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New Strategy Coding Help
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New Strategy Coding Help

  #1 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
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New Strategy Coding Help

I'm trying to use the Strategy Wizard to make this work, but it seems to be too limited to do.

What I am trying to accomplish is placing an order to buy (or sell in a reverse scenario) when my 2 tick Renko chart crosses the DonchianChannel Mean line by 2 points.

Once it crosses, I want my order to follow the mean line by one tick above (or below if going short) the Mean (Blue line).

I attached a few graphics to show how it would be placed and follow the Mean until execution.

Thanks in advance for your help!

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  #2 (permalink)
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  #3 (permalink)
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las vegas
 
Futures Experience: Intermediate
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Option 1, have someone code a Donchian with an upper and lower channel with selectable offset then use the crossing of those lines.

Option 2, after you create the strategy, edit the strategy and find the lines of code with DonchianChannel(period)[0] and insert "+2*TickSize" after for the long and "-2*TickSize" after for the short. Note once you do this you will no longer be able to use the wizard to make changes.

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  #4 (permalink)
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Thanks Vegas Foster,

Your post gave me an idea. I just used an SMA set to 1 as the cross over for the Donchian Mean. Still trying to get the moving orders to work right though... almost there

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  #5 (permalink)
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Or Option 3, use an SMA 1 as the cross over the Donchian Mean. That may work too.




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  #6 (permalink)
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I noticed you are using Renko bricks. You didn't ask for this but thought I'd mention it in case this concerns you. Back testing the Renko using Strategy Analyzer will give you results much better than you will get in a live market. This is because entries and exits are placed at the open of the next bar which can give much better results. If this is a concern for you, try using the BetterRenko brick that is in the Elite Downloads, https://futures.io/download/vip_elite_circle/594-download.html?view

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  #7 (permalink)
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MWinfrey, I tried the BetterRenko, but I get better results with the standard. I'm not too concerned with back testing, I've been trading this system on the ES for a few weeks with great results. Now, if I could just automate it so I don't have to get a tan from my sea of monitors!

I know it's retarded to test a system on a live account, but what the hell! It's been working... luckily! I'm currently live testing it with two contracts with separate targets. Here are my results so far:

P/L Ticks
11/5/2012 $587.50 47
11/6/2012 $725.00 58
11/7/2012 $312.50 25
11/8/2012 $287.50 23
11/9/2012 $525.00 42

11/12/2012 Holiday
11/13/2012 ($225.00) -18
11/14/2012 ($287.50) -23
11/15/2012 $562.50 45
11/16/2012 $525.00 42

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  #8 (permalink)
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FatDemon View Post
MWinfrey, I tried the BetterRenko, but I get better results with the standard. I'm not too concerned with back testing, I've been trading this system on the ES for a few weeks with great results. Now, if I could just automate it so I don't have to get a tan from my sea of monitors!

I know it's retarded to test a system on a live account, but what the hell! It's been working... luckily! I'm currently live testing it with two contracts with separate targets. Here are my results so far:

P/L Ticks
11/5/2012 $587.50 47
11/6/2012 $725.00 58
11/7/2012 $312.50 25
11/8/2012 $287.50 23
11/9/2012 $525.00 42

11/12/2012 Holiday
11/13/2012 ($225.00) -18
11/14/2012 ($287.50) -23
11/15/2012 $562.50 45
11/16/2012 $525.00 42

Outstanding...good luck and remember what I said if you do decide to back test it and actually there is a way to backtest the renko brick if you want. PM if you develop an interest.

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  #9 (permalink)
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Posts: 110 since Nov 2012
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MWinfrey View Post
Outstanding...good luck and remember what I said if you do decide to back test it and actually there is a way to backtest the renko brick if you want. PM if you develop an interest.

I wouldn't mind back testing.... if I could just figure out how to script it! If you're willing to help, I can send you all my parameters. Or, I can just post them on this thread. Perhaps that may help others looking for a simple scalping system..?..

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  #10 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: NinjaTrader
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Posts: 1,879 since Jul 2009
Thanks: 1,449 given, 3,306 received



FatDemon View Post
I wouldn't mind back testing.... if I could just figure out how to script it! If you're willing to help, I can send you all my parameters. Or, I can just post them on this thread. Perhaps that may help others looking for a simple scalping system..?..

Why don't you post your rules here being as you're willing to share them and let's see what falls out. We can all take a look at them and offer what we can.

Bear in mind that strategies won't necessarily free you from watching your screens. Strategies still need supervision and in fact, I suggest that most strategies fall into this category. There are too many things that can happen that can compromise your strategy. The other point about back testing is that unfortunately the method I use to back test based on the close of the bar instead of the open uses the JAMRenkoFills.cs script that was in the Elite downloads at one time but is no longer there. I think @Big Mike told me it was removed at the request of the author. If that is true, then I will not be able provide it to anyone without permission from the author and I don't know who that is. However, I have no problem running it myself because I downloaded when it was available.

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