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Is this possible to do?
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Created: by Gibban Attachments:0

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Is this possible to do?

  #1 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: NinjaTrader, MultiCharts
Favorite Futures: Forex
 
Posts: 19 since Feb 2014
Thanks: 25 given, 4 received

Is this possible to do?

Hello all!

I am trying to put together a signal for MC, and can not find anything that can help me at all.

The problem is following:

Buy limit next bar 0,10 * ATR(10)

Code that is not working!
//SetupDay +1 day
If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then buy next bar at ( ATRBuyLimit );

ATRBuyLimit is a input with (0,10)

Can someone guide me to the right direction?

Best regards
Gibban

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 853 received
Forum Reputation: Legendary

Hi Gibban,

can you put in words what you are trying to do?
Your entry price is likely a lot lower than the market price, therefore the limit price won't be executed.
That's why I am asking for your logic, to understand what you are trying to accomplish.

Regards,
ABCTG


Gibban View Post
Hello all!

I am trying to put together a signal for MC, and can not find anything that can help me at all.

The problem is following:

Buy limit next bar 0,10 * ATR(10)

Code that is not working!
//SetupDay +1 day
If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then buy next bar at ( ATRBuyLimit );

ATRBuyLimit is a input with (0,10)

Can someone guide me to the right direction?

Best regards
Gibban


Reply With Quote
 
  #3 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: NinjaTrader, MultiCharts
Favorite Futures: Forex
 
Posts: 19 since Feb 2014
Thanks: 25 given, 4 received



ABCTG View Post
Hi Gibban,

can you put in words what you are trying to do?
Your entry price is likely a lot lower than the market price, therefore the limit price won't be executed.
That's why I am asking for your logic, to understand what you are trying to accomplish.

Regards,
ABCTG

Thanks for the answer ABCTG!
Yes you are right, the price is little bit lower!
I will try to explain:
Stock closes at 100 to day with ATR(10) of 2,5.
I want to buy the stock next day at 99,75.

Hope this will help!

//gibban

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 853 received
Forum Reputation: Legendary

Gibban,

your code would should look something like this, assuming ATRBuyLimit is a variable.
 
Code
ATRBuyLimit = 0,10 * AvgTrueRange(10) ;

If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then 
            Buy ("Long") next bar at Close - ATRBuyLimit limit;
Regards,
ABCTG

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  #5 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: NinjaTrader, MultiCharts
Favorite Futures: Forex
 
Posts: 19 since Feb 2014
Thanks: 25 given, 4 received


ABCTG View Post
Gibban,

your code would should look something like this, assuming ATRBuyLimit is a variable.
 
Code
ATRBuyLimit = 0,10 * AvgTrueRange(10) ;

If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then 
            Buy ("Long") next bar at Close - ATRBuyLimit limit;
Regards,
ABCTG

Thanks ABCTG!
I am getting something wrong, try it in plain English.
Buy Limit = Close - 0,1 * ATR(10)
ProfitTarget = 1 * ATR(10)
StopLoss = 3 *ATR(10)
Exit if TradeDay + 5 sell at market

Seems not so complicated but I am totally stuck....
Here is my code so far:

/gibban

 
Code
Input: {-------------------------------------------------------------------------------------}

RSIThreshold(10),
RSILookback(2),
ATRThreshold(10),
ATRBuyLimit(0.1),
ATRProfitTarget(1),
ATRStoploss(3),
DayExitPeriod(5);

Variables: {---------------------------------------------------------------------------------}

RSI_Value(0),
MA200(0),
ATR(0),
MP(0);

{=== START OF MAIN PROGRAM ================================================================} 


RSI_Value = RSI(Close,RSILookback);
MA200 =  Average(Close, 200);
ATR =  AverageTrueRange(AtrThreshold);
MP = MarketPosition;

//SetupDay +1 day
If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then 
	Buy ("Long") next bar at Close - ATRBuyLimit limit;
//Exit days
If ( Barssinceentry = DayExitPeriod ) Then sell ("DayExitPeriod") this bar at close;

//Stops
//If ATR <= ATRStoploss Then sell ("ATRStoploss") at market;
//If MP = 1 Then Sell ("AAA") next bar at ( EntryPrice - ( ATRStoploss * ATR) ) limit;

//Target
//If MP = 1 then Sell ("LTarget") Next bar at (EntryPrice + (ATRProfitTarget * ATR)) Limit;

//If ( ATRThreshold <> 0 ) Then SetStopLoss( ATRProfitTarget );



