Multi-Charts EMA strategy optimization

May 11th, 2013, 03:46 PM

In multi-charts i have written a system using power language that I am looking to optimize I am having issues getting the trade to actually play out the way I want

The entry for the strategy is determined by the cross of a fast ema and a slow ema on the 1 day chart of the USD/JPY and is also limited by whether price is above the 20 day moving average when optimized I should be able to test it on the 1 hour chart with the same code and instead just use a 480 period MA

My problem is I am able to write the code for an entry order but I cannot figure out why it wont recognize the ema's crossing under represented by a condition to exit a position I am using multi charts and the regular PowerLanguage if anyone can help I can send you the code to see whats wrong

ABCTG · May 11th, 2013, 03:56 PM

What do you have for the exit part so far? Post it here and we can take a look at it.

May 11th, 2013, 04:03 PM

ABCTG

What do you have for the exit part so far? Post it here and we can take a look at it.

inputs:
Price (Close),
emafastlength ( 5 ),
emaslowlength ( 13 ),
stopdist ( 200 ),
NumContractsbuy ( 5 ),
NumContractssell ( 4 ),
smalength ( 480 );

vars:
smav ( 0 ),
emafv ( 0 ),
emasv ( 0 );

smav = Average ( Price, smalength );
emafv = XAverage ( Price, emafastlength );
emasv = XAverage ( Price, emaslowlength );

Condition1 = emafv crosses over emasv;
Condition2 = emafv crosses under emasv;

// Open new positions

if Condition1 and CurrentBar > smav then

Buy ("Enter xma long") (NumContractsbuy) Contracts Next Bar At open;
SetStopLoss ( Stopdist );

if Condition2 and CurrentBar < smav then

Sell ("Enter xma short") (NumContractssell) Contracts Next Bar At open;
SetStopLoss ( Stopdist );

// Open order management

if Marketposition = 1 then begin

if Condition2 then

Sell from Entry ("Enter xma long") this bar At close;

if Marketposition = -1 then begin

if condition1 then

Buy from Entry ("Enter xma short") this bar at close

May 11th, 2013, 04:04 PM

ABCTG

What do you have for the exit part so far? Post it here and we can take a look at it.

I also forgot to mention that I have an optimizable number of contracts relative to the Buy and Sell orders

May 11th, 2013, 04:05 PM

ABCTG

What do you have for the exit part so far? Post it here and we can take a look at it.

My error as of right now is coming in when I am in a short position trying to exit that position

ABCTG · May 11th, 2013, 04:13 PM

Okay, at a quick glance I am seeing the problem that you are using the wrong reserved words for the short entry and for the exit.

The reserved words for entering and exiting positions are:

Buy - for entering a long positon
Sell - to exit a long position

SellShort - to enter a short position
BuyToCover - to exit a short position

Having said this your long entry and exit seems correct, just exchange the reserved words for the short entry and exit.

That might do it already.

Regards,
ABCTG

May 11th, 2013, 04:48 PM

ABCTG

Okay, at a quick glance I am seeing the problem that you are using the wrong reserved words for the short entry and for the exit.

The reserved words for entering and exiting positions are:

Long - for entering a long positon
Sell - to exit a long position

SellShort - to enter a short position
BuyToCover - to exit a short position

Having said this your long entry and exit seems correct, just exchange the reserved words for the short entry and exit.

That might do it already.

Regards,
ABCTG

ABCTG

I am able to use "Buy" for entering positions but some of the other reserve words were incorrect and I think I had a misplaced End; but I was finally able to compile thanks for the help

Best,
Ryan

ABCTG · May 11th, 2013, 05:01 PM

Ryan26986

ABCTG

I am able to use "Buy" for entering positions but some of the other reserve words were incorrect and I think I had a misplaced End; but I was finally able to compile thanks for the help

Best,
Ryan

Ryan, my bad it should read "Buy" for entering a long position. That's the correct reserved word for entering a long position.

One thing I also noticed, that you only need to use "SetStopLoss ( Stopdist );" once, in case you are using it with the same value. If you want to use different stops for a long and short, you'd have to place it within a

Code

if MarketPosition = 1 then 
begin
....
end;

if MarketPosition = -1 then 
begin
....
end;

bracket.

You can use the default stop code, to choose if the stop amount should be used for the whole position or per contract

Code

inputs: PositionBasis( false ); //if true, the stop amount will be used for the total position, if false it's per 
                                              //contract/share

if PositionBasis then 
	SetStopPosition
else
	SetStopShare ;

Have a nice weekend,
ABCTG

ABCTG · May 11th, 2013, 05:05 PM

Your code might look like this:

Code

inputs:
Price (Close),
emafastlength ( 5 ),
emaslowlength ( 13 ),
stopdist ( 200 ),
NumContractsbuy ( 5 ),
NumContractssell ( 4 ),
smalength ( 480 ),
PositionBasis( false ); {if true, the stop amount will be used for the total position, if false it's per 
                                              contract/share}

vars:
smav ( 0 ),
emafv ( 0 ),
emasv ( 0 );

smav = Average ( Price, smalength );
emafv = XAverage ( Price, emafastlength );
emasv = XAverage ( Price, emaslowlength );

Condition1 = emafv crosses over emasv;
Condition2 = emafv crosses under emasv;

// Open new positions

if Condition1 and CurrentBar > smav then

Buy ("Enter xma long") (NumContractsbuy) Contracts Next Bar At open;



if Condition2 and CurrentBar < smav then

SellShort ("Enter xma short") (NumContractssell) Contracts Next Bar At open;

// Open order management

if Marketposition = 1 and Condition2 then
Sell from Entry ("Enter xma long") this bar At close;

if Marketposition = -1 and condition1 then
BuyToCover from Entry ("Enter xma short") this bar at close;


//stop loss
if PositionBasis then 
	SetStopPosition
else
	SetStopShare ;

SetStopLoss ( Stopdist );

Multi-Charts EMA strategy optimization

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Multi-Charts EMA strategy optimization