ActFX Algorithmic Trading » ActFX » Trading Strategies » Envelopes Strategy

Envelopes Strategy

elvin — Wed, 09 May 2012 21:01:12 GMT

The Envelopes is similar to the Moving Average indicator. In consists of two Moving Averages, one displaced up, and one displaced down.It shows the range of the expected price behavior, so if price goes out of the area between two lines, it will come back to it.

My Envelopes Strategy opens a long position if the price goes above the bottom line. The strategy opens a sell position if th3 price goes below the top indicator line.

[img]http://forum.actfx.com/Attachment50.aspx[/img]

RE: Envelopes Strategy

Venus — Wed, 09 May 2012 21:01:12 GMT

;)

RE: Envelopes Strategy

Admin — Fri, 27 Jan 2012 07:50:00 GMT

Dear roaddog,

You just need to add the type of MA, for example makSimple:

MA1 := TIndicatorMovingAverage.Create(History, 'Ma 1');
MA1.Period := 100;
MA1.Kind := makSimple;

The Envelopes Strategy v.3.1 (with Simple MA) is in attachment.

RE: Envelopes Strategy

roaddog — Sun, 31 Jul 2011 18:47:41 GMT

Could somebody please look at this; I am trying to add a moving average, so that it would only open long positions above ma and short only below MA; closes should stay the same not connected to MA;
I am doing something wrong

const
StrategyName = 'Envelopes_Strategy_v.2.2';

var
History: TCandleHistory;
Account: TAccount;
Amount, Point: Double;
MaxPos : Integer;
Stop, Limit, Range, i: Integer;
Env: TIndicatorEnvelopes;//the Envelopes indicator
MA1: TIndicatorMovingAverage;

procedure OnCreate;
begin
AddCandleHistorySetting(@History, 'History', '', CI_1_Minute, 100);
History.OnNewCandleEvent := @OnNewCandle;
History.OnNewRateEvent := @OnNewRate;
AddIntegerSetting(@MaxPos, 'Max Open Trades', 1); // Change this to any number you like.
AddAccountSetting(@Account, 'Account', '');
AddFloatSetting(@Amount, 'Amount(Lots)', 1);
AddIntegerSetting(@Stop, 'Stop in pips', 20);
AddIntegerSetting(@Limit, 'Limit in pips', 60);

AddIntegerSetting(@Range, 'Trader Range', 2);

Env := TIndicatorEnvelopes.Create(History,'Envelopes indicator'); //setting for envelopes
//the envelopes parameters:
Env.Period := 14;
Env.Deviation := 0.05;

MA1 := TIndicatorMovingAverage.Create(History, 'Ma 1');
MA1.Period := 100;
end;

procedure OnNewCandle;
begin
Point := History.Instrument.PointSize;
//price crosses the top line -> sell
if (TradeList.Count < MaxPos) and (History.Last(1).Close > Env.TopGraph.Last(1)) and ((History.Instrument.Sell <= MA1.Graph.Last(0))) then
begin
if (TradeList.Count > 0) then
begin
for i:=TradeList.Count-1 downto 0 do
begin
if (TradeList.Get(i).Tag = 'BuyEnv') then
begin
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, Range, TradeList.Get(i).Tag);
end;
end;
end;
CreateOrder(History.Instrument, Account, Amount, bsSell,
History.Instrument.Buy + Stop*Point,
History.Instrument.Buy - Limit*Point, Range, 'SellEnv');
end;

//price crosses the bottom line -> buy
if(TradeList.Count < MaxPos) and (History.Last(1).Close < Env.BottomGraph.Last(1)) and ((History.Instrument.Sell >= MA1.Graph.Last(0))) then
begin
if (TradeList.Count > 0) then
begin
for i:=TradeList.Count-1 downto 0 do
begin
if (TradeList.Get(i).Tag = 'SellEnv') then
begin
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, Range, TradeList.Get(i).Tag);
end;
end;
end;
CreateOrder(History.Instrument, Account, Amount, bsBuy,
History.Instrument.Sell - Stop*Point,
History.Instrument.Sell + Limit*Point, Range, 'BuyEnv');
end;
end;

RE: Envelopes Strategy

roaddog — Wed, 27 Jul 2011 16:15:24 GMT

Try to change the limit or stop settings if you have 9999

RE: Envelopes Strategy

PataPata — Wed, 27 Jul 2011 00:18:46 GMT

Hi,
Would someone please help me!
When I try to run the strategy in real it gives me this error!
I don't know what to do,

EXCEPTION
ESmartException in TTraderDataProvider
CODE
20135
MESSAGE
Exception at trading strategy "NASA" in routine OnNewRate at Line:Column 123:10
Wrong Stop or Limit price: market rate 1.4497; order rate 1.4497;
DETAILS
ORA-20135: Wrong Stop or Limit price: market rate 1.4497; order rate 1.4497;
ORA-06512: at "EFOREX35.EXCEPTIONS", line 350

RE: Envelopes Strategy

black — Tue, 26 Jul 2011 03:05:52 GMT

[quote][b]smallpips (7/25/2011)[/b][hr]Hi folks,
I'm trying to get to grips with the ACT stuff and I was wondering. Is it possible to configure an ACT file to run at a certain time of day? Let's say I know I'm not going to be at my screen at 1am but I want a trade entered at 1:30am based on the previous six 5m candlesticks. Is it possible to configure the file so that it will only run at a pre-determined time?

thanks for any assistance.

