That's what I haven't been able to figure out man, but I created this algo in 2020 when the market was crashing and remained profitable throughout the that year and also the last months of 2019, but struggled on the last 3 months of 2020@hectorgasm Pretty cool. Here is the PnL chart for the past 6 months. Struggled the first month, but it seems like it goes in stair step increments. Goes sideways as market goes sideways? and takes advantage of the moves?
It looks promissing.
I think there are many uncertainties in the market lately. Trends reverse too quickly or don’t follow through. I’m still impressed with what it can do.
##CREATED BY GASMOS ;)
## barbaros - 2021/03/23 - clean up
# SlowRSI
input emaLength = 5;
input rsiLength = 10;
input over_bought = 80;
input over_sold = 20;
# Breakout signals of SLOWRSI
input averageType = AverageType.WILDERS;
input showBreakoutSignals = no;
def ema = ExpAverage(close, emaLength);
def netChgAvg = WildersAverage(close - ema, rsiLength);
def totChgAvg = WildersAverage(AbsValue(close - ema), rsiLength);
def chgRatio = if totChgAvg != 0 then netChgAvg / totChgAvg else 0;
def SlowRSI = 50 * (chgRatio + 1);
def MiddleLine = 50;
# Moving Averages of SLOWRSI
input MALength = 9;
input AverageType1 = AverageType.WEIGHTED;
input MALength2 = 26;
input AverageType2 = AverageType.SIMPLE;
input MALength3 = 57;
input AverageType3 = AverageType.SIMPLE;
input MALength4 = 200;
input AverageType4 = AverageType.HULL;
def MA = MovingAverage(AverageType1, SlowRSI, MALength);
def pMA = MA;
def MA2 = MovingAverage(AverageType2, SlowRSI, MALength2);
def pMA2 = MA2;
def MA3 = MovingAverage (AverageType3, SlowRSI, MALength3);
def pMA3 = MA3;
def MA4 = MovingAverage(AverageType4, SlowRSI, MALength4);
def pMA4 = MA4;
# MomentumSMA
input price = close;
input momentumLength = 26;
input smaLength = 26;
input AverageType11 = AverageType.SIMPLE;
input smaLength2 = 100;
input AverageType22 = AverageType.SIMPLE;
Assert(momentumLength > 0, "'momentum length' must be positive: " + momentumLength);
def Momentum = price - price[momentumLength];
# MomentumSMA Moving averages
def MA11 = MovingAverage(AverageType11, Momentum, smaLength);
def pMA11 = MA11;
def MA22 = MovingAverage(AverageType22, Momentum, smaLength2);
def pMA22 = MA22;
# Z SCORE
input length = 20;
input ZavgLength = 26;
def oneSD = StDev(price, length);
def avgClose = SimpleMovingAvg(price, length);
def Zscorevalue = ((price - avgClose) / oneSD);
def Zscore = ((price - avgClose) / oneSD);
def avgZscore = Average(Zscorevalue, ZavgLength);
# DEMANDIndex
input lengthDI = 20;
def wClose = (high + low + 2 * close) * 0.25;
def wCRatio = (wClose - wClose[1]) / Min(wClose, wClose[1]);
def closeRatio = 3 * wClose / Average(Highest(high, 2) - Lowest(low, 2), lengthDI) * AbsValue(wCRatio);
def volumeRatio = volume / Average(volume, lengthDI);
def volumePerClose = volumeRatio / Exp(Min(88, closeRatio));
def buyP;
def sellP;
if (wCRatio > 0) {
buyP = volumeRatio;
sellP = volumePerClose;
} else {
buyP = volumePerClose;
sellP = volumeRatio;
}
def buyPres = if IsNaN(buyPres[1]) then 0 else ((buyPres[1] * (lengthDI - 1)) + buyP) / lengthDI;
def sellPres = if IsNaN(sellPres[1]) then 0 else ((sellPres[1] * (lengthDI - 1)) + sellP) / lengthDI;
def tempDI;
if ((((sellPres[1] * (lengthDI - 1)) + sellP) / length - ((buyPres[1] * (lengthDI - 1)) + buyP) / lengthDI) > 0) {
tempDI = - if (sellPres != 0) then buyPres / sellPres else 1;
} else {
