ADX+EMAS Strategy – Appreciate comments!

• 10/30/2018 at 7:47 PM #83815
  CA

  Hello!

   

  I have been working on a new strategy for catching trends and I have come up with a code. What I have been doing is optimizing the code for having a specific set of parameters for each currency pair.

  So far in the BT I have gotten good results with some pairs E.G. AUD/JPY.

  After I get the best variables for the pair I improve the strategy with an optimzed trainling stop.

   

  I will just leave the code here for the AUD/JPY example. Please just let me know what you think:

  SHORT = 10 LONG = 38 PERIODOADX = 16 PERIODOSDECRUCE =20 PERIODODECRUCE2 = 50 // Longs Condition1 = ADX[PERIODOADX] CROSSES OVER PERIODOSDECRUCE Condition2 = ExponentialAverage[SHORT](Close) > ExponentialAverage[LONG](Close) AND LOW[1] > ExponentialAverage[SHORT](Close) Condition3 = ExponentialAverage[SHORT](Close) < ExponentialAverage[LONG](Close) AND HIGH[1] < ExponentialAverage[SHORT](Close) IF NOT LongOnMarket AND Condition1 AND Condition2 THEN BUY 1 CONTRACTS AT MARKET ENDIF // Exit longs If LongOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING TRAILINGn endif If LongOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES UNDER ExponentialAverage[LONG](Close)OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN SELL AT MARKET ENDIF // Shorts IF NOT ShortOnMarket AND Condition1 AND Condition3 THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF // Exit shorts IF ShortOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING TRAILINGn endif IF ShortOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES OVER ExponentialAverage[LONG](Close) OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN EXITSHORT AT MARKET ENDIF SET STOP LOSS 150// Stops

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  SHORT = 10 LONG = 38 PERIODOADX = 16 PERIODOSDECRUCE =20 PERIODODECRUCE2 = 50   // Longs   Condition1 = ADX[PERIODOADX] CROSSES OVER PERIODOSDECRUCE Condition2 = ExponentialAverage[SHORT](Close) > ExponentialAverage[LONG](Close) AND LOW[1] > ExponentialAverage[SHORT](Close) Condition3 = ExponentialAverage[SHORT](Close) < ExponentialAverage[LONG](Close) AND HIGH[1] < ExponentialAverage[SHORT](Close)   IF NOT LongOnMarket AND Condition1 AND Condition2 THEN BUY 1 CONTRACTS AT MARKET ENDIF   // Exit longs If LongOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING TRAILINGn endif     If LongOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES UNDER ExponentialAverage[LONG](Close)OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN SELL AT MARKET ENDIF   // Shorts IF NOT ShortOnMarket AND Condition1 AND Condition3 THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF   // Exit shorts IF ShortOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING TRAILINGn endif   IF ShortOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES OVER ExponentialAverage[LONG](Close) OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN EXITSHORT AT MARKET ENDIF   SET STOP LOSS 150// Stops

   

   

   

   

   

   

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  Nicolas

  

  CA

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  10/30/2018 at 10:18 PM #83826
  GraHal

  What Timeframe is above code optimised for please?

  What value are you using for  TRAILINGn ?

  Please can you post your equity curve and Performance results?

  I’ve optimised TRAILINGn on every TF from 1 Min to 1 Day (on AUD/JPY).

  

  GraHal

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  10/30/2018 at 10:21 PM #83827
  CA

  Oh right! Sorry misses that “detail” . Only for 4H. It attempt to be a swing system.

  

  CA

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  10/30/2018 at 10:27 PM #83828
  CA

  And for the rest of the questions I am replying from my phone so when I get to my pc I’ll pos the rest

  

  CA

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  10/30/2018 at 10:58 PM #83829
  CA

  So here is what you asked for GraHal.

   

  I used 4H time frame. 10000 units for optimization of the initial code (without the trailing stop – if you want I can post it too) and for the optimization of the trailing stop.

   

   

  

  CA

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  10/30/2018 at 11:26 PM #83832
  GraHal

  Something odd here? Attached is what I get! 🙂

  Am I reading that correct … you are buying 1,000 Contracts on AUDJPY??

  I’ll have to collect my thoughts as I see you show performance results for Spot AUD/JPY??

  Anybody reading this got any comments??

  

  GraHal

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  10/31/2018 at 12:28 AM #83836
  CA

  I only buy 1 contact per operation. Could you show me the code you are using. It is quite wierd!!

  

  CA

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  10/31/2018 at 6:56 AM #83839
  Leo

  Hi CA,

  What I think is that you start your journey of automatic trading like me ( or most of us)

  first: to much variables means overfitting which means the code only works  in the past but not in the future

  second: test it 100000 bars (it means at much data as possible)

  third: walk forward test, if it works in the walk forward test, then you have a nice code.

  Kind Regards

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  CA

  

  Leo

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  10/31/2018 at 9:06 AM #83842
  GraHal

  CA wrote:

  I only buy 1 contact per operation.

