Adding time as a factor

[uboinc]

Im a simple chartist, volume, price, pivots and MAs. So anything I look at obviously I want to be based on these simple fundimental trading basics.

I want to take trades out of a MA cross strategy im using from 11am to 2pm, when the range of the last 20 minutes isnt 7 points or more (I trade the nq eminis mostly). Once this is written I can play with both #s easily and maximize. I know if you can eliminate the mid day churn from your trading your %s go up big time.

I need this to say "NO NEW ENTRIES" but its ok to exit a trade you are already in.

Appreciate any help I can get as I learn code. The trading part I have down for the most

tx

[ACM]

Re: Reply to post 'Adding time as a factor'

uboinc
One way to do this would be first to create a time flag variable such as for
example
var vTimeFlag = 0;
then set the times and the flag for no trades
if (getHour()*100 > 1100 && getHour()*100<1400)
vTimeFlag=1
then in the conditions for the trade you would add the vTimeFlag which has
to be 0 for the trade to be taken
if(Strategy.isInTrade==false && vTimeFlag==0)
Strategy.do...
Alex

[uboinc]

adding time as a factor

Alex,

Here is the script with the time factors you posted. It went from 446 trades to none in the same time span so I know Im doing something wrong. I appreciate your help.

Heres the script (couldnt figure out how o get it in that script window ive seen you use):


var study = new MAStudy(13, 0, "Close", MAStudy.EXPONENTIAL);
var vTimeFlag = 0;


function preMain() {
setPriceStudy(true);
}

function main() {
var v = study.getValue(MAStudy.MA);

if (getHour()*100 > 1100 && getHour()*100<1400)
vTimeFlag=1


if(v == null)
return;


if(close() >= v) {
if(!Strategy.isLong()) {
if(Strategy.isInTrade==false && vTimeFlag==0)
Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR);
}

} else {
if(!Strategy.isShort()) {

if(Strategy.isInTrade==false && vTimeFlag==0)
Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR);
}
}

if(Strategy.isLong()) {
setBarBgColor(Color.green);
} else if(Strategy.isShort()) {
// setBarBgColor(Color.red);
}


return v;
}

[ACM]

uboinc
The enclosed script should do what you want (see image)
Alex

PS. To post the script in a window and with the appropriate formatting use the tags [ P H P ] and [ / P H P ] (without the spaces) at the beginning and end of the code

var vSMA13 = new MAStudy(13, 0, "Close", MAStudy.EXPONENTIAL);

function preMain() {
    setPriceStudy(true);
    setDefaultBarBgColor(Color.white);
}

function main() {

if(getHour() >= 11 && getHour()<14)
var vTimeFlag=1;

    if (close() > vSMA13.getValue(MAStudy.MA)  
    && Strategy.isLong()==false
    &&vTimeFlag!=1)
    Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR);

    if (close() < vSMA13.getValue(MAStudy.MA)   
    &&Strategy.isShort()==false
    &&vTimeFlag!=1)
    Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR);

    if (Strategy.isLong()==true
    &&close()<vSMA13.getValue(MAStudy.MA)
    &&vTimeFlag==1)
    Strategy.doSell("Close Long",Strategy.CLOSE,Strategy.THISBAR);

    if(Strategy.isShort()==true
    &&close()>vSMA13.getValue(MAStudy.MA)
    &&vTimeFlag==1)
    Strategy.doCover("Cover Short",Strategy.CLOSE,Strategy.THISBAR);

    if(Strategy.isLong()==true) 
        setBarBgColor(Color.green);
    if(Strategy.isShort()==true) 
         setBarBgColor(Color.red);

return vSMA13.getValue(MAStudy.MA);
} 

[uboinc]

Alex,

Thanks for the help, I really do appreciate it a ton, being code illiterate( but Im working on that). Next ill start optimizing the times.

One thing, in my initial request, was to eliminate trades from 11am-2pm where the range for the last 20 minutes was less than 7 points only, and in that time period with low range only exits would be allowed. Your script only factors in the time variable. If it isnt that much work could you include the range variable also?

