// 2Step Pattern Pelley ////////////////////////////
//
// V: 0.1
// start date: 2013-10-25
//
// Strategy:
//
// two steps
//
// step one: find the long termed trend using the advise function
// with three D1 bars in a row like in WorkShop 7
//
// step two: find the short termed trend using the valley/peak
// function using the LowPass series on H1
//
//
// taken trades will be managed with a trailing stop los
// SL depends on an ATR calculation
#include <profile.c>
#define H1 (60/BarPeriod)
#define D1 (1440/BarPeriod)
int TrailingStop(); // TMF prototype
function run()
{
if(is(INITRUN)) {
StartDate = 2009;
BarPeriod = 60; // 60 minutes
TimeFrame = 1; // 1 bar
Weekend = 1; // don't merge Friday and Sunday bars
LookBack = 1000;
NumWFOCycles = 5;
set(RULES+TESTNOW);
}
// variable definitions
// set higher timeframe price vars
TimeFrame = D1;
vars HTF_priceHigh = series(priceHigh());
vars HTF_priceLow = series(priceLow());
vars HTF_priceClose = series(priceClose());
// set short timeframe LowPass series
TimeFrame = H1;
vars Price = series(price());
vars LTF_Trend = series(LowPass(Price,1000));
if(Train) {
Hedge = 2; // train long + short
TimeFrame = D1;
TimeExit = 1; // one day
}
else {
Stop = 100*PIP; // set exit limits
TimeFrame = H1;
}
// get trend on higher timeframe but check it every new bar in
// the lower timeframe (don't if we are in Train-Mode cause TimeFrame is D1)
if(adviseLong(PATTERN+2,0,
HTF_priceHigh[2],HTF_priceLow[2],HTF_priceClose[2],
HTF_priceHigh[1],HTF_priceLow[1],HTF_priceClose[1],
HTF_priceHigh[1],HTF_priceLow[1],HTF_priceClose[1],
HTF_priceHigh[0],HTF_priceLow[0],HTF_priceClose[0]) > 50) {
if(Train) {
enterLong();
}
else {
// higher timeframe long trend
// Now look for the lower timeframe trend
if(valley(LTF_Trend)) {
// lower timeframe long trend
// now we enter a trade
enterLong(TrailingStop);
}
}
}
if(adviseShort() > 50) {
if(Train) {
enterShort();
}
else {
// higher timeframe short trend
// Now look for the lower timeframe trend
if(peak(LTF_Trend)) {
// lower timeframe short trend
// now we enter a trade
enterShort(TrailingStop);
}
}
}
} // run()
// TMF that adjusts the stop in a special way
int TrailingStop()
{
// adjust the stop only when the trade is in profit
if(TradeResult > 0)
if(TradeIsLong)
{
// place the stop at the lowest bottom of the previous 3 H1 candles
TimeFrame = H1;
TradeStopLimit = max(TradeStopLimit,LL(3));
}
else if(TradeIsShort)
{
// place the stop at the highest top of the previous 3 H1 candles
TimeFrame = H1;
TradeStopLimit = min(TradeStopLimit,HH(3));
}
// plot a line to make the stop limit visible in the chart
plot("Stop",TradeStopLimit,MINV,BLACK);
// return 0 for checking the limits
return 0;
}
)
