Hull moving average crossover strategy

• 10/03/2022 at 8:21 PM #201868
  Bastrucco

  Hello everybody

  As an idea i have combined a simple hull moving average crossover strategy with the Bbandstop Indicator from Nicolas, the SAR and a Trailing. The strategy shows passable results on the Nasdaq Tech cash.

  Further tests, combination and optimization ideas would be appreciated.

  The indicators are included in the itf. file.

  Thank you already for further improvements

  //Risk Management PositionSize=1 // TIME RESTRICTIONS TimeOfDayCriteria = TIME >= 153000 AND TIME <= 220000 LongCondition ,ShortCondition = CALL "OMX_HllMvAgInd"[25*12,50*12] BBandCondition = CALL "PRC_BBands Stop"[20,2,1] GraphonPrice BBandCondition as "BBand" coloured (0,0,255) if showentrycondition then GRAPH LongCondition as "longcondition" coloured (0,255,0) GRAPH Shortcondition as "shortcondition" coloured (255,0,0) endif Bbandlongcondition = close > BBandCondition Bbandshortcondition = close < BBandCondition GRAPH BbandlongCondition as "longcondition" coloured (0,255,0) GRAPH -Bbandshortcondition as "shortcondition" coloured (255,0,0) DownPeriod = SAR[0.02,0.02,0.2] > CLOSE[0] UpPeriod = SAR[0.02,0.02,0.2] < CLOSE[0] If LongCondition AND UpPeriod THEN Buy PositionSize CONTRACTS AT MARKET //SET STOP PLOSS ABS(close - S1) SET STOP %LOSS 2 ENDIF IF ShortCondition AND DownPeriod THEN SELLSHORT PositionSize CONTRACTS AT MARKET SET STOP %LOSS 2 ENDIF IF Shortonmarket AND Bbandlongcondition THEN EXITSHORT AT MARKET endif IF longonmarket AND Bbandshortcondition THEN EXITSHORT AT MARKET endif activtateTrailingStop = 1 IF activtateTrailingStop THEN takeStdOverNCandles = 5*12*4// 4 Hours SigmaClose = STD[takeStdOverNCandles](CLOSE) trailingstart = SigmaClose*TrailSTA // 66% trailingstep = SigmaClose*TrailSTE //33% IF NOT ONMARKET THEN newSL=0 ENDIF IF LONGONMARKET THEN IF newSL=0 AND CLOSE-TRADEPRICE(1)>=trailingstart*PIPSIZE THEN newSL = TRADEPRICE(1)+trailingstep*PIPSIZE ENDIF // SHIFT TRAILING STOP IF newSL>0 AND CLOSE-newSL>=trailingstep*PIPSIZE THEN newSL = newSL+trailingstep*PIPSIZE ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP ENDIF ENDIF

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  //Risk Management PositionSize=1 // TIME RESTRICTIONS TimeOfDayCriteria = TIME >= 153000 AND TIME <= 220000   LongCondition ,ShortCondition = CALL "OMX_HllMvAgInd"[25*12,50*12] BBandCondition = CALL "PRC_BBands Stop"[20,2,1] GraphonPrice BBandCondition as "BBand" coloured (0,0,255) if showentrycondition then GRAPH LongCondition as "longcondition" coloured (0,255,0) GRAPH Shortcondition as "shortcondition" coloured (255,0,0) endif Bbandlongcondition = close > BBandCondition Bbandshortcondition = close < BBandCondition   GRAPH BbandlongCondition as "longcondition" coloured (0,255,0) GRAPH -Bbandshortcondition as "shortcondition" coloured (255,0,0)   DownPeriod = SAR[0.02,0.02,0.2] > CLOSE[0] UpPeriod = SAR[0.02,0.02,0.2] < CLOSE[0]   If LongCondition AND UpPeriod THEN Buy PositionSize CONTRACTS AT MARKET //SET STOP PLOSS ABS(close - S1) SET STOP %LOSS 2 ENDIF   IF ShortCondition AND DownPeriod THEN SELLSHORT PositionSize CONTRACTS AT MARKET SET STOP %LOSS 2 ENDIF   IF Shortonmarket AND Bbandlongcondition THEN EXITSHORT AT MARKET endif   IF longonmarket AND Bbandshortcondition THEN EXITSHORT AT MARKET endif   activtateTrailingStop = 1 IF activtateTrailingStop THEN takeStdOverNCandles = 5*12*4// 4 Hours SigmaClose = STD[takeStdOverNCandles](CLOSE) trailingstart = SigmaClose*TrailSTA // 66% trailingstep  = SigmaClose*TrailSTE //33%   IF NOT ONMARKET THEN newSL=0 ENDIF   IF LONGONMARKET THEN IF newSL=0 AND CLOSE-TRADEPRICE(1)>=trailingstart*PIPSIZE THEN newSL = TRADEPRICE(1)+trailingstep*PIPSIZE ENDIF // SHIFT TRAILING STOP IF newSL>0 AND CLOSE-newSL>=trailingstep*PIPSIZE THEN newSL = newSL+trailingstep*PIPSIZE ENDIF ENDIF   IF newSL>0 THEN SELL AT newSL STOP ENDIF ENDIF

  

  Bastrucco

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  10/04/2022 at 5:25 PM #201924
  JS

  IF longonmarket AND Bbandshortcondition THEN
  EXITSHORT AT MARKET ??????
  endif

  For your LONG -positions to close use:

  IF longonmarket AND Bbandshortcondition THEN
  Sell AT MARKET
  endif

  1 user thanked author for this post.

  jonpt88

  

  JS

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