Thanks a ton,
UBOINC

[gspiker]

Hi,

Try this:

var vSMA13 = new MAStudy(13, 0, "Close", MAStudy.EXPONENTIAL);

var nLastMin = null;
var nLastHour = null;
var nNoGo = false;
var bOKFlag = false;

function preMain() {
    setPriceStudy(true);
    setDefaultBarBgColor(Color.white);
}

function main() {

    var i;

    if(getHour() >= 11 && getHour()<14){
        var vTimeFlag=1;
    } else {
        bOKFlag = false;
    }


    var nIndex = getCurrentBarIndex();
    var nState = getBarState();
    if (nState == BARSTATE_NEWBAR || nState == BARSTATE_ALLBARS){
        var nInterval = getInterval();
        if ( isMonthly(nInterval) || isWeekly(nInterval) || isDaily(nInterval) || isTick(nInterval) ){ // Minutes only
            drawTextRelative(-60, 0, "Intervals in Minutes Only", Color.maroon, Color.lightgrey,  Text.FRAME | Text.ONTOP | Text.RELATIVETORIGHT | Text.RELATIVETOTOP, null, 20, gID());    
            nNoGo = true;
            return;
        }
    }
    if (vTimeFlag == 1){
        var nRange = Math.round( 20/(parseInt(nInterval)) );
        debugPrintln("nIndex = " + nIndex + " nRange = " + nRange);
        if (nRange > 1){
            var nHi = high(0,-nRange);
            var nLo = low(0,-nRange);
            var nHH = nHi[0];
            var nLL = nLo[0];
            for (i=1;i<nRange;i++){
                if (nHi[i] > nHH)
                    nHH = nHi[i];
                if (nLo[i] < nLL)
                    nLL = nLo[i];
            } 
        } else {
            nHH = high();
            nLL = low();
        }
            
        if ((nHH-nLL) > 7){
            bOKFlag= true;
            debugPrintln("nIndex = " + nIndex + " HH-LL > 7");
        }
    }

    if (nNoGo == true)
        return;
        
    if (close() > vSMA13.getValue(MAStudy.MA)  
    && Strategy.isLong()==false
    &&(vTimeFlag!=1 || bOKFlag == true) )
    Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR);

    if (close() < vSMA13.getValue(MAStudy.MA)   
    &&Strategy.isShort()==false
    &&(vTimeFlag!=1 || bOKFlag == true) )
    Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR);

    if (Strategy.isLong()==true
    &&close()<vSMA13.getValue(MAStudy.MA)
    &&vTimeFlag==1)
    Strategy.doSell("Close Long",Strategy.CLOSE,Strategy.THISBAR);

    if(Strategy.isShort()==true
    &&close()>vSMA13.getValue(MAStudy.MA)
    &&vTimeFlag==1)
    Strategy.doCover("Cover Short",Strategy.CLOSE,Strategy.THISBAR);

    if(Strategy.isLong()==true) 
        setBarBgColor(Color.green);
    if(Strategy.isShort()==true) 
         setBarBgColor(Color.red);

return vSMA13.getValue(MAStudy.MA);
} 

[uboinc]

Tx GSpiker, took me a while just to chop thru it and see where you were headed, a little over my head programming
wise....ok a lot appreciate the work.

im still not getting anywhere near the results I want. Since my style of trading relies on volume, angle of dmi+/- in relation to
eachother, and most importantly trendlines and pivots, I feel it would be impossible to duplicate. Especially the trendline
part. i will sometimes draw 2 or 3 tls from the same starting point before deciding which
has the most relavance in a specific situation, using wicks, bodies etc. imo its not up to ur beliefs, but whomever is taking
the most aggressive roll in the market you are trading at that specific moment. If GSCO
is reallocating a billion into the es, and he uses bodies, you better see what he sees. so I decided to try and get this
ma system which ive used mainly as a tool to keep in the market and ride
trends, with great success over the years as a fund manager, automated and backtested.


I know it has merit, and taking the trades out of the middle of the day helped raise the %s and $/winner and
lower the $/loser, but no where near enough. I may have to rethink the entry strategy, or the entire thing.

13ema, 10 min results, trading from 8.15am-4.15pm
always in the market 455 trades %wins Ave wins/loses$ $1598/($986) profit factor .30
out the market 11am-2pm 336 trades 17.56%wins wins/loses$ $1835/($1084) profit factor .36
out 11-2+gspikers range 370 trades 16.21%wins wins/loses$ $1813/($1020) profit factor .34


Any thoughts or insite would be appreciated.

UBOINC

[uboinc]

Gspiker,
I just noticed positions are held overnight. can you adjust the code so all positions are closed out at 4.15pm est tx a ton

[gspiker]

What you want to do is possible to do in efs, but you are right some of it isn't trivial.

For the trend lines, you might try using Chris Kryza's Auto Trendline and Support Resistance tool. I think it is like 50.00 and for me it was well worth spending the $ rather than sitting down and coding it. It has a lot of options on how it will determine T/Ls and S/R, and it does seem to use any of H/L/O/C to calculate. Of course it may be impossible for it to duplicate exactly what you want, but I think it is a great tool.

