Easy language code examples trading system
Perhaps you have a contrasting idea on how to break up the different sessions and with the code provided you can simply change them to your liking. For example, if you are interested in the European markets and trade those times, you can create your own sessions based around the European markets. The session testing function is really simple. You place it within your strategy and pass into the function the session number you wish to test. The variable TradeFlag will be set to a Boolean value based upon if the current time is pre-market true or not false.
Below is a code, snip-it to give you an idea of what it looks like. In doing so TradeStation will systematically execute my key concept strategy over each market session and record the trading results. This can be done by simply creating an input value to act as the session number to test. Then you simply optimize over the values Below is the Net Profit graph which depicts the total net profit from our testing. By the way, we were testing this strategy from January 1, to December 31, This time-span covers both bull and bear markets. Slippage and commissions are not factors into these results.
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In this case we can see session input value number 12 produces the best net profit. This input value is actually a combination of Open, Morning, and Lunch sessions. Below is the equity graph of our key concept along with some performance numbers. There is no optimization here. The code simply trades based off un-optimized RSI signals and the results look promising. Below is the Trade Summary Report. Please note I have no stops or targets within my test strategy. Instead the strategy simply enters a trade if the proper condition is met and the trade is exited only at the close of the session.
My goal is to locate the best possible market sessions for my key concept. In this case, which session holds the strongest trending characteristic?
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Once a session s has been identified only then will I continue to develop a complete strategy containing stops, targets, and other rules tailored to the top session s. There you have it. This makes sense. The big volume and big trends often appear during the U. In that study we can see that the hours between and Central have the highest price movement of the EC market.
I would like to point out again, this is not a trading system.
What is the Pine script?
What we did in this article was to validate our key concept. The code presented in this article does not have stops, a regime filter, volatility filters, profit targets, or any number of other checks and balances we might see in a true trading system.
In fact, take a look at the average profit per trade. Download the source code used in this article and get access to our entire library of EasyLanguage code by joining our free newsletter. It's so worth it! Jeff is the founder of EasyLanguage Mastery - a website and mission to empowering the EasyLanguage trader with the proper knowledge and tools to become a profitable trader. Click the FaceBook icon to join. I hope you continue the thread… perhaps testing some Aurora methods as well? Good stuff really enjoyed it.
I have a question though. Do you then go back to the baseline system to keep developing? Or just continue to use this session time for building. I know in your ebook you return to baseline after adding filters etc. Thanks Derek. I tested the key concept upon various sessions to see which was most effective. After applying the key concept to a best-fit session, that would be our baseline system.
From this point onward I would continue to develop the system against the baseline, which is the key concept applied to our targeted session. I would not investigate other sessions. Let me know if this is not clear. Jeff I am trying to run a simple Study on ES to test the buy time in the morning and then close at the end of the day to see if there is any sort of an edge.
I modified your function and set the code up as a strategy.
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Cant seem to get this to work what so ever. The optimization engine goes through the time increments improperly and tests times like which is not a real time. Any thoughts on this? I just typed this from memory and have not compiled it. However this should get close to what you want.
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In the example code, you can test various entry and exit times. I assume that these are booleans set elsewhere in the code…? Or maybe built-in EasyLanguage functions? How are they calculated? Sorry about the confusion. It appears the download code does not have those Boolean values. I was most likely testing these Boolean values and they made it into the article but not into the download code. Those are just booleans. If we save and add to chart , the strategy will run and automatically open the Strategy Tester window which will display some important stats.
By default, a new tab opens showing the overview stats for the strategy. You can click through the Performance Summary or List of Trades to see other statistics. You can easily cycle through different time frames using the time frame options in the menu at the top of the screen. The strategy will auto-update based on the new time frame chosen. In our last example, the trade execution was determined by moving average crossovers and crossunders. We will build on this script and set specific stop losses and take profits.
The ATR indicator calculates the average movement over the last number of specified bars.
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This is a good way to account for changes in volatility. Under our trade conditions, we can make the necessary calculations for our stop loss and take profit. In the code above, we calculated the stop loss by taking the low of the bar at the time of entry and subtracting the average true range multiplied by two.
Lastly, we specify the exit condition using the strategy. Here are the parameters that were passed through. The syntax for our short condition is similar although some of the calculations are slightly different. The rest of the script remains unchanged from the prior example. Here is the syntax to do that. All we need to do is open an AAPL chart and it will automatically know to execute the trades in Apple.
A cool feature about Pine script is that we can create custom inputs to easily change the parameters of our strategies and indicators. Take a look at the standard ATR indicator offered in Tradingivew. Note how easy it is to modify the length and even the colors via the Style tab. We can achieve the same for the studies and strategies created in Pine script by using the input function. Here is an example of the input function that will allow the user to customize the percent change from the last strategy example.
We need to convert this to 1. And we need to change our if statements to look at our newly created variables based on user input rather than the previous hard coded values. To access the input options, click on the gear icon next to the name of your strategy in the data window. There is also a Properties window that will allow you to set custom options for other parts of the strategy. Pine script has several other commands that we can use for our output and we will go through a few of them.
Knowing when the markets open and close is something to be mindful of. This can be quite tough to figure out for Forex traders. Forex trades 24 hours a day and 5 days a week. Different markets around the world open and close during the day which impacts currency volatility. Most Forex traders are paying attention to the London and New York sessions. We will start by specifying the time for these sessions.