{== END OF MAIN PROGRAM ===================================================================}

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  #6 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 853 received
Forum Reputation: Legendary

Gibban,

with the current code your entry is equal to Close - 0.10, which doesn't seem to be what you have in mind.
As you have the ATR computed and stored within a variable already you can do modify your code to this:
 
Code
//SetupDay +1 day
If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then 
	Buy ("Long") next bar at Close - ATRBuyLimit * ATR limit;
Regards,
ABCTG


Gibban View Post
Thanks ABCTG!
I am getting something wrong, try it in plain English.
Buy Limit = Close - 0,1 * ATR(10)
ProfitTarget = 1 * ATR(10)
StopLoss = 3 *ATR(10)
Exit if TradeDay + 5 sell at market

Seems not so complicated but I am totally stuck....
Here is my code so far:

/gibban

 
Code
Input: {-------------------------------------------------------------------------------------}

RSIThreshold(10),
RSILookback(2),
ATRThreshold(10),
ATRBuyLimit(0.1),
ATRProfitTarget(1),
ATRStoploss(3),
DayExitPeriod(5);

Variables: {---------------------------------------------------------------------------------}

RSI_Value(0),
MA200(0),
ATR(0),
MP(0);

{=== START OF MAIN PROGRAM ================================================================} 


RSI_Value = RSI(Close,RSILookback);
MA200 =  Average(Close, 200);
ATR =  AverageTrueRange(AtrThreshold);
MP = MarketPosition;

//SetupDay +1 day
If ( RSI_Value <= RSIThreshold ) And ( Close > MA200 ) Then 
	Buy ("Long") next bar at Close - ATRBuyLimit limit;
//Exit days
If ( Barssinceentry = DayExitPeriod ) Then sell ("DayExitPeriod") this bar at close;

//Stops
//If ATR <= ATRStoploss Then sell ("ATRStoploss") at market;
//If MP = 1 Then Sell ("AAA") next bar at ( EntryPrice - ( ATRStoploss * ATR) ) limit;

//Target
//If MP = 1 then Sell ("LTarget") Next bar at (EntryPrice + (ATRProfitTarget * ATR)) Limit;

//If ( ATRThreshold <> 0 ) Then SetStopLoss( ATRProfitTarget );



{== END OF MAIN PROGRAM ===================================================================}


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  #7 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: NinjaTrader, MultiCharts
Favorite Futures: Forex
 
Posts: 19 since Feb 2014
Thanks: 25 given, 4 received

Thank you ABCTG!

Looks promising!

Just have to fix the exits, I will dig in.

Regards
Gibban

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  #8 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: NinjaTrader, MultiCharts
Favorite Futures: Forex
 
Posts: 19 since Feb 2014
Thanks: 25 given, 4 received

Hi ABCTG!

Can you give me a little hand with the StopLoss function?

Everything is calculated from the closing price on the setup day, and I can not find anything in Easy Language about that at all!

Closing price day X is 100 and ATR[10] is 2, then the StopLoss is suppose to be 93,8.

Best regards
Gibban

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  #9 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 853 received
Forum Reputation: Legendary

Hi Gibban,

are you using the build in reserved word SetStopLoss or your own code?
How do you arrive at 93.8 when the closing price is 100 and the ATR[100] is 2? What is the formula you are using to compute the stop price?

Regards,
ABCTG


Gibban View Post
Hi ABCTG!

Can you give me a little hand with the StopLoss function?

Everything is calculated from the closing price on the setup day, and I can not find anything in Easy Language about that at all!

Closing price day X is 100 and ATR[10] is 2, then the StopLoss is suppose to be 93,8.

Best regards
Gibban


Reply With Quote
 
  #10 (permalink)
Elite Member
Stockholm
 
Futures Experience: Beginner
Platform: NinjaTrader, MultiCharts
Favorite Futures: Forex
 
Posts: 19 since Feb 2014
Thanks: 25 given, 4 received


Sorry for the late response ABCTG!

Now that you say what is the formula, I realize that I was not one the right way!

The StopLoss is NOT calculated on the Close prize of the setup bar it is calculated on the BuyLimitPrice.

Conditions:
ClosePrice of stock X is = 100
ATR(10) is = 2

Formula for the BuyLimitPrice:
ClosePrice - 10% of the ATR (100-0,1*2) = BuylimitPrice (99,8)

Formula for the StopLossPrice:
BuyLimitPrice - 3 *ATR (99,8-3*2) = StopLossPrice (93,8)

Hope this helps!
Regards
Gibban

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