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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05/15/2021 at 1:45 PM #169751

OboeOpt

robertogozzi wrote:

Try commenting out lines 150-151, then adding these lines at line 154:

-Does this mean that I should make this change also in a v5.3 that I am running?

-Also change on the short side if running that?

-Does it affect results in backtest or is it only in live trading it makes a difference?

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05/15/2021 at 2:08 PM #169752

robertogozzi

I don’t know that code!

I just read it because of the question.

The short side is not affected by those changes.

It simply adds the stop loss when it was missing, be it live or backtest.

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05/15/2021 at 2:19 PM #169753

nonetheless

I’ve had this problem too, sometimes the stops and targets don’t register. Sometimes the trail doesn’t kick in when it should. I honestly don’t know why this is because it’s code that’s tried and tested on many other algos.

For the stops, you could also try:

If LongOnMarket then
   SET STOP   %LOSS   sl
   SET TARGET %PROFIT tp
Endif

If ShortOnMarket then
   SET STOP   %LOSS   sls
   SET TARGET %PROFIT tps
Endif

If LongOnMarket then

SET STOP %LOSS sl

SET TARGET %PROFIT tp

Endif

If ShortOnMarket then

SET STOP %LOSS sls

SET TARGET %PROFIT tps

Endif

and delete all other stop and target code.

2 users thanked author for this post.

abraxas,

OboeOpt

nonetheless

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05/15/2021 at 3:01 PM #169754

robertogozzi

This will set the SL when already on market, while abraxas‘s question was why the SL was missing on entry, the very first candle.

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05/15/2021 at 3:10 PM #169755

OboeOpt

robertogozzi wrote:

The short side is not affected by those changes.

I meant if I should make the same changes for row 166 & 167 if using tradetype = 3 (short)?

..or use what nonetheless just posted?

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05/15/2021 at 3:10 PM #169756

nonetheless

Yes, I realise, but at least it should be there from the second candle, no? which is only 2 minutes

And if he wants different SL values for long and short then I can’t see how else to do it.

nonetheless

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05/15/2021 at 4:28 PM #169759

robertogozzi

The modifications I suggested don’t affect short trades.

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05/20/2021 at 12:12 PM #170035

murre87

My results of 200k units

Not impressive

murre87

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05/20/2021 at 12:43 PM #170039

VinzentVega

It looks strange. Which settings?

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05/20/2021 at 12:43 PM #170040

Sebbemax

strange just did a backtest on 200k

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05/20/2021 at 12:47 PM #170042

murre87

Pls post ur ITF

murre87

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05/20/2021 at 12:48 PM #170043

murre87

Same problem here

murre87

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05/20/2021 at 12:50 PM #170044

murre87

LaurentBZH35 wrote:

God, new problem. I have an error after 1 hour running who say error calculation in the last candle. And the 2 modes stop : with and without optimisation

Same problem here

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05/20/2021 at 12:51 PM #170045

Sebbemax

NAS-2m-HULL-SAR-v5.5-L.itf

Its the one in the attachment list i did not change anything

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05/20/2021 at 2:28 PM #170053

murre87

LaurentBZH35 wrote:

Dow-2m-HULL-SAR-v5.3-Sh.itf

Did anyone got this one working: Dow-2m-HULL-SAR-V5…?

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