Thread: ENTRY/EXIT - FX Seasonality Coding Example

Years of forex market data shows that currencies will most likely set their highs and lows for the week at the beginning and end of the trading week. Intuitively this makes sense: if a currency is in a fairly consistent uptrend, its low on Monday will likely hold through Friday and the opposite should also be true. Furthermore, major European and North American currencies will also tend to see larger price moves towards the end of the week.

Of course this is all very interesting, but the first question that immediately comes to mind should be obvious: how do we use this in our trading?

Using FXCM’s Strategy Trader software, we will code a strategy based on intra-week seasonality and apply it to a number of different currency pairs.

The .zip attachment below contains an .fxd source code file and an .fxw workspace to use the following example seasonality strategy:

Entry Rule: On Tuesday, set a Buy Stop entry order at Monday’s high, a Sell Stop entry order at Monday’s low. We will maintain these Buy and Sell Stop entry orders throughout the week unless we have already gone long or short the pair, respectively.

Stop Loss: The opposite stop entry order will take us out of a given position and set a trade in the opposite direction. This will be the case unless there was already an order triggered in the other direction through the previous week of trade. In other words, if the strategy goes long at Monday’s high but subsequently flips direction at Monday’s low, there will be no stop order in place on the ensuing short position.

Take Profit: None

Exit Rule: Close as near to Friday’s closing price as possible.


View the full article on DailyFX.com here: Forex @ DailyFX - Forex Strategy Corner: Using Seasonality Strategies in Your Trading

I've edited the code and the workspace so that the strategy now uses a 15min time series and 1-day chart for the weekday signals. Backtesting on a 15-min chart makes the results somewhat more accurate, though backtesting is never a good substitute for live testing.

There are now four inputs on the strategy.

Profit target: In individual currency terms. e.g. an input of .0150 for the EURUSD would translate to a 150 pip profit target on individual positions. If set to "0", there is no profit target used.

Stop Loss: Same mechanics as Profit Target. If set to "0", no stop loss is used. Given that this strategy has no stop loss by default, this much is highly recommended.

FridayHour: The hour of day on Friday that this will close the position.

FridayMinute: The minute of said hour on Friday that this will close the position.

e.g. a FridayHour of 16 and FridayMinute of 25 would make the strategy close its open position at 16:25 on Friday.

I really like your coding examples and they are helping me out with my own understanding of how to code.

I have plenty of experience in MT4 and EasyLanguage but trying to get to grips with this new platform.

In your code you use

Code:

			btc_market  = 
				OrdersFactory.CreateMarketThisBar(new OrdersCreateParams(Lots.Variable, "FridayCloseBuy", OrderAction.BuyToCover));

Code:

			if(MarketPosition != 0){ //If strategy currently holds a long or short position
					if(stopLoss>0) GenerateStopLoss(stopLoss); //if stopLoss input is used (not zero), set stop
					if(profitTarget>0) GenerateProfitTarget(profitTarget); //if profitTarget input used (not zero), set target
			}

I really like this style of coding but have not found any reference in the help pages to GenerateStopLoss. Presumably there are more of these functions in OrdersFactory but where is the documentation on this?

Many thanks.

Originally Posted by Wilko042

I really like your coding examples and they are helping me out with my own understanding of how to code.

I have plenty of experience in MT4 and EasyLanguage but trying to get to grips with this new platform.

In your code you use

Code:

			btc_market  = 
				OrdersFactory.CreateMarketThisBar(new OrdersCreateParams(Lots.Variable, "FridayCloseBuy", OrderAction.BuyToCover));

Code:

			if(MarketPosition != 0){ //If strategy currently holds a long or short position
					if(stopLoss>0) GenerateStopLoss(stopLoss); //if stopLoss input is used (not zero), set stop
					if(profitTarget>0) GenerateProfitTarget(profitTarget); //if profitTarget input used (not zero), set target
			}

I really like this style of coding but have not found any reference in the help pages to GenerateStopLoss. Presumably there are more of these functions in OrdersFactory but where is the documentation on this?

Many thanks.

Hi Wilco, sorry for the super-late response.

The documentation is a bit lacking at the moment. I've moved away from using the GenerateStopLoss and GenerateProfitTarget for that reason in subsequent articles and used iPriceOrders instead.

Bumping this thread because I've made some changes to the strategy.

Hi, when I put the advisor into the strategy trader, it tells me the data is miss, please reload data 2.

Originally Posted by jedi11

Hi, when I put the advisor into the strategy trader, it tells me the data is miss, please reload data 2.

This error means that you are missing a data stream on the chart. Right click on the chart and select "Insert Symbol". From there you can add another price stream to the same chart window.

Originally Posted by jedi11

Hi, when I put the advisor into the strategy trader, it tells me the data is miss, please reload data 2.

Gaurav is right. Open the sample workspace included in the above zip file and you will see the format necessary to run this strategy. (i.e. 15min chart with Data2 set as a 1-day chart of the same symbol)

There are some problems I have come across when using this stEA.

1. I need to set the inputs at 1:3 risk reward ratio profit 150 stoploss 50 which are not as set on the attachment. currently profit 0.5 stop 0.4, how should the inputs be set.
2. I currently have the inputs set at profit 78 stoploss 38 and they are not triggering.
3. When running with "trading station" on an open position i am not seeing any information in the stop or limit window
4. I have the inputs set to close positions fridays at 16:55 on trading station this morning they are still open, the EA should have closed them.

Originally Posted by FXTrader33

There are some problems I have come across when using this stEA.

1. I need to set the inputs at 1:3 risk reward ratio profit 150 stoploss 50 which are not as set on the attachment. currently profit 0.5 stop 0.4, how should the inputs be set.
2. I currently have the inputs set at profit 78 stoploss 38 and they are not triggering.
3. When running with "trading station" on an open position i am not seeing any information in the stop or limit window
4. I have the inputs set to close positions fridays at 16:55 on trading station this morning they are still open, the EA should have closed them.

I am a begginer with this platform i could try to help you, let me knoe if you need my help