NAS 2m HULL-SAR trading system

• 10/09/2020 at 10:15 PM #146941
  GraHal

  Try changing TradePrice in the TS snippets to PositionPrice (is that the correct term for the average trade price of all open positions)?

  Just an idea before bed! 🙂

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  10/10/2020 at 12:16 AM #146946
  Paul

  if you limit the number of open positions to i.e 5, an option would be maybe to have separeated individual trailing stops for tradeprice(1),tradeprice(2)  etc

  ive made in the past a ts for 2 cul. positions in some topic

  not a nice way because you get lots of code

  

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  10/10/2020 at 12:21 AM #146949
  nonetheless

  Grahal’s suggestion of using positionprice instead of tradeprice seems to make a big difference. TS should now start from the average price.

  

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  10/10/2020 at 1:38 AM #146953
  nonetheless

  Revised with correction to the TS, tames the excesses – lower profit but better win %, optimized for max pos = 6

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  10/10/2020 at 12:38 PM #146965
  nonetheless

  further revision to the TS (grazie Roberto) and re-optimized. Interestingly, there is now a sweet spot for max positions – it starts getting good at 4 and peaks at 8 (attached illustration). Above that performance falls off.

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  10/10/2020 at 1:39 PM #146975
  nonetheless

  near identical performance on the Dow (equivalent position size =.4), with the advantage of smaller min position.

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  10/12/2020 at 4:17 AM #147095
  Paul

  Hi Nonetheless,

  I took the excellent cumulative trailingstop snippet of robertogozzi and splitted it for long & short, same as vectorial. This gives another nice improvement overall.

  // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== once trailingpercentlong = 0.49 // % once trailingpercentshort = 0.28 // % once accelerator = 1 // 1 = default; always > 0 (i.e. 0.5-3) once ts2sensitivity = 0 // [0]close;[1]high/low;[2]low;high //==================== once steppercentlong = (trailingpercentlong/10)*accelerator once steppercentshort = (trailingpercentshort/10)*accelerator if onmarket then trailingstartlong = positionprice[1]*(trailingpercentlong/100) trailingstartshort = positionprice[1]*(trailingpercentshort/100) trailingsteplong = positionprice[1]*(steppercentlong/100) trailingstepshort = positionprice[1]*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=2 then ts2sensitivitylong=low ts2sensitivityshort=high else ts2sensitivitylong=close ts2sensitivityshort=close endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif

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  // %trailing stop function incl. cumulative positions once trailingstoptype = 1   if trailingstoptype then //==================== once trailingpercentlong  = 0.49 // % once trailingpercentshort = 0.28 // % once accelerator     = 1 // 1 = default; always > 0 (i.e. 0.5-3) once ts2sensitivity  = 0 // [0]close;[1]high/low;[2]low;high //==================== once steppercentlong  = (trailingpercentlong/10)*accelerator once steppercentshort = (trailingpercentshort/10)*accelerator if onmarket then trailingstartlong = positionprice[1]*(trailingpercentlong/100) trailingstartshort = positionprice[1]*(trailingpercentshort/100)   trailingsteplong = positionprice[1]*(steppercentlong/100) trailingstepshort = positionprice[1]*(steppercentshort/100) endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=2 then ts2sensitivitylong=low ts2sensitivityshort=high else ts2sensitivitylong=close ts2sensitivityshort=close endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif

   

   

   

   

   

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  10/12/2020 at 8:32 AM #147118
  Scooby

  I thought that 8 positions was a bit too big.

  I tried to optimized this parameters and the better one was 4 (and for me obviously it decrease the DD)

  Results on 200k attached

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  10/12/2020 at 8:54 AM #147122
  nonetheless

  Nice one Paul! I have also been working on long and short versions – your solution is more elegant, I just made 2 different algos.

  But I’m also trying an alteration to the entry code so that the initial position is based on the 6min turnaround, with additional positions based on the 2min. Logically I think this makes more sense – to catch the bottom/top of the 6min run rather than entering anywhere along that trend. I’m running all these versions in demo to see what works better in actual trading.

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  10/12/2020 at 9:41 AM #147130
  nonetheless

  Scooby wrote:

  I tried to optimized this parameters and the better one was 4

  yes, 4 positions is still v profitable and needs a lot less capital to get going. you should try optimising max 4 on the Dow version as you can then run it at min size .2

   

  

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  10/12/2020 at 9:50 AM #147132
  VinzentVega

  Ich I have a little bit better results with Paul´s Version with small changes.

  Ctime = time >=143000 and time <213000 BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 2.0 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 positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 2.0

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  Ctime = time >=143000 and time <213000   BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 2.0 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 positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 2.0

   

  

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  10/12/2020 at 9:57 AM #147133
  robertogozzi

  @VinzentVega

  Always use the ‘Insert PRT Code’ button when putting code in your posts to make it easier for others to read and try not to mix/use different languages.

  Thanks 🙂

   

  

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  10/12/2020 at 10:01 AM #147134
  VinzentVega

  ok, sry. 🙂

  

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  10/12/2020 at 2:50 PM #147167
  turame

  Hi,

  All of codes above don’t work for me. The message is : “do you want to restart the backtest in tick by tick mode or without”

  Anyone has an idea ?

  Thanks in advance.

  

  turame

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  10/12/2020 at 5:53 PM #147195
  Matchsolo

  Hello

  I have trust some modification SL and TP

  the code :

  // Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 5000 MaxPositionsAllowed = 100 //Money Management NAS MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = 60 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 200 // IG first tier margin limit ONCE maxpositionsize = 2000 // IG tier 2 margin limit ONCE minpositionsize = 1 // 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 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 not longonmarket and Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP pLOSS 15 SET TARGET pPROFIT 55 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 pLOSS 282 SET TARGET pPROFIT 322 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 pLOSS 68 SET TARGET pPROFIT 21 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 pLOSS 159 SET TARGET pPROFIT 411 endif 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

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  // Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 5000   MaxPositionsAllowed = 100   //Money Management NAS MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = 60 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 200 // IG first tier margin limit ONCE maxpositionsize = 2000 // IG tier 2 margin limit ONCE minpositionsize = 1 // 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   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 not longonmarket and Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP pLOSS 15 SET TARGET pPROFIT 55 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 pLOSS 282 SET TARGET pPROFIT 322 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 pLOSS 68 SET TARGET pPROFIT 21 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 pLOSS 159 SET TARGET pPROFIT 411 endif 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

   

  

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