I also added new logic that gives you the option to NOT open trades if the market is in a downtrend. I've defined a downtrend as (by default) the 5 EMA < 9 EMA < 14 EMA. Thanks again for your feedback. My book arrived yesterday evening so I'll be reading more about this strategy and continuing to play around.

 

[Adeodatus]

WOW! Svanoy and DanB, and Merchman thanks! And M.Ward, I've a modified Matt-Ward (Ver 1/30/22) run with what i left on the other thread (sorry about that). Note with the latest change, a real solid indicator in low time frames. Surprise, this indicator will kill!

excellent!

Now to make into a scanner, uh, anyone?

 

[_Merch_Man_]

WOW! Svanoy and DanB, and Merchman thanks! And M.Ward, I've a modified Matt-Ward (Ver 1/30/22) run with what i left on the other thread (sorry about that). Note with the latest change, a real solid indicator in low time frames. Surprise, this indicator will kill!

excellent!

Now to make into a scanner, uh, anyone?

@Adeodatus Can you please link to the combined/modified code?

 

[Adeodatus]

@Adeodatus Can you please link to the combined/modified code?

I'm uncertain how to link images, tried. anyway, could Mod please fill me in how to post image. Its the same as #26 above, with the last code modification in #27. i won't post the modified TSchaffTrendHull code here, not to take over the thread. Its posted at :
https://usethinkscript.com/threads/combined-trend-indicators-for-thinkorswim.10055/

 

[MerryDay]

I'm uncertain how to link images, tried. anyway, could Mod please fill me in how to post image.

Unsure of how to upload screenshots to the forum, Here are directions.

 

[Svanoy]

@Adeodatus
If you don't mind, could you explain what signal(s) of one indicator are you using to confirm the signal(s) of the other indicator or vice versa?

 

[Adeodatus]

13393[/ATTACH]']

Only tagged it "Svanoy_2" to remember what to look for in the upper.


Lower, a modified trending indicator: https://usethinkscript.com/threads/combined-trend-indicators-for-thinkorswim.10055/

So follow the STC Trend for color change, see when it changed?
At bottom! STC Trend change to blue, (or whichever color you make it)
Watch where STC Wave changed to green & crosses 27 line.
AvgExp Wave only indicate Relevant Volume, it does not separately indicate buyer/seller volumes. (Yellow)
The green/red line along the bottom is polarity, positive or negative


I did not write this code