NAS 2m HULL-SAR trading system

nonetheless · Fri, 09 Oct 2020 07:49:05 +0000

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

This topic has 343 replies, 42 voices, and was last updated 1 year ago by bege.

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03/22/2021 at 2:12 PM #164912

winnie37

@grahal

i don’t manage to launch it with wf…

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03/22/2021 at 3:01 PM #164913

GraHal

GraHal wrote:

Phew! that took some finding!

winnie37 … did you make the changes I detailed in the above post?

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03/22/2021 at 3:14 PM #164915

winnie37

I don’t understand how to launch it when it is ready with wf parameters. sorry, not the same backtest when i put the wf values in the code…😒

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03/22/2021 at 3:32 PM #164920

LaurentBZH35

Thanks @GraHal,

I can launch this code in pro-order.

But the curious thing is when i write the correct code line 65 with smoothD parameters, i have average results. But i keep “std” without parameters, i find good results !!!!

Does any one have idea ? Why this good result ?

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03/22/2021 at 3:46 PM #164927

GraHal

LaurentBZH35 wrote:

But i keep “std” without parameters, i find good results !!!!

It’s possible that when std is used in the code, then PRT is reading it as std[0](close).

Or maybe std[3]close as you had std set in the optimiser at 3.

Let us know you’re findings please?

EDIT

Weird though, as when I made the changes I mentioned re std / stl … I still got the good results, same as yours good results!

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CMM

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03/22/2021 at 3:53 PM #164930

GraHal

winnie37 wrote:

I don’t understand how to launch it when it is ready with wf parameters

Disable WF and enter your chosen values direct in the code or enter as fixed in the optimiser.

You cannot launch direct out of WF (to my knowledge?)

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03/22/2021 at 6:13 PM #164957

winnie37

so replace the fixed values in the code….not the same results, strange….

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03/22/2021 at 7:01 PM #164959

CMM

I had the same problem and then got it working by replacing all to fixed values except “std” which I left as is and then it worked with the same result. I do not know why. Grahal pointed that out in a earlier reply.

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03/22/2021 at 8:11 PM #164964

GraHal

Optimiser giving weird results now?

Attached is a good result .itf … with std back in (at line 65) but also accepted (no errors) by ProOrder.

CTime is optimised between Hour > 10 and Hour < 23 on attached … hence version – GHv1 – se we don’t get mixed up.

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Midlanddave

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03/22/2021 at 8:55 PM #164969

GraHal

GraHal wrote:

Let us know you’re findings please?

My findings are:

Using std in the code at Line 65 gives good / best results.

std (alone) is read by PRT the same as the default settings for std, as shown below …

65 smoothD = STD[20](close)

1	65 smoothD = STD[20](close)

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03/23/2021 at 1:31 PM #165027

OboeOpt

LaurentBZH35 wrote:

Curiously, i can’t run it in pro-order. It gives me a message who say me there is trouble line 18.

I think there is som truth to it! I have been experimenting with v5.3 on different markets and this has come up for me too, not being able to start it. Especially on short versions this has been a big issue! I would be very grateful if someone could take a look at this and find a solution because I like the algos performance. It´s a code line for MM but I have chosen MM=0?

positionsize = startpositionsize + Strategyprofit/(factor*margin)

1	positionsize = startpositionsize + Strategyprofit/(factor*margin)

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03/23/2021 at 1:58 PM #165036

OboeOpt

“Code is invalid. Please correct it.
Line 18:
Characters missing. Suggestions: end of code”

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03/23/2021 at 2:16 PM #165040

nonetheless

The MM code is fine, but you have to change the settings according to what leverage you get. To the best of my knowledge, the IG margin rate for the DJ is 5% (everywhere except Switzerland). You can check this by clicking on Info>Margin Requirements on the deal ticket. This means the MM code should look like this:

//Money Management DJ
MM = 0 // = 0 for optimization
if MM = 0 then
positionsize= 0.4
ENDIF
if MM = 1 then
ONCE startpositionsize = 0.2
ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE margin2 = (close*.05)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE tier1 = 55 // IG first tier margin limit
ONCE maxpositionsize = 550 //  IG tier 2 margin limit
ONCE minpositionsize = 0.2 // enter minimum position allowed
IF StrategyProfit <> StrategyProfit[1] THEN 
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN 
IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then
positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN 
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize //keeps positionsize from going below allowed minimum
ENDIF
IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit
ENDIF
ENDIF
ENDIF
ENDIF

//Money Management DJ

MM = 0 // = 0 for optimization

if MM = 0 then

positionsize= 0.4

ENDIF

if MM = 1 then

ONCE startpositionsize = 0.2

ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc

ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage

ONCE margin2 = (close*.05)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage

ONCE tier1 = 55 // IG first tier margin limit

ONCE maxpositionsize = 550 // IG tier 2 margin limit

ONCE minpositionsize = 0.2 // enter minimum position allowed

IF StrategyProfit <> StrategyProfit[1] THEN

positionsize = startpositionsize + Strategyprofit/(factor*margin)

ENDIF

IF StrategyProfit <> StrategyProfit[1] THEN

IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then

positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin

ENDIF

IF StrategyProfit <> StrategyProfit[1] THEN

if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN

positionsize = minpositionsize //keeps positionsize from going below allowed minimum

ENDIF

IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then

positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit

ENDIF

Once you know the margin requirement, set that decimal and leave it – it’s not a variable. The only way to adjust how fast you want the positionsize to increase/decrease is the f value (factor). This is usually somewhere between 8 and 25. Because this algo cumulates orders, the total margin is going to be 3 or 4 times higher than usual so i would keep it to at least 20.

If MM=0 then, positionsize can be anything you want. If MM=1 then startpositionsize can also be anything you want. But MM can only = 0 or 1 (not 0.5, or anything else)

Apart from all that, I have no idea why it finds a problem with line 18 ???

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OboeOpt

nonetheless

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03/23/2021 at 2:19 PM #165041

nonetheless

OboeOpt wrote:

Suggestions: end of code

that means it’s missing an ENDIF. But if you copy and paste the above code it should be fine.

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03/23/2021 at 2:27 PM #165043

OboeOpt

Thanks nonetheless!

When MM=0, does it then matter at all the settings for MM?
(I have set cumulate orders = false)

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