This HangSeng automatic trading strategy on the 1-hour timeframe, uses basic overbought and oversold RSI areas to open new orders and filtered with an average true range volatility filter.
Results attached are from walk forward analysis with 1 OOS period proving robustness of the optimized variables. Variables to be optimized are also described in one of the attached picture.
Discussions about the strategy are running here: Hang seng trend following strategy with volatility filter H1 Time zone : UK
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defparam cumulateorders = false periodrsi = 8 periodatr = 16 a = 30 b = 0.15 timeok = time>20000 and time<120000 oscillator = rsi[periodrsi](close) volindic = (averagetruerange[periodatr](close)/close)*100 oversold = oscillator<a and volindic>b and timeok overbought =oscillator>100-a and volindic>b and timeok if oversold then sellshort 1 contract at market endif if overbought then buy 1 contract at market endif set target pprofit 200 set stop ploss 150 |
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Hi Francisco,
I love the Hangseng for is Volatility and you right to filtering with ATR.
But in volindic you write (close)/close) It will always be =1 . mistake ? Missing [1] or something else ?
Hi, no. it means theat it calculates the average true range on the close and then divide by the close. So it is never 1.
I graphed volindic with: (averagetruerange[periodatr](close)/close)*100 and ((averagetruerange[periodatr](close))/close)*100 . Addind parenthesis doesn’t change anything, Proorder propaly read the code. In a second time, I checked you code on the Dow and it’s almost good, just have to addap the range of the WF to find the good optimisation. So, It’s a simple code but efficient, nice job and thanks for sharing
Hi Francesco,
Seems to work better with tighter stop loss and a trailing stop.
Will run this in demo. Thanks for sharing!
Hi Francesco,
Thanks for your sharing. I am not so familiar with programming, however, I tried to paste the code in Multicharts and error message popped up.
—— Compiled with error(s): ——
syntax error, unexpected ‘identificator’
line 1, column 9
Possible that I can test this code in Multicharts?
Thanks for your time. 🙂
Multicharts? why? Our website is dedicated to programming for ProRealTime: https://www.prorealtime.com
Hi Nicolas, great and thanks for letting me know. 🙂
Thanks for the strategy.
I have tried your strategy on the DAX for a time frame of 10 minutes, 150.000 bars, give a few trades, too few to say if the profits are robust over time.
I will vary and simulate the RSI- and ATR-periods for long and short trades separately. Also I will vary with the trading time, standard it is 24 hrs, maybe it fits better with trading time between 7:00 till 22:00.
Thanks again for the strategy. KR JvdW
Ciao Francesco, il Ts HANG SENG è stato settato con il metodo WalK Forward ? Ancorato o non ancorato ?
Grazie
@nicola onestamente non ricordo se lo avessi scelto anchored or ananchored.
Is this strategy standing for DAX please?
Title says that it is for Hang Seng