There are people out there (sorry forget who) who did some work on dmi and the angle of the lines (If I remember correctly). It may pay to do a search of this BB and see if you can find a formula that provides a good starting point.

As for the MA formula - I can add exit's on close. I will look at it tonight...

G

[uboinc]

thanks for the on close exits.

as far as some efs for tls, that is something that cant be scripted imo, because i dont always draw them the same way. no code can predict which one i will use, if one, and some of my techniques r very unorthodox. example is the current 10 daily chart on the Es eminis. starting at the 3/12 wick lows, i have 2 tls that have been in play. one hits the 5/1 wick lows to 5/28 wick highs. the other is the major tl, from the same 3/12 wick lows, to the 5/21-5/22 wick lows. so its not as much which way i draw them, but more which tl is in control of the trend and the chart, and that can change a few times. so im not as interested in coding my tl theories, which could take me days 2 write about in english. as for the dmi and its angles, i have done a few searches and so far have yet to come up with anything but ill keep looking tx. and i appreciate ur help on the closing trades

ubo
ps i read ur article last night on stoch from 8/2000. interesting, even though i dont use indicators (dmi is just a ma thingy used for stuff im not trading like indecies). when u said u only trade in the direction on the 5/13 ma cross, were u talking about id or overnigh trades?

[gspiker]

Try this, I think it will do what you want with exit on close. Note you will have to change the variable nCloseHour to reflect your time zone.

G

var vSMA13 = new MAStudy(13, 0, "Close", MAStudy.EXPONENTIAL);

var nLastMin = null;
var nLastHour = null;
var nNoGo = false;
var bOKFlag = false;
var nCloseHour = 13; // Change to reflect your TZ
var nCloseMinute = 15;

function preMain() {
    setPriceStudy(true);
    setDefaultBarBgColor(Color.white);
}

function main() {

    var i;

    if(getHour() >= 11 && getHour()<14){
        var vTimeFlag=1;
    } else {
        bOKFlag = false;
    }


    var nIndex = getCurrentBarIndex();
    var nState = getBarState();
    if (nState == BARSTATE_NEWBAR || nState == BARSTATE_ALLBARS){
        var nInterval = getInterval();
        if ( isMonthly(nInterval) || isWeekly(nInterval) || isDaily(nInterval) || isTick(nInterval) ){ // Minutes only
            drawTextRelative(-60, 0, "Intervals in Minutes Only", Color.maroon, Color.lightgrey,  Text.FRAME | Text.ONTOP | Text.RELATIVETORIGHT | Text.RELATIVETOTOP, null, 20, "L-10");    
            nNoGo = true;
            return;
        }
    }
    if (vTimeFlag == 1){
        var nRange = Math.round( 20/(parseInt(nInterval)) );
        // debugPrintln("nIndex = " + nIndex + " nRange = " + nRange);
        if (nRange > 1){
            var nHi = high(0,-nRange);
            var nLo = low(0,-nRange);
            var nHH = nHi[0];
            var nLL = nLo[0];
            for (i=1;i<nRange;i++){
                if (nHi[i] > nHH)
                    nHH = nHi[i];
                if (nLo[i] < nLL)
                    nLL = nLo[i];
            } 
        } else {
            nHH = high();
            nLL = low();
        }
            
        if ((nHH-nLL) > 7){
            bOKFlag= true;
            // debugPrintln("nIndex = " + nIndex + " HH-LL > 7");
        }
    }

    if (nNoGo == true)
        return;
        
    if (close() > vSMA13.getValue(MAStudy.MA)  
    && Strategy.isLong()==false
    &&(vTimeFlag!=1 || bOKFlag == true) )
        Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR);

    if (close() < vSMA13.getValue(MAStudy.MA)   
    &&Strategy.isShort()==false
    &&(vTimeFlag!=1 || bOKFlag == true) )
        Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR);

    if ( (Strategy.isLong()==true) &&
    ( (close()<vSMA13.getValue(MAStudy.MA) &&
    vTimeFlag==1) || (getHour() > nCloseHour && getMinute() > nCloseMinute) ) )
        Strategy.doSell("Close Long",Strategy.CLOSE,Strategy.THISBAR);

    if ( (Strategy.isShort()==true) &&
    ( (close()>vSMA13.getValue(MAStudy.MA) &&
    vTimeFlag==1) || (getHour() > nCloseHour && getMinute() > nCloseMinute) ) )
        Strategy.doCover("Cover Short",Strategy.CLOSE,Strategy.THISBAR);

    if(Strategy.isLong()==true) 
        setBarBgColor(Color.green);
    if(Strategy.isShort()==true) 
         setBarBgColor(Color.red);

return vSMA13.getValue(MAStudy.MA);
} 

[uboinc]

G,

Still have trades held over. changed the closing time to 16.15, only in 1 place right?

changed the sma to ema but still have hold overs - any idea?

tia

[gspiker]

Yes, in only one place.
Not sure why...I'll take a look a bit later.

