--vdr 1min Open-Close v1.2 (Long-Short-Edition)

956 3 106
New features:
- only longs or only shorts
- using stoploss
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strategy("--vdr 1min Open-Close v1.2 (Long-Short-Edition)", overlay=true, calc_on_every_tick=true, calc_on_order_fills=true)

//1 Min 3.82- Very good, 4.53, 9.96; 5 Min->14.96: 5MIN-> 6.36(2.54)
// find out the offset for S&P and Dow Jones as well. for USOIL 0.201

//DJ 1MIN:7.6/0.6 15MIN 11.5/0.1

offset = input(6.47, minval=0.01, step=0.1)
offset_to_close = input(0.01, minval=0.001, step=0.1)

showLongs   = input(title="Show longs", type=bool, defval=true)
showShorts  = input(title="Show shorts", type=bool, defval=true)
useStopLoss = input(title="Use Stop Losses", type=bool, defval=false)
sl = input(24, minval=0.0, step=1)

from_year=input(2016, minval=2000, maxval=2020)
from_month=input(3, minval=1, maxval=12)
from_day=input(1, minval=1, maxval=31)

to_year=input(2016, minval=2007, maxval=2020)
to_month=input(12, minval=1, maxval=12)
to_day=input(31, minval=1, maxval=31)

in_time()=> (time >= (timestamp(from_year, from_month, from_day, 00, 00)) and time < (timestamp(to_year, to_month, to_day, 00, 00)))

//Choose your close condition :)
closeLongV1  = (open-close)>offset_to_close or (close-open)<offset_to_close
closeLongV2  = (open-close)>offset_to_close and (open-low)>(high-close)
closeLongV3  = (open-close)>0 or (close-open)<offset_to_close

closeShortV1 = (close-open)>offset_to_close or (open-close) <offset_to_close
closeShortV2 = (close-open)>offset_to_close and (close-low)>(high-open)
closeShortV3 = (close-open)>0 or (open-close) <offset_to_close

closeLongV4  = (open-close)>offset_to_close
closeShortV4 = (close-open)>offset_to_close

openLong = in_time() and (close-open)>offset
openShort= in_time() and (open-close)>offset

    strategy.entry("LONG", strategy.long, when= openLong)
    strategy.close("LONG",  when = closeLongV4 and not openShort)
    strategy.exit("xL", from_entry="LONG",  loss=sl, when = useStopLoss)
    strategy.entry("SHORT", strategy.short, when =openShort)
    strategy.close("SHORT", when = closeShortV4 and not openLong)
    strategy.exit("xS", from_entry="SHORT",  loss=sl, when = useStopLoss)

Does that work on a real account? Is there a forward test?
+1 Reply
Very nice work!
+1 Reply
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