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Pivot and DMA

This Expert Advisor is a full Automated Trading System based on Pivot Points and Double Moving Average. Follows the didactic description:

It consists of a strategy to operate mainly in Futures Markets. But it also works on Stock Markets.

Can be used to generate Trading Signals.

Made for the Exchanges BM&FBOVESPA, NYSE, NASDAQ, Tokyo, London, Euronext, Hong Kong, Shangai, Toronto, Frankfurt, Australian, Bombay, SIX Swiss, BME Spanish, Korea, MICEX-RTS, JSE Limited etc.


Motivation

Due to the increasing number of assets from an growing amount of Markets, it is unfeasible optimize and run an Expert Assistant on all. That is why this offer is made.


Mind

Automated Trading Systems are immune to psycho-emotional factors.


Method

Includes the use of two indicators:

DMA Pivots Operation
Upward Upward Buy
Upward Downward Not operate
Downward Downward Sell
Downward Upward Not operate

Indicator Upward Downward
DMA Fast MA above Slow Slow MA bellow Fast
Pivot Bar upward crosses a resistance Bar downward crosses a support

Note: The time periods of the indicators are input parameters.


Money management

  • Fixed risk percentage (exponential gain under limited risk);
  • Stop-Loss Parabolic SAR;
  • Break-Even guaranteed by optimizing the PSAR;
  • Checks available margin;
  • Only takes long positions that can be liquidated to avoid punishment;
  • Considers pending orders of other assets of the Platform;
  • Can be attached in several graphs simultaneously.


Extra protection

Against failure of the broker in the implementation of Stop is checked, in every iteration, the performance of the operation, being closed if it exceeds the predetermined risk.


Input parameters

    • Start Month (0 to ignore): Month of operation begining;
    • Start Day (0 to ignore): Day of operation begining;
    • Start Hour (0 to ignore): Establishes the hour that the operations should begin after the trading session opening;
    • Start Min (0 to ignore): Establishes the minutes of the hour that the operations should begin after the trading session opening;
    • Stop Hour (0 to ignore): Establishes the hour that the operations should be closed before the trading session closing;
    • Stop Min (0 to ignore): Establishes the minutes of the hour that the operations should be closed before the trading session closing;
    • Use native SL and TP: Defines that Stop-Loss and Take-Profit are released with the order, case true, or that are made through market and limit order, case false;
    • Trade Direction: Sets whether buying or selling;
    • Period of Pivot screen: Time period of Pivot Points;
    • Continuos Series for DMA (optional): Continuous series for the Double Moving Average;
    • Period of DMA screen: Time period of the Double Moving Average;
    • Stop Loss level (in points): Distance, in points, of the stop price from the entrance price (must be a multiple of the tick size in points);
    • Take Profit level (in points): Distance, in points, of the target price from the entrance price (must be a multiple of the tick size in points);
    • Pivot Points: Select the Pivot Points to be use;
    • Pivot Replication beyond the bar: Replicate the Pivot Points for beyond the reference bar (allows operation in gaps);
    • Fast MA Period: Period of the fast moving average;
    • Fast MA Shift: Displacement of the fast moving average;
    • Slow MA Period: Period of the slow moving average;
    • Slow MA Shift: Displacement of the slow moving average;
    • DMA Mode: Calculation mode of the Double Moving Average;
    • DMA Prices series: Price series for the Double Moving Average;
    • PSAR Speed increment: Increase in PSAR rate;
    • PSAR Maximun rate: Maximum rate of PSAR;
    • Risk percentage: Fixed risk percentage.


    Bonus

    Custom optimization criterion which aims higher won percentage along with greater balance. Simply select Custom max.


    Optimization tip

    Avoid optmize the parameters: Start Month, Start Day, Start Hour, Start Min, Stop Hour, Stop Min, Trade Direction, Period of Pivot and Period of DMA. The variation of these parameters can difficult the convergence of the optimization.


    Results

    The result displayed in the images is for the initial deposit of R$ 30,000.00; leverage ratio of 1:1; time from December 2006 to November 2016; 1 minute OHLC mode — no problem because the period of operation is much longer than 1 minute; with the pre-configured values of the parameters, at a risk of 1 % per operation; for the asset BM&FBOVESPA PETR4 in M10 chart.


    Author

    Lucas Ramos is an Engineer graduated from the Universidade do Brasil.

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    Version 1.7 - 2016.12.28
    1. Added hour and minute inputs to start operations;
    2. Added option for use or not of native SL and TP. Case not, the SL will be a market order and the TP a limit order. For brokers that not have native SL and TP;
    3. Improved algorithm (better and faster optimization).
    Version 1.6 - 2016.12.20
    1. Prevent conflict if another robot is loaded in another instance in the same asset in the same hedged account;
    2. Pivot points are now printed;
    3. Improved calculation;
    4. New standard optimized values ​​for the input parameters.