Discuss, backtest & implement pivot based trading systems here

man4urheart · #11 30th July 2008, 09:56 PM

hey! good work. Will use it to back test this week and let u know how we can improve!

kenneth · #12 30th July 2008, 10:10 PM

Hi Abhay,

As Trader No111 suggested we will repair the speedometer first. Here is AFL I suggest.
_SECTION_BEGIN("Simple Pivot based Trading System");
_SECTION_BEGIN("Price");
SetChartBkGradientFill( ParamColor("BgTop", colorLavender),ParamColor("BgBottom", colorBlack));
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();

UpPivot= ValueWhen(
(Ref(H,-2) > Ref(H, -4)) AND
(Ref(H,-2) > Ref(H, -3)) AND
(Ref(H,-2) > Ref(H, -1)) AND
(Ref(H,-2) > H), Ref(H,-2));

DownPivot= ValueWhen(
(Ref(L,-2) <= Ref(L, -4)) AND
(Ref(L,-2) <= Ref(L, -3)) AND
(Ref(L,-2) <= Ref(L, -1)) AND
(Ref(L,-2) <= L), Ref(L,-2));

Plot(Ref(UpPivot,2), "UpPivot", ParamColor("UpPivot Color",colorRed), ParamStyle("UpPivot Style", styleDashed));
Plot(Ref(DownPivot,2), "DownPivot",ParamColor("DownPivot Color",colorBlue), ParamStyle("DownPivot Style", styleDashed));
Regards
ken

indian06 · #13 30th July 2008, 10:30 PM

thanks Ken, this one is working perfectly on my charts

kenneth · #14 30th July 2008, 10:32 PM

Hi Abhay,

I have added the AFL to yours. Please see the chart.

Regards
Ken

kenneth · #15 30th July 2008, 10:43 PM

Hi Abhay

Can you also add an exploration with the following details please.

Code:

Ticker	Date/Time	      Trade	Close	ENTRY	P/L	EXIT	Risk	Sell L2 SL	P/L	BUY H2 SL	
LITL.NS	7/30/2008 3:30:00 PM	Long	324.15	321.55	2.60	318.50	-3.05	320.05	-1.50	326.50

Regards
Ken

indian06 · #16 30th July 2008, 11:00 PM

Quote:

Originally Posted by kenneth

Hi Abhay,

I have added the AFL to yours. Please see the chart.

Regards
Ken

can you please post this combination of both the AFLs

aad · #17 31st July 2008, 12:28 PM

Sorry everyone as I am unable to post earlier due to some urgent priorities. But I have read the posts and feel happy that we are going in the right direction. Will definitely post tonight / tomorrow as I will be again on move for next 2-3 days including weekend after tomorrow.

Best regards,

Abhay

kenneth · #18 31st July 2008, 09:02 PM

Quote:

Originally Posted by indian06

can you please post this combination of both the AFLs

Hello Indian

Please drag and drop the AFL in to Abhay's AFL.

Regards
ken

citrus · #19 31st July 2008, 10:33 PM

Quote:

Originally Posted by kenneth

Hello Indian

Please drag and drop the AFL in to Abhay's AFL.

Regards
ken

Dear Kenneth and Abhay
Drag and drop didn't work. Please combine both the AFLs.
Regards.

aad · #20 1st August 2008, 04:16 AM

Dear all,

Thanks everyone for your posts.

I have attached new system based on suggestions given by trader111 and code posted by Kenneth. Now our system does not work on zig() anymore.

///////////////////////////////////////////////////////////
///// Major changes done from previous version 1.0 : //////

// The method of pivot definition is changed.
// Now it does not use zig() or related functions anywhere.
// We now use method suggested by Kenneth for Pivot definition.

// Stoploss line error, that it moves in both directions after a position is taken,
// is removed. Now stoploss lines are unidirectional.

// To protect profit on long positions, SELL is triggered either when trailing buy stop
// is hit OR when previous lower pivot is cracked. Fresh long position will be initiated
// if uptrend continues after previous high pivot is cracked.

///////////////////////////////////////////////////////////

Code and back-test results, backtester settings snapshot are attached.

Backtester settings : All backtests are done using
capital - 100000/-,
max. loss per trade as % of capital – 1%
room for stoploss as % of close below pivot – 1%

Imp. regarding backtesting : Although our system indicates permissible quantity to buy / short, backtester ignores this and buys / shorts max. quantity using available funds. Hence although we are ensuring max. loss per trade is not more than 1%, backtester shows more loss than expected. Once this system is finetuned, I will write custom backtester to incorporate our settings.

Comments and suggestions, as usual, are most welcome.

Best regards,

Abhay

The Following 3 Users Say Thank You to kenneth For This Useful Post:
aad (1st August 2008), indian06 (30th July 2008), SMART_Trader (30th July 2008)

The Following User Says Thank You to kenneth For This Useful Post:
indian06 (3rd August 2008)

The Following User Says Thank You to aad For This Useful Post:
sikandar (1st August 2008)