Gday: a D1 Stochastic OB/OS trading robot

[fxozgirl]

The trigger to buy is for the stoch signal line to have crossed the 20 at the opening of the new candle. (For example, if I was trading manually I would wait until the candle opened, checked where the signal line was and then place a trade/or not).

Ok, to restate your logic and turn it into code....

Only determine if there is a valid signal at the opening of the bar. Once the opening of the bar passes, we're done looking for trades until tomorrow.

For a buy, the Stochastic Signal value at the close of the previous bar must be below 20 and the Stochastic signal value at the instant of the opening of the current bar must be above 20.

For a sell, the Stochastic Signal value at the close of the previous bar must be above 80 and the Stochastic signal value at the instant of the opening of the current bar must be below 80.

Would you want to use a delta value to make sure that it is a sharp turn at the OB/OS levels?

Steve,

I think you need to reinstate code to only check at the beginning of the bar. You may need to check Volume[0] <= 1 to make sure you don't take a trade the moment you add the EA to the chart. I've never used that test myself, but most of my coding has been indicators. Also, you may have to make two calls to GetStoch(), one for the current bar and one for the previous bar. That way you are sure to get the final value for the previous bar stoch.

George

Yes exactly

Re: delta value...sorry I don't know what that is

[fxozgirl]

George, knowest ye the code for detecting ob/os yesterday? Probably best to incorporate the Sunday candle into Friday, if possible.

Your current code would work (other than the Sunday candle thing) by just calling GetStoch(1) capturing the values and then calling GetStoch(0).

As for the Sunday problem, hopefully google has that answer so we don't have to recode the indicator...

Ok, I am not going to worry about the Sunday thingy just yet.

Assuming your summary is correct and that we are only concerned with the final tick of the old and the first tick of the new candles, then the coding suddenly becomes much easier and more clear-cut. I am going to make the edits as soon as I have finished writing this. I can drop all the 'status' stuff.

The only problem then becomes the wait-a-day scenario. We can take care of this later. I imagine it is Land of Nod time in Upside-Down land, so we will not hear from Shelley for a while.

Yes, pretty much that's all we need to look at...the last tick of the old candle and the first tick of the new candle
if the set up doesn't line up, then we wait until tomorrow

I hope this does make it easier for you


btw...it is bed time here in Oz and so I will say good night and thank you to Steve & George
I will login in the morning before I go to work to answer any questions if necessary

[gaheitman]

Re: delta value...sorry I don't know what that is

Sorry, I meant should we also look at the difference between yesterday's value and today's. If at yesterday's close it was 19.9 and today it opened at 20.0001 would you want to take the trade? It may not matter, but you mentioned looking for a clear signal, and the further apart the two values are the sharper the turn in the stoch.

George

[ROBST3R]

Hi fxozgirl.

What time is it in australia where you live, here its 04:46pm i think it`s 00:46 am with you?

I ask because you search for your trades at 08:00am! Then i think it`s 11:00 pm over here!

Greets

[spyderman]

Hmmmm.

Placed Gday on all pairs this morning and to my surprise it started taking trades. I thought that it wouldn't until the start of my next day, which for me is in another 6 hrs.

It placed a buy on Aud/Cad at 1.02887
placed a sell on Gbp/Nzd at 2.04551
then flipped out and placed sells on same pair at 2.04529, 2.04530, 2.04538 and 2.04535 all for .03 lots each.

Any ideas what happened.

Could changing TF initiate these trades?

[gaheitman]

Hmmmm.

Placed Gday on all pairs this morning and to my surprise it started taking trades. I thought that it wouldn't until the start of my next day, which for me is in another 6 hrs.

It placed a buy on Aud/Cad at 1.02887
placed a sell on Gbp/Nzd at 2.04551
then flipped out and placed sells on same pair at 2.04529, 2.04530, 2.04538 and 2.04535 all for .03 lots each.

Any ideas what happened.

Could changing TF initiate these trades?

Steve is making changes to prevent this from happening. Hold tight testing until the next update appears.

George

[garyfritz]

Yes, pretty much that's all we need to look at...the last tick of the old candle and the first tick of the new candle
if the set up doesn't line up, then we wait until tomorrow

That's what George said too, and I assumed he was mistaken. But now you're agreeing??

The last tick of the old candle, and the first tick of the new candle, are going to occur mere seconds apart, aren't they? They will almost always have the exact same value within a pip or three.

Judging from the way you read your charts, I thought you were using the CLOSING value of the stoch Signal. (The open of the next candle is basically identical, but the CLOSING value is what you see on past candles on a chart.) So if the CLOSING stoch Signal value is < 20 on the CLOSE of the 19 Dec candle, and if it's > 20 on the CLOSE of the 20 Dec candle, then you would buy the OPEN of the 21 Dec candle -- basically instantly after the 20 Dec candle closes.

To avoid confusion I would only talk about the Signal values at the close of the candle, since that's what you see on the chart on all candles except the currently-building candle. "If the Signal crosses from <20 on candle N to >20 on candle N+1, buy immediately after the close of candle N+1." (Which would be the open of candle N+2.) Or, to put it in MQL-speak, "If the Signal value is <20 on bar 2, and >20 on bar 1, buy immediately after bar 1 closes, i.e. the first tick of bar 0."

Or am I totally misunderstanding?

[spyderman]

Steve is making changes to prevent this from happening. Hold tight testing until the next update appears.

George

No worries, that's why we demo

[SteveHopwood]

Latest update in post 1:

• Should only trade on info from the last tick of the previous candle and the first tick of the new one
  Trade will be closed if there is a recross of the signal by the main line detected at the start of the new candle. The cross may have occurred much earlier; Gday simply checks to see if Main is wrong side of Signal.
  Added Saturday and Sunday no-trade inputs.

[gaheitman]

Yes, pretty much that's all we need to look at...the last tick of the old candle and the first tick of the new candle
if the set up doesn't line up, then we wait until tomorrow

That's what George said too, and I assumed he was mistaken. But now you're agreeing??

Hey!

The last tick of the old candle, and the first tick of the new candle, are going to occur mere seconds apart, aren't they? They will almost always have the exact same value within a pip or three.

Judging from the way you read your charts, I thought you were using the CLOSING value of the stoch Signal. (The open of the next candle is basically identical, but the CLOSING value is what you see on past candles on a chart.) So if the CLOSING stoch Signal value is < 20 on the CLOSE of the 19 Dec candle, and if it's > 20 on the CLOSE of the 20 Dec candle, then you would buy the OPEN of the 21 Dec candle -- basically instantly after the 20 Dec candle closes.

To avoid confusion I would only talk about the Signal values at the close of the candle, since that's what you see on the chart on all candles except the currently-building candle. "If the Signal crosses from <20 on candle N to >20 on candle N+1, buy immediately after the close of candle N+1." (Which would be the open of candle N+2.) Or, to put it in MQL-speak, "If the Signal value is <20 on bar 2, and >20 on bar 1, buy immediately after bar 1 closes, i.e. the first tick of bar 0."

That was my option 2 in an earlier message, but I didn't think it was what she was doing.

The %K of the stochastic is

%K = (Current Close - Lowest Low)/(Highest High - Lowest Low) * 100

On the open of the new bar, the Current Close is the Open, which is a pip or two away from the previous close. So, any difference in the two readings is related to a Higher High or Lower Low either occurring or dropping off of the calculation. Or a change due to the smoothing.

It does mean that visual backtesting isn't worth much since you can't tell what the stoch value was at the beginning of a bar.

For fun, I was thinking of updating the stochastic indicator to project the next stochastic value (at open). It could then be used to visually backtest this system.

George