[/quote]

First, I don't know of any way to start a Strategy from a dead stop, except to do it manually. If you want to do this, ask Admin to be sure.

If all you want to do is make a running Strategy react at certain times, there is scripting info located at [url]http://help.sysfx.com/documents/traders_manual/4.3/en_US/index.html?other_functions_2.htm[/url] under the Date/Time sub-heading. Also, check out the scripts in the Code Library.

Do a search on the word "time" in the ActTrader manual located here: [url]http://help.sysfx.com/documents/traders_manual/4.3/en_US/index.html?icts_trader_application.htm[/url].

:)

RE: Envelopes Strategy

smallpips — Mon, 25 Jul 2011 11:00:45 GMT

Hi folks,
I'm trying to get to grips with the ACT stuff and I was wondering. Is it possible to configure an ACT file to run at a certain time of day? Let's say I know I'm not going to be at my screen at 1am but I want a trade entered at 1:30am based on the previous six 5m candlesticks. Is it possible to configure the file so that it will only run at a pre-determined time?

thanks for any assistance.

RE: Envelopes Strategy

m500 — Thu, 21 Jul 2011 20:13:42 GMT

[center][img]http://foolstown.com/sm/shrk.gif[/img][/center]

RE: Envelopes Strategy

roaddog — Wed, 20 Jul 2011 10:07:18 GMT

Could somebody tweek this script a bit, so that it would close poistion as soon as the candle breaks the envelope to the outside and not wait till it comes back inside. Thanks

//==============================================
// This is a strategy using envelopes indicator
//==============================================
// Modification of Envelopes Strategy

const
StrategyName = 'Envelopes_Strategy_v.2';

var
History: TCandleHistory;
Account: TAccount;
Amount, Point: Double;

Range, i: Integer;

Env: TIndicatorEnvelopes;//the Envelopes indicator

procedure OnCreate;
begin
AddCandleHistorySetting(@History, 'History', '', CI_15_Minutes, 100);
History.OnNewCandleEvent := @OnNewCandle;
History.OnNewRateEvent := @OnNewRate;
AddAccountSetting(@Account, 'Account', '');
AddFloatSetting(@Amount, 'Amount(Lots)', 1);

AddIntegerSetting(@Range, 'Trader Range', 2);

Env := TIndicatorEnvelopes.Create(History,'Envelopes indicator'); //setting for envelopes
//the envelopes parameters:
Env.Period := 4;
Env.Deviation := 0.2;
end;

// this procedure runs when a new candle opens
procedure OnNewCandle;
begin
//price crosses the top line -> sell
if (History.Last(1).CloseEnv.TopGraph.Last(2)) then
begin
for i:=TradeList.Count-1 downto 0 do
if (TradeList.Get(i).BuySell = bsBuy) and (TradeList.Get(i).Tag = 'BuyEnv') then
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
CreateOrder(History.Instrument, Account, Amount*2, bsSell, Nullrate, NullRate, Range, 'SellEnv');
end;
//price crosses the bottom line -> buy
if (History.Last(1).Close>Env.BottomGraph.Last(1)) and (History.Last(2).Close begin
for i:=TradeList.Count-1 downto 0 do
if (TradeList.Get(i).BuySell = bsSell) and (TradeList.Get(i).Tag = 'SellEnv') then
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
CreateOrder(History.Instrument, Account, Amount*2, bsBuy, NullRate, Nullrate, Range, 'BuyEnv');
end;
end;

procedure OnTradeChange(const Action: TDataModificationType; const Trade: TTrade);
begin
if (Action=dmtInsert) then if (Trade.Tag='SellEnv') then log ('Sell trade opened.');
if (Action=dmtInsert) then if (Trade.Tag='BuyEnv') then log ('Buy trade opened.');
if (Action=dmtInsert) then log ('Open Rate.' +FloatToStr(Trade.OpenRate));
end;

RE: Envelopes Strategy

roaddog — Wed, 13 Jul 2011 14:34:08 GMT

Emoe; could this last script be changed so that it would be opening and closing positions as soon the price touches the envelope and not wait for the candle to close ?