G

[uboinc]

G,

You said, "This means if our 5-DMA is
above our 13-DMA we will only accept long signals, and if the 5-DMA
is below the 13-DMA we will accept only short plays"

was this for swing trades or id trades also?

ubo

[gspiker]

Hi,

There was indeed a problem with my logic on the close at EOD, but I also added preventing new longs and shorts after EOD.

Try this:

var vSMA13 = new MAStudy(13, 0, "Close", MAStudy.EXPONENTIAL);

var nLastMin = null;
var nLastHour = null;
var nNoGo = false;
var bOKFlag = false;
var nCloseHour = 13; // Change to reflect your TZ
var nCloseMinute = 15;

function preMain() {
    setPriceStudy(true);
    setDefaultBarBgColor(Color.white);
}

function main() {

    var i;

    if(getHour() >= 11 && getHour()<14){
        var vTimeFlag=1;
    } else {
        bOKFlag = false;
    }


    var nIndex = getCurrentBarIndex();
    var nState = getBarState();
    if (nState == BARSTATE_NEWBAR || nState == BARSTATE_ALLBARS){
        var nInterval = getInterval();
        if ( isMonthly(nInterval) || isWeekly(nInterval) || isDaily(nInterval) || isTick(nInterval) ){ // Minutes only
            drawTextRelative(-60, 0, "Intervals in Minutes Only", Color.maroon, Color.lightgrey,  Text.FRAME | Text.ONTOP | Text.RELATIVETORIGHT | Text.RELATIVETOTOP, null, 20, "L-10");    
            nNoGo = true;
            return;
        }
    }
    if (vTimeFlag == 1){
        var nRange = Math.round( 20/(parseInt(nInterval)) );
        // debugPrintln("nIndex = " + nIndex + " nRange = " + nRange);
        if (nRange > 1){
            var nHi = high(0,-nRange);
            var nLo = low(0,-nRange);
            var nHH = nHi[0];
            var nLL = nLo[0];
            for (i=1;i<nRange;i++){
                if (nHi[i] > nHH)
                    nHH = nHi[i];
                if (nLo[i] < nLL)
                    nLL = nLo[i];
            } 
        } else {
            nHH = high();
            nLL = low();
        }
            
        if ((nHH-nLL) > 7){
            bOKFlag= true;
            // debugPrintln("nIndex = " + nIndex + " HH-LL > 7");
        }
    }

    if (nNoGo == true)
        return;
        
    if (close() > vSMA13.getValue(MAStudy.MA)  
      && Strategy.isLong()==false
      && (vTimeFlag!=1 || bOKFlag == true)
      && ( !(getHour() == nCloseHour && getMinute() >= nCloseMinute) || (getHour() > nCloseHour) ) )
        Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR);

    if (close() < vSMA13.getValue(MAStudy.MA)   
      && Strategy.isShort()==false
      && (vTimeFlag!=1 || bOKFlag == true) 
      && ( !(getHour() == nCloseHour && getMinute() >= nCloseMinute) || (getHour() > nCloseHour) ) )
        Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR);

    if ( (Strategy.isLong()==true) &&
      ( (close()<vSMA13.getValue(MAStudy.MA) && vTimeFlag==1) ||
      ( (getHour() == nCloseHour && getMinute() >= nCloseMinute) || (getHour() > nCloseHour) ) ) )
        Strategy.doSell("Close Long",Strategy.CLOSE,Strategy.THISBAR);

    if ( (Strategy.isShort()==true) &&
      ( (close()>vSMA13.getValue(MAStudy.MA) && vTimeFlag==1) || 
      ( (getHour() == nCloseHour && getMinute() >= nCloseMinute) || (getHour() > nCloseHour) ) ) )
        Strategy.doCover("Cover Short",Strategy.CLOSE,Strategy.THISBAR);

    if(Strategy.isLong()==true) 
        setBarBgColor(Color.green);
    if(Strategy.isShort()==true) 
         setBarBgColor(Color.red);

return vSMA13.getValue(MAStudy.MA);
}