NAS 2m HULL-SAR trading system

• 10/09/2020 at 8:49 AM #146827
  nonetheless

  This is a new 2m strategy I’ve been working on, uses Hull MA and Parabolic SAR in 3 time frames with cumulative orders. Short back test so may be a curve fit but the VRT is good.

  I think it can still be improved but I’ve run out of ideas so any suggestions are welcome, maybe a limit to the number of positions? Cumulative orders are not to everyone’s taste, and the drawdown is huge – you’d need a lot of capital to run it – but as a % of the runup it’s not that bad. Could be worth playing with…

  Ctime = time >=143000 and time <210000 TIMEFRAME(18 minutes) Period= 155 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1] ST1 = SAR[.005,.005,.02] c1a = (close > ST1) c2a = (close < ST1) TIMEFRAME(6 minutes) Periodb= 29 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c3 = HULLb > HULLb[1] c4 = HULLb < HULLb[1] ST2 = SAR[.005,.005,.02] c3a = (close > ST2) c4a = (close < ST2) TIMEFRAME(default) Periodc= 4 innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice) HULLc = weightedaverage[round(sqrt(Periodc))](innerc) c5 = HULLc > HULLc[1] and HULLc[1] < HULLc[2] c6 = HULLc < HULLc[1] and HULLc[1] > HULLc[2] ST3 = SAR[.01,.01,.005] c5a = (close > ST3) c6a = (close < ST3) // Conditions to enter long positions IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS .7 SET TARGET %PROFIT 1.7 ENDIF // Conditions to enter short positions IF Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 1.3 ENDIF //%trailing stop function trailingstop = 1 if trailingstop =1 then once trailingPercent = 0.38 once stepPercent = 0.006 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF endif

  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 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95

  Ctime = time >=143000 and time <210000   TIMEFRAME(18 minutes) Period= 155 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1]   ST1 = SAR[.005,.005,.02] c1a = (close > ST1) c2a = (close < ST1)   TIMEFRAME(6 minutes) Periodb= 29 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c3 = HULLb > HULLb[1] c4 = HULLb < HULLb[1]   ST2 = SAR[.005,.005,.02] c3a = (close > ST2) c4a = (close < ST2)   TIMEFRAME(default) Periodc= 4 innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice) HULLc = weightedaverage[round(sqrt(Periodc))](innerc) c5 = HULLc > HULLc[1] and HULLc[1] < HULLc[2] c6 = HULLc < HULLc[1] and HULLc[1] > HULLc[2]   ST3 = SAR[.01,.01,.005] c5a = (close > ST3) c6a = (close < ST3)   // Conditions to enter long positions IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS .7 SET TARGET %PROFIT 1.7 ENDIF // Conditions to enter short positions IF Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 1.3 ENDIF   //%trailing stop function trailingstop = 1 if trailingstop =1 then once trailingPercent = 0.38 once stepPercent = 0.006 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif   //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF endif

   

  Total of 11 users thanked author for this post. Here are last 10 listed.

  borderlineJim, Balmora74, Midlanddave, Kovit, Paul, GraHal, boonet, Scooby, swedshare

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  10/09/2020 at 10:30 AM #146848
  swedshare

  Excellent G/L-ratio on that amount of trades.

  1 user thanked author for this post.

  borderlineJim

  

  swedshare

  Participant

  Topics: 2

  Replies: 66

  Been thanked: 30 times
  10/09/2020 at 10:54 AM #146852
  swedshare

  I agree that the max amount of cumulative orders should be an option to avoid anxiety. For example this:

  MaxPositionsAllowed = 5 // Conditions to enter long positions IF ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and abs(CountOfPosition) < MaxPositionsAllowed THEN BUY 1 CONTRACT AT MARKET SET STOP %LOSS .7 SET TARGET %PROFIT 1.7 ENDIF // Conditions to enter short positions IF ctime and c2 and c2a AND C4 and c4a AND C6 and c6a and abs(CountOfPosition) < MaxPositionsAllowed THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 1.3 ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  MaxPositionsAllowed = 5   // Conditions to enter long positions IF ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and abs(CountOfPosition) < MaxPositionsAllowed THEN BUY 1 CONTRACT AT MARKET SET STOP %LOSS .7 SET TARGET %PROFIT 1.7 ENDIF // Conditions to enter short positions IF ctime and c2 and c2a AND C4 and c4a AND C6 and c6a and abs(CountOfPosition) < MaxPositionsAllowed THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 1.3 ENDIF

   

  1 user thanked author for this post.

  nonetheless

  

  swedshare

  Participant

  Topics: 2

  Replies: 66

  Been thanked: 30 times
  10/09/2020 at 11:32 AM #146858
  GraHal

  nonetheless wrote:

  Cumulative orders are not to everyone’s taste

  Looks good with CumulateOrders = False.

  Also positive on performance on 1m and 3m.

  Thank you very much for sharing @nonetheless

  Can’t wait for 14:30 to see how it performs on Demo Live! 🙂

  1 user thanked author for this post.

  nonetheless

  

  GraHal

  Participant

  Topics: 214

  Replies: 8825

  Been thanked: 2198 times
  10/09/2020 at 12:45 PM #146866
  Francesco

  I don’t think the VRT can be useful on that amount of trades, so be careful before going live.