  So why does this say 1000 as the Lot size then (see red arrow on attached)?

  Or has sleep done me no good or even my coffee is not working this morning?? 🙂

  CA wrote:

  Could you show me the code you are using. It is quite wierd!!

  I am using testing your code with TRAILINGn at value 133 as you show in your screen shot of optimised results.

  Are you sure you have the tick by tick box selected??

  

  GraHal

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  10/31/2018 at 9:34 AM #83845
  GraHal

  We need to get to the bottom of this, I hate oddities like this, but I am driven to investigate!!!! hahahha

  This is the code / your code  I am using

   

  SHORT = 10 LONG = 38 PERIODOADX = 16 PERIODOSDECRUCE =20 PERIODODECRUCE2 = 50 // Longs Condition1 = ADX[PERIODOADX] CROSSES OVER PERIODOSDECRUCE Condition2 = ExponentialAverage[SHORT](Close) > ExponentialAverage[LONG](Close) AND LOW[1] > ExponentialAverage[SHORT](Close) Condition3 = ExponentialAverage[SHORT](Close) < ExponentialAverage[LONG](Close) AND HIGH[1] < ExponentialAverage[SHORT](Close) IF NOT LongOnMarket AND Condition1 AND Condition2 THEN BUY 1 CONTRACTS AT MARKET ENDIF // Exit longs If LongOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING 133 endif If LongOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES UNDER ExponentialAverage[LONG](Close)OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN SELL AT MARKET ENDIF // Shorts IF NOT ShortOnMarket AND Condition1 AND Condition3 THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF // Exit shorts IF ShortOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING 133 endif IF ShortOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES OVER ExponentialAverage[LONG](Close) OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN EXITSHORT AT MARKET ENDIF SET STOP LOSS 150// Stops

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53

  SHORT = 10 LONG = 38 PERIODOADX = 16 PERIODOSDECRUCE =20 PERIODODECRUCE2 = 50 // Longs Condition1 = ADX[PERIODOADX] CROSSES OVER PERIODOSDECRUCE Condition2 = ExponentialAverage[SHORT](Close) > ExponentialAverage[LONG](Close) AND LOW[1] > ExponentialAverage[SHORT](Close) Condition3 = ExponentialAverage[SHORT](Close) < ExponentialAverage[LONG](Close) AND HIGH[1] < ExponentialAverage[SHORT](Close) IF NOT LongOnMarket AND Condition1 AND Condition2 THEN BUY 1 CONTRACTS AT MARKET ENDIF // Exit longs If LongOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING 133 endif If LongOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES UNDER ExponentialAverage[LONG](Close)OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN SELL AT MARKET ENDIF // Shorts IF NOT ShortOnMarket AND Condition1 AND Condition3 THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF // Exit shorts IF ShortOnMarket AND ADX[PERIODOADX] >= PERIODODECRUCE2 then allowtrailing = 1 else allowtrailing = 0 endif if allowtrailing then SET STOP pTRAILING 133 endif IF ShortOnMarket AND (ExponentialAverage[SHORT](Close) CROSSES OVER ExponentialAverage[LONG](Close) OR ADX[PERIODOADX] < PERIODOSDECRUCE) THEN EXITSHORT AT MARKET ENDIF SET STOP LOSS 150// Stops

   

  

  GraHal

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  10/31/2018 at 9:46 AM #83846
  GraHal

  HAHAHA … I can get positive results if I backtest only over 5,000 bars!

  As Leo says I think your variables are over-optimised over too short a backtest period?

   

  

  GraHal

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  10/31/2018 at 10:02 AM #83850
  GraHal

  HAHAHAHHAHAHAHAHHAHAHAHAHAH

  It’s all my error!!!!!!!!!!!  I’m glad I am driven to investigate!!!!!!!!!!!!!

  I had my capital set at 10,000 (as always) but for this test, starting capital needs increasing by at least a factor of 10 to account for GBP to Yen exchange rate!

  I get same / similar to you now you!!!!!!!!!!

  A useful lesson learnt (for me!!!!!!!)

  Results attached over 100k bars

  Well done @CA

  (Apologies for my doubts!) 

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  CA

  

  GraHal

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  10/31/2018 at 2:03 PM #83868
  CA

  Thank you Leo. I have actually tested it in walk forward an it still work! I’ll upload late the results.

  

  CA

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  10/31/2018 at 2:08 PM #83870
  CA

  Thank you GraHal! So for you it worked! So your opinion is that (at last in theory) it is a good code? I’ll start FT next week as I am still woking out on which par it work and optimizing vales. Later I will post the inicial code from where I start optimiza tío, which, as I said to Leo, have even worked under walk forward optimization.

   

  Any way happy you get to solve what was affecting the code! 🙂

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  CA

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  10/31/2018 at 5:01 PM #83884
  Nicolas

  Be aware that SET STOP PTRAILING will certainly not act the same way in live as in backtest, due to the minimal stop level that it is used as the step of stoploss moving. You should use one of the trailing code you’ll find around in the website.

   

  

  Nicolas

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