Hang seng trend following strategy with volatility filter H1 Time zone : UK

• 01/14/2019 at 11:25 AM #88469
  Francesco78

  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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  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

   

  

  Francesco78

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  01/14/2019 at 11:39 AM #88541
  Nicolas

  Hi Francesco, I always appreciate your submissions. Thank you very much. In the case of that strategy I must say that I’m a bit perplex about the overfitting of settings due to optimization. Sorry to sound a little annoying, but why don’t you optimize at least with a single OOS period, to validate the settings? Or maybe you already did it? Have a good day 😉

  

  Nicolas

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  01/14/2019 at 11:41 AM #88545
  Francesco78

  Hi Nicolas, sure I will post walk forward results ASAP.

  Warm regards

  Francesco

  

  Francesco78

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  01/14/2019 at 12:01 PM #88549
  Francesco78

  What do you think about the other 2 strategies ( dax and audcad) I do not see them pending anymore.

  Thank you

  Francesco

  

  Francesco78

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  01/14/2019 at 12:16 PM #88550
  Francesco78

  pls find attached the results

   

  

  Francesco78

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  01/14/2019 at 12:27 PM #88556
  Nicolas

  The other two strategies are also in the forum because of the same question 🙂

  You should always send a strategy with the WFA you made! This one seems good finally, do the settings in the code are the last one?

  

  Nicolas

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  01/14/2019 at 12:35 PM #88557
  Francesco78

  Ok I see, I will post WF for the other 2 as well.

  No the settings are different, In the code you see the sets optimezed for the whole period, if you prefer the code with settings as per walk forward then :

  defparam cumulateorders = false periodrsi = 7 periodatr = 10 a = 40 b = 0.1 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 150 set stop ploss 150

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  defparam cumulateorders = false   periodrsi = 7 periodatr = 10   a = 40 b = 0.1 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 150 set stop ploss 150

   

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  Alfred

  

  Francesco78

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  01/14/2019 at 6:09 PM #88593
  Francesco78

  Hi Nicolas,

  
  @Nicolas

  Any chance you will put this into the library?

  Thank you

  

  Francesco78

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  01/14/2019 at 6:57 PM #88601
  Vonasi

  Francesco78 – please try to remember to use the ‘Insert PRT Code’ button. I tidied things up for you! 🙂

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  Francesco78

  

  Vonasi

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  01/14/2019 at 7:13 PM #88603
  Francesco78

  Thank you Vonasi, sorry about that.

   

  

  Francesco78

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  01/16/2019 at 1:20 AM #88731
  BC

  Hi Francesco

   

  May I know the spread?

   

  THX

  

  BC

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  01/16/2019 at 10:47 AM #88755
  Francesco78

  Hi, you can use 10 as spread

  

  Francesco78

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  01/16/2019 at 1:45 PM #88799
  Nicolas

  Strategy is now in the library: Hang seng automatic trend following strategy with volatility filter

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  Francesco78

  

  Nicolas

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