  

  Francesco

  Participant

  Topics: 32

  Replies: 439

  Been thanked: 200 times
  10/09/2020 at 1:01 PM #146871
  nonetheless

  Francesco wrote:

  I don’t think the VRT can be useful on that amount of trades, so be careful before going live.

  I think you’re prob right, but with such a short back test WF wouldn’t tell us much either. It would certainly be discouraging if the VRT were bad. But all short TF systems have to be left on demo for a good few months. Work in progress…

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  10/09/2020 at 1:38 PM #146879
  nonetheless

  swedshare wrote:

  I agree that the max amount of cumulative orders should be an option to avoid anxiety.

  Thanks for that @Swedshare, defiinitely worth adding. I was hoping that the back test would show a clear optimum, but it’s really a direct correlation: more positions = more profit. But it’s worth having for the sake of peace of mind, ie how many positions you feel comfortable with. Max positions = 5 still shows ~ €25k profit in the past year.

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  10/09/2020 at 3:10 PM #146890
  Paul

  Looks nice nonetheless . Thanks for sharing!

  I always have doubts having multiple positions, the way exits are handled are a bit tricky.

  If you have xx positions and a new position is openend and a new stop loss is set, the stop loss level for the last position counts for all positions?

  That could work positive but also negative in terms of acceptable risk.

  Maybe there’s a difference, adding only to a winning position, which means the first positions stop loss is lowered and the risk is reduced.

  Same works a bit similar for the trailing stop, but what happens if using instead of trade price(1)  position price?

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  10/09/2020 at 3:54 PM #146897
  Paul

  here’s the quick change, same ts but using position price and adding to winning positions.

  Didn’t optimise stop loss &  profit targets.

  now I look about it, it using positionperf(0) below, but perhaps better is to look at the positionperf of all current trades in same direction and if that’s positive add a position.

  MaxPositionsAllowed = 9999 // Conditions to enter long positions IF not longonmarket and Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 elsif longonmarket and Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and abs(CountOfPosition) < MaxPositionsAllowed THEN if positionperf(0)*100>0 then BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 endif endif // Conditions to enter short positions IF not shortonmarket and Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 elsif shortonmarket and Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a and abs(CountOfPosition) < MaxPositionsAllowed THEN if positionperf(0)*100>0 then SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 endif endif

  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

  MaxPositionsAllowed = 9999   // Conditions to enter long positions IF not longonmarket and Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 elsif longonmarket and Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a and abs(CountOfPosition) < MaxPositionsAllowed THEN if positionperf(0)*100>0 then BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 endif endif // Conditions to enter short positions IF not shortonmarket and Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 elsif shortonmarket and Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a and abs(CountOfPosition) < MaxPositionsAllowed THEN if positionperf(0)*100>0 then SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 endif endif

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  10/09/2020 at 4:19 PM #146900
  Paul

  sorry that was not a good comparison because difference of sl/pt.

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  10/09/2020 at 4:39 PM #146905
  nonetheless

  Paul wrote:

  new position is openend and a new stop loss is set, the stop loss level for the last position counts for all positions?

  Hi Paul, from what I can see in demo, all the stops are different, measured from each entry point.

  Only adding to winning positions could be a good idea – i’ll have to play around with it. Of course, then you lose the benefit of averaging down your losing positions. The question is how much you trust the primary trend.

  I also tried adding exit conditions, when any of the indicators changed direction, but couldn’t get any improvement. There must be a better way to get out of a losing position without going all the way to the stop… maybe something like the Fibonacci exits you have in your DJ 3m Vectorial  – would that bit of code work as it is?

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  10/09/2020 at 5:46 PM #146913
  Paul

  nonetheless wrote:

  Hi Paul, from what I can see in demo, all the stops are different, measured from each entry point.

  Hi, then it’s perfect! I wasn’t sure.

  about the Fibonacci exits, yes it does add something too it, it appears. That’s nice to see, especially in another market (often it breaks down), but if it’s enough to keep it? I used hour 0 to hour 8 or 9.

  Using position price instead of trade price the results go down a bit.

   

   

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  10/09/2020 at 6:06 PM #146917
  nonetheless

  One thing I just noticed, although the stop loss is set individually for each new position, it doesn’t seem to change when the trail moves up. At the moment there are 18 open positions, most of which are up by around .6% but the stop hasn’t moved, even though the trail should go to break even at .38 %

  It’s even above the aggregate price by more than that.

  Does anyone know how a trailing stop is supposed to work with cumulative orders?

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  10/09/2020 at 9:33 PM #146936
  GraHal

  It is probably like in the Forces … follow your last Order  🙂 … so the trail works on the last Order to be executed.

  The last Order / trade didn’t reach the Trail Start level?

  

  GraHal

  Participant

  Topics: 214

  Replies: 8825

  Been thanked: 2198 times
  10/09/2020 at 9:57 PM #146940
  nonetheless

  No, it didn’t but how can it ever if new positions are always being added? It would have to go .38 % without the slightest pullback or it’ll take another trade and start a  new trail from there.

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
• Author
  Posts