tempDI = if (buyPres != 0) then sellPres / buyPres else 1;
}
def DMIndx = if IsNaN(close) then Double.NaN else if tempDI < 0 then -1 - tempDI else 1 - tempDI;
# DEMANDIndex Moving Averages
input DMIndxMALength = 8;
input DMIndxAverageType = AverageType.SIMPLE;
input DMIndxMALength2 = 26;
input DMIndxAverageType2 = AverageType.WEIGHTED;
input DMIndxMALength3 = 40;
input DMIndxAverageType3 = AverageType.SIMPLE;
input DMIndxMALength4 = 50;
input DMIndxAverageType4 = AverageType.SIMPLE;
def DMIndxMA = MovingAverage(DMIndxAverageType, DMIndx, DMIndxMALength);
def pDMIndxMA = DMIndxMA;
def DMIndxMA2 = MovingAverage(DMIndxAverageType2, DMIndx, DMIndxMALength2);
def pDMIndxMA2 = DMIndxMA2;
def DMIndxMA3 = MovingAverage(DMIndxAverageType3, DMIndx, DMIndxMALength3);
def pDMIndxMA3 = DMIndxMA3;
def DMIndxMA4 = MovingAverage(DMIndxAverageType4, DMIndx, DMIndxMALength4);
def pDMIndxMA4 = DMIndxMA4;
# Strategy
def LE1 = SlowRSI crosses above pMA2 and Zscore > -1 and SlowRSI < MiddleLine and SLOWRSI > over_sold and dMIndx > pDMIndxMA2 and (Momentum > pMA11 or Momentum > 0);
def LE2 = SlowRSI crosses above pMA2 and Zscore > -1 and SLOWRSI > over_sold and (dMIndx > pDMIndxMA2);
def SE1 = SlowRSI crosses below pMA2 and Zscore < -1 and SLOWRSI > over_sold and (dMIndx < pDMIndxMA2);
def SE2 = SlowRSI crosses below pMA2 and Zscore < 1 and SlowRSI > MiddleLine and SLOWRSI < over_bought and dMIndx < pDMIndxMA2 and (Momentum < pMA11 or Momentum < 0);
AddOrder(OrderType.BUY_auto, LE1, tickcolor = GetColor(0), arrowcolor = GetColor(0), name = "LE1");
AddOrder(OrderType.BUY_auto, LE2, tickcolor = GetColor(0), arrowcolor = GetColor(0), name = "LE2");
AddOrder(OrderType.SELL_auto, SE1, arrowcolor = GetColor(1), name = "SE1");
AddOrder(OrderType.SELL_auto, SE2, tickcolor = GetColor(1), arrowcolor = GetColor(1), name = "SE2");
# Stoploss ATR
input stop_mult = 2.5;
plot stopb = EntryPrice() - ATR() * stop_mult;
stopb.SetDefaultColor(Color.RED);
plot stops = EntryPrice() + ATR() * stop_mult;
stops.SetDefaultColor(Color.RED);
AddOrder(OrderType.SELL_to_close, CLOSE <= stopb, tickcolor = Color.GRAY, arrowcolor = Color.GRAY, name = "Stop", price = stopb);
AddOrder(OrderType.BUY_to_close, CLOSE >= stops, tickcolor = Color.GRAY, arrowcolor = Color.GRAY, name = "Stop", price = stops);
# Plot Arrows
plot LE1Signal = !LE1[1] and LE1;
LE1Signal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
LE1Signal.SetDefaultColor(Color.GREEN);
plot LE2Signal = !LE2[1] and LE2;
LE2Signal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
LE2Signal.SetDefaultColor(Color.GREEN);
plot SE1Signal = !SE1[1] and SE1;
SE1Signal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SE1Signal.SetDefaultColor(Color.RED);
plot SE2Signal = !SE2[1] and SE2;
SE2Signal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SE2Signal.SetDefaultColor(Color.RED);
I get a red FloatingPL graph when I run the code from post #25.
You can modify this at "default trade size for Entry orders" at "Edit Studies" > "Global Strategy Settings".
Haven't looked at it for a while.
Hi Barbaros, would you be able to post your latest code on it? thank you
I think it's been a while since I looked at this. I don't think there are any updates.
Will you be kind enough to give explanation of ow it works in simple terms? thanks for understanding.
Hi, how is ur experience with it so far? did u manage to translate it to ninjatrader? im thinking about doing that too.
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