Cevn bounce strategy

[Cactus]

http://cevntuntrading.wix.com/fred-proffitt#!system-settings/zezj1 Can this strategy be written in lua? It is based on CCI peaks forming at 70 levels

[Apprentice]

Can you define the entry / exit conditions.

[Cactus]

Of course. Everything is in this document, please see the attachment. The first component is listed on page 6 and the rest follows. This is a long guide but provides all information with screenshots.

Apparently this is the holy grail. May be a more complex strategy than what's usually posted here, even though it uses 1 indicator?

My attempt at coding this finished with

Code: Select all

    -- update expressions
    if id == id_daily then --Updates handler of 'daily' datasource ('D1'  timeframe)
        --Check that all data of used datasources is available
        if canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1))  and canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1))  and canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 2))  then
            buy_setup = CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] < -70  and  CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1)] < -70  and  CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] > CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1)]  and  CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] < CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 2)];
        end
        --Check that all data of used datasources is available
        if canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1))  and canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1))  and canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 2))  then
            buy_retest = CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] > CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1)]  and  CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] < CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 2)];
        end
        --Check that all data of used datasources is available
        if canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1))  and canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1))  then
            sell_setup = CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1)] > 70  and  CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] > 70  and  CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] < CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1)];
        end
        --Check that all data of used datasources is available
        if canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1))  and canCalculate( CCI.DATA , getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1))  then
            sell_retest = CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1)] < CCI.DATA[getClosedPeriod(CCI.DATA, CCI.DATA:size() - 1 - 1)];
        end
    end

    if id == id_tick then --Updates handler of 'tick' datasource ('t1'  timeframe)
        --Check that all data of used datasources is available
        if canCalculate( tick , getClosedPeriod(tick, tick:size() - 1) )  and canCalculate( daily.open , getClosedPeriod(daily.open, daily.open:size() - 1) )  then
            buy_trigger = tick[getClosedPeriod(tick, tick:size() - 1) ] > daily.open[getClosedPeriod(daily.open, daily.open:size() - 1) ];
        end
        --Check that all data of used datasources is available
        if canCalculate( tick , getClosedPeriod(tick, tick:size() - 1) )  and canCalculate( daily.open , getClosedPeriod(daily.open, daily.open:size() - 1) )  then
            sell_trigger = tick[getClosedPeriod(tick, tick:size() - 1) ] < daily.open[getClosedPeriod(daily.open, daily.open:size() - 1) ];
        end
    end

[Cactus]

Just noticed I forgot to include the attachment, so here it is

[Apprentice]

Your request is added to the development list, Under Id Number 3613
If someone is interested to do this task, please contact me.

[Alexander.Gettinger]

Please try this strategy:

Cevn_Bounce_Strategy.lua

(9.45 KiB) Downloaded 350 times

[Cactus]

Thanks I will test it soon