RE: Envelopes Strategy

roaddog — Tue, 12 Jul 2011 12:26:03 GMT

Thanks Emoe but I have managed to get it work (with help of great ACT team) but results arent immpresive.
So, back to work:)

RE: Envelopes Strategy

eMoe — Tue, 12 Jul 2011 05:20:13 GMT

Hi roaddog!

If you discribe what changes do you need (or how it should work) I'll try to help you

RE: Envelopes Strategy

roaddog — Fri, 08 Jul 2011 11:32:36 GMT

Also I see that this scrip is opening positions on every time frame if outside the envelope.

RE: Envelopes Strategy

roaddog — Fri, 08 Jul 2011 08:15:21 GMT

I know now what the problem is; it only closes positions until the maximum alowed opened trades is filled.
Lets say we have max open trades: 5
It will be closing positions if there are less than 5 open poistions, if there are 5 open poistions it stops closing them.
I dont know how to fix that.

RE: Envelopes Strategy

roaddog — Fri, 08 Jul 2011 05:02:54 GMT

I we tryed it with avafx tester and sterling gent tester and its the same thing; also it did close positions with the origninal strategy with not limited positions.

RE: Envelopes Strategy

eMoe — Fri, 08 Jul 2011 04:34:36 GMT

I’ve tried this strategy in test mode and my positions were closed.

Maybe you trade with NFA broker? Closing individual position is restricted under NFA.

RE: Envelopes Strategy

roaddog — Fri, 08 Jul 2011 04:16:51 GMT

Thank you for hepling eMoe but it still doesnt wont to close the position

RE: Envelopes Strategy

eMoe — Fri, 08 Jul 2011 03:23:00 GMT

Hello, roaddog.

I’ve organized and fixed your code. Now it seems to work. Enjoy.

RE: Envelopes Strategy

roaddog — Thu, 07 Jul 2011 21:36:55 GMT

Its not working; cant get past compile but thans for suggestion

//==============================================
// This is a strategy using envelopes indicator
//==============================================
// Modification of Envelopes Strategy

const
StrategyName = 'Envelopes_Strategy_v.2';

var
History: TCandleHistory;
Account: TAccount;
Amount, Point: Double;
MaxPos : Integer;

Range, i: Integer;

Env: TIndicatorEnvelopes;//the Envelopes indicator

procedure OnCreate;
begin
AddCandleHistorySetting(@History, 'History', '', CI_1_Minute, 100);
History.OnNewCandleEvent := @OnNewCandle;
History.OnNewRateEvent := @OnNewRate;
AddIntegerSetting(@MaxPos, 'Max Open Trades', 1); // Change this to any number you like.
AddAccountSetting(@Account, 'Account', '');
AddFloatSetting(@Amount, 'Amount(Lots)', 1);

AddIntegerSetting(@Range, 'Trader Range', 2);

Env := TIndicatorEnvelopes.Create(History,'Envelopes indicator'); //setting for envelopes
//the envelopes parameters:
Env.Period := 14;
Env.Deviation := 0.05;

end;

// this procedure runs when a new candle opens
procedure OnNewCandle;
begin
//price crosses the top line -> sell
if (TradeList.Count < MaxPos) and (History.Last(1).Close > Env.TopGraph.Last(1)) then
begin

if (TradeList.Count > 0) then
begin
for i:=TradeList.Count-1 downto 0 do
begin
if (TradeList.Get(i).BuySell = bsBuy) and (TradeList.Get(i).Tag = 'BuyEnv') then
begin
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
end; end; end;

CreateOrder(History.Instrument, Account, Amount, bsSell, Nullrate, NullRate, Range, 'SellEnv');

end;

end;
//price crosses the bottom line -> buy
if(TradeList.Count < MaxPos) and (History.Last(1).Close < Env.BottomGraph.Last(1)) then
begin

if (TradeList.Count > 0) then
begin
for i:=TradeList.Count-1 downto 0 do
begin
if (TradeList.Get(i).BuySell = bsSell) and (TradeList.Get(i).Tag = 'SellEnv') then
begin
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
end; end; end;

CreateOrder(History.Instrument, Account, Amount, bsBuy, NullRate, Nullrate, Range, 'BuyEnv');

end;

procedure OnTradeChange(const Action: TDataModificationType; const Trade: TTrade);
begin
if (Action=dmtInsert) then if (Trade.Tag='SellEnv') then log ('Sell trade opened.');
if (Action=dmtInsert) then if (Trade.Tag='BuyEnv') then log ('Buy trade opened.');
if (Action=dmtInsert) then log ('Open Rate.' +FloatToStr(Trade.OpenRate));

end;

RE: Envelopes Strategy

black — Thu, 07 Jul 2011 18:27:34 GMT

I haven't tried this, but here are some changes to the script above:

