Heiken Ashi Smoothed Strategy – Help Please

• 03/02/2021 at 1:39 AM #162910
  SB-FO

  I’m trying to turn the smoothed Heiken Ashi smoothed : Forum ProBuilder support – ProRealTime (prorealcode.com)  from the blog into an equity strategy, which I still need to backtest.  I think it is missing the price as I cannot get it to make a trade.  Code is below.  Happy to post backtest as a strategy once complete.

  Stuart

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATBEFORE = 093000 DEFPARAM FlatAfter = 154500 capital = 100000 + strategyprofit Equity = capital / close myCurrentProfit = STRATEGYPROFIT // t and the deviation of the mean: //t = 0 = average // Simple //t = 1 = exponentialaverage //t = 2 = weightedaverage t = 3 = wilderaverage //t = 4 = triangularaverage //t = 5 = endpointaverage //t = 6 = timeseriesaverage P = 6 P1 = 2 T1 = WeightedAverage if barindex > p + 1 then mo = average[p,t](open) mc = average[p,t](close) ml = average[p,t](low) mh = average[p,t](high) //endif once haopen=mo haclose=(mo+mc+ml+mh)/4 haopen=(haopen[1]+haclose[1])/2 endif HAopen1 = average[p1,t1](haopen) HAclose1 = average[p1,t1](haclose) // Draw indicator Graph HAopen1 COLOURED(34,139,3) AS “Heiken Smoothed Cloud Open” Graph HAclose1 COLOURED(225,0,0) AS “Heiken Smoothed Cloud Close” // Conditions to enter long positions IF NOT LongOnMarket AND HAopen1 Crosses Over HAclose1 THEN BUY Equity SHARES AT MARKET ENDIF // Conditions to exit long positions If LongOnMarket AND HAopen1 Crosses Under HAclose1 THEN SELL AT MARKET ENDIF // //Conditions to enter short positions IF NOT ShortOnMarket AND HAopen1 Crosses Under HAclose1 THEN Sellshort Equity SHARES AT MARKET ENDIF // Conditions to exit short positions IF ShortOnMarket AND HAopen1 Crosses Over HAclose1 THEN EXITSHORT AT MARKET ENDIF

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  DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATBEFORE = 093000 DEFPARAM FlatAfter = 154500 capital = 100000 + strategyprofit Equity = capital / close myCurrentProfit = STRATEGYPROFIT   // t and the deviation of the mean: //t = 0 = average // Simple //t = 1 = exponentialaverage //t = 2 = weightedaverage t = 3 = wilderaverage //t = 4 = triangularaverage //t = 5 = endpointaverage //t = 6 = timeseriesaverage   P = 6 P1 = 2 T1 = WeightedAverage   if barindex > p + 1 then mo = average[p,t](open) mc = average[p,t](close) ml = average[p,t](low) mh = average[p,t](high) //endif   once haopen=mo haclose=(mo+mc+ml+mh)/4 haopen=(haopen[1]+haclose[1])/2 endif   HAopen1 = average[p1,t1](haopen) HAclose1 = average[p1,t1](haclose)   // Draw indicator Graph HAopen1 COLOURED(34,139,3) AS “Heiken Smoothed Cloud Open” Graph HAclose1 COLOURED(225,0,0) AS “Heiken Smoothed Cloud Close”   // Conditions to enter long positions   IF NOT LongOnMarket AND HAopen1 Crosses Over HAclose1 THEN BUY Equity SHARES AT MARKET ENDIF   // Conditions to exit long positions If LongOnMarket AND HAopen1 Crosses Under HAclose1 THEN SELL AT MARKET ENDIF // //Conditions to enter short positions IF NOT ShortOnMarket AND HAopen1 Crosses Under HAclose1 THEN Sellshort Equity SHARES AT MARKET ENDIF   // Conditions to exit short positions IF ShortOnMarket AND HAopen1 Crosses Over HAclose1 THEN EXITSHORT AT MARKET ENDIF

   

  

  SB-FO

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  03/02/2021 at 8:45 AM #162917
  nonetheless

  You know that you have to rem-out lines 37, 38 (//Graph…) before launching?

  

  nonetheless

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  03/02/2021 at 9:27 AM #162924
  Nicolas

  timeframe used should be maximum 5 minutes as you are using “FlatAfter = 154500″, if you want orders to close at this precise time! 

  change the T1 variable with:

  T1 = 3

  1

  T1 = 3

  and it will work for sure.

  

  Nicolas

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  03/02/2021 at 5:29 PM #162968
  SB-FO

  Nicolas,

  First, thank you.  Second, I am probably displaying my ignorance below, but this is how we learn.

  While that works, results are not the same as the indicator when using 3, 2 seems to be closer.  I had surmised that T1 was a smoothing type and thus thought I could define the smoothing / averaging type, in this case WeightedAvergae?  Using a number might also mean it is just using a number.  How should I know which?

  Flatafter / flatbefore did not influence the graphing, but point taken.  I had understood form my reading that PRT will just sell at the defined time no matter what time frame for the strategy?  Flat before will start at the defined time and wait for the next signal after defined start time.

  Cheers, Stuart

  

  SB-FO

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  03/02/2021 at 7:06 PM #162977
  Vonasi

  Change

  t = 3 = wilderaverage

  1	t = 3 = wilderaverage

   

  to

  t = 3 //= wilderaverage

  1	t = 3 //= wilderaverage

   

  

  Vonasi

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  03/02/2021 at 8:57 PM #162981
  SB-FO

  Thank you all.  I have made the changes and yes, it works.  My questions now are:

  1.   where is any documentation that define T, thus the averaging types ?
  2.  Will PTR backtest the various types of averaging by adding as a variable T and 0-6?

  Again, thank you all for your help.   Il post backtest results once completed.

  Stuart

  

  SB-FO

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  03/02/2021 at 9:36 PM #162985
  nonetheless

  https://www.prorealcode.com/documentation/average/

  Yes you can run T as a variable, 0-6 in v10.3 or if you’re using v11 then it’s 0-8 as follows:

  0 = SMA

  1 = EMA

  2 = WMA

  3 = Wilder

  4 = Triangular

  5 = End point

  6 = Time series

  7 = Hull (PRT v11 only)

  8 = ZeroLag (PRT v11 only)

  

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  03/02/2021 at 10:10 PM #162987
  SB-FO

  Thanks Nonetheless.  I did not realized PRT knows that it would be an average without having to define it first.  I am on V 11 so I will add 7-8 to the back test.  So far, it looks good in shorter time frames.

  Cheers…

  

  SB-FO

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  03/02/2021 at 10:21 PM #162990
  nonetheless

  it knows insofar as the syntax is

  average[p,t]

  where p is the period and t is the type.

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  03/02/2021 at 10:29 PM #162992
  Vonasi

  nonetheless wrote:

  average[p,t] where p is the period and t is the type.

  ….and if no value for t is defined then it defaults to zero and returns a simple moving average.

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  nonetheless

  

  Vonasi

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  03/02/2021 at 11:33 PM #162995
  SB-FO

  Thanks for the explanation.  Now I know.

  Cheers.

  

  SB-FO

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