NAS 2m HULL-SAR trading system
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I think the problem is with your Stoch-RSI values, esp the first one (lengthRSI = 1)
This is the lookback period for the RSI so a value of 1 doesn’t make sense – default value is 14
This is possibly giving you a div/zero problem in line 8 of the indicator: StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI)
In my own test version (that I knocked up v quickly and is not optimized), I put in a value of 4 and it hasn’t been rejected.
Unfortunately though, it seems that lengthRSI = 1 is also skewing the results.
Running a 1m bar optimization with a range of 4 – 14 in steps of 2 returns a value of 12 (leaving all other other values as they are) – see attached.
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I tested it a 18min timeframe
You likely will find that due to non-standard TF (18min does not divide into 1 hour) that the Live performance is very different from backtested performance.
I hope it isn’t … let us know please.
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can you explain me why
There was a member on here who persisted on running on 28 seconds (non-standard TF) and a few of us had big discussions and tests and in the end he gave up on the 28 sec TF. If you can find the Topic all the reasons why are discussed.
In essence it is because a non-standard TF runs out of sync with standard and even with itself relative to, for example, 1 hour, so on 18 min TF … 18 min past the hour, 36, 54, 12 min past the hour, 30, 48, 6 min past the hour etc etc.
Maybe the out-of-sync in your strategy works well?
I’m all for trying any maverick ideas, so let us know if the performance in Live is acceptable compared to your optimised backtest performance?
EDIT
You mentioned 12 min TF, this may perform better (?) as every hour it is back in sync with the 1 hour and itself … 12 past the hour, 24, 36, 48, 60 so next is 12 past the hour again.
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You mentioned 12 min TF, this may perform better
The 12m works fine, fairly consistent results between backtest and live. I think an 18m TF might be problematic if it were the entry level (assuming that big institutional traders are more likely to be working on 1h). But in this case the entry is at the 6m level – also non-standard but at least it hits the hour mark. The 18m is just a general trend filter, so should matter less ???
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