===========================================

//**********

//price crosses the top line -> sell
if (TradeList.Count < MaxPos) and (History.Last(1).Close > Env.TopGraph.Last(1)) then
begin

if (TradeList.Count > 0) then
begin
for i:=TradeList.Count-1 downto 0 do
begin
if (TradeList.Get(i).BuySell = bsBuy) and (TradeList.Get(i).Tag = 'BuyEnv') then
begin
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
end; end; end;

CreateOrder(History.Instrument, Account, Amount, bsSell, Nullrate, NullRate, Range, 'SellEnv');

end;

//**********

//price crosses the bottom line -> buy
if(TradeList.Count < MaxPos) and (History.Last(1).Close < Env.BottomGraph.Last(1)) then
begin

if (TradeList.Count > 0) then
begin
for i:=TradeList.Count-1 downto 0 do
begin
if (TradeList.Get(i).BuySell = bsSell) and (TradeList.Get(i).Tag = 'SellEnv') then
begin
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
end; end; end;

CreateOrder(History.Instrument, Account, Amount, bsBuy, NullRate, Nullrate, Range, 'BuyEnv');

end;

//**********

:)

RE: Envelopes Strategy

roaddog — Thu, 07 Jul 2011 13:40:47 GMT

Hello ! I am trying to maket this strategy that it will only open a limited amount of positions; i have read the forum and tryed to copy paste it but something is wrong; now it doesnt wont to close positions and also is buying 2 pos at once; could someone look at this ? Thanks

const
StrategyName = 'Envelopes_Strategy_v.2';

var
History: TCandleHistory;
Account: TAccount;
Amount, Point: Double;
MaxPos : Integer;

Range, i: Integer;

Env: TIndicatorEnvelopes;//the Envelopes indicator

procedure OnCreate;
begin
AddCandleHistorySetting(@History, 'History', '', CI_1_Minute, 100);
History.OnNewCandleEvent := @OnNewCandle;
History.OnNewRateEvent := @OnNewRate;
AddIntegerSetting(@MaxPos, 'Max Open Trades', 1); // Change this to any number you like.
AddAccountSetting(@Account, 'Account', '');
AddFloatSetting(@Amount, 'Amount(Lots)', 1);

AddIntegerSetting(@Range, 'Trader Range', 2);

Env := TIndicatorEnvelopes.Create(History,'Envelopes indicator'); //setting for envelopes
//the envelopes parameters:
Env.Period := 14;
Env.Deviation := 0.05;

end;

// this procedure runs when a new candle opens
procedure OnNewCandle;
begin
//price crosses the top line -> sell
if (TradeList.Count < 1) and (History.Last(1).CloseEnv.TopGraph.Last(2)) then
begin
for i:=TradeList.Count-1 downto 0 do
if (TradeList.Get(i).BuySell = bsBuy) and (TradeList.Get(i).Tag = 'BuyEnv') then
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
CreateOrder(History.Instrument, Account, Amount*2, bsSell, Nullrate, NullRate, Range, 'SellEnv');

end;
//price crosses the bottom line -> buy
if(TradeList.Count < 1) and (History.Last(1).Close>Env.BottomGraph.Last(1)) and (History.Last(2).Close begin
for i:=TradeList.Count-1 downto 0 do
if (TradeList.Get(i).BuySell = bsSell) and (TradeList.Get(i).Tag = 'SellEnv') then
CloseTrade(TradeList.Get(i), TradeList.Get(i).Amount, 0, TradeList.Get(i).Tag);
CreateOrder(History.Instrument, Account, Amount*2, bsBuy, NullRate, Nullrate, Range, 'BuyEnv');

end;
end;

procedure OnTradeChange(const Action: TDataModificationType; const Trade: TTrade);
begin
if (Action=dmtInsert) then if (Trade.Tag='SellEnv') then log ('Sell trade opened.');
if (Action=dmtInsert) then if (Trade.Tag='BuyEnv') then log ('Buy trade opened.');
if (Action=dmtInsert) then log ('Open Rate.' +FloatToStr(Trade.OpenRate));

end;

RE: Envelopes Strategy

romeno182 — Wed, 24 Nov 2010 07:45:08 GMT

hi i have a question, how do i do to make the strategy only open positions on buy but not on sell or the other way around.. i explain: i believe the wuro is falling, so i decide to play only sell positions for this strategy.. how do i do?

RE: Envelopes Strategy

romeno182 — Wed, 24 Nov 2010 02:50:03 GMT

am using 16 - 0.143 on eur/usd 15 min in real and having great results..

RE: Envelopes Strategy

Mihai — Sun, 24 Oct 2010 03:40:04 GMT

Sorry for the previous post. After reading all the coments I see that the problem is with the deviation setings.