NAS 2m HULL-SAR trading system

• 10/18/2020 at 7:16 PM #147674
  nonetheless

  yeah, I like it – better % win, better gain/loss, lower drawdown, only slightly lower profit but probably better in the long term. Thanks Fifi! 👍

  

  nonetheless

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  10/18/2020 at 11:52 PM #147683
  Paul

  Hi Nonetheless,

  Looking at your money management code, it calculates the new positionsize when there’s no market position.

  However, if going from long to short directly & visa versa, which can happen a lot, regardless gain or loss there is no change in positionsize, so essentially there could be more gains to explore.

  Is this something which can be changed? strategyprofit is only calculated when the position is closed.

  Do you think it’s worth the effort to change this?

  

  Paul

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  10/19/2020 at 12:19 AM #147684
  Paul

  Had a try, but doesn’t make much difference overall on vectorial strategy.

  It had to be place right above the entry since it needs to know before the reversal takes place what positionsize to use. Seems to work as I tended in a glance.

  once startpositionsize = 1 once factor = 10 // 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 = 1 // enter minimum position allowed strategypp=strategyprofit+(positionperf(0)*100)*(tradeprice(1)/100) if not onmarket or ((longonmarket and condsell) or (shortonmarket and condbuy)) then positionsize = startpositionsize + strategypp/(factor*margin) endif if not onmarket or ((longonmarket and condsell) or (shortonmarket and condbuy)) then if startpositionsize + strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (strategypp/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin endif if not onmarket or ((longonmarket and condsell) or (shortonmarket and condbuy)) then if startpositionsize + strategypp/(factor*margin) < minpositionsize then positionsize = minpositionsize //keeps positionsize from going below allowed minimum endif if (((startpositionsize + (strategypp/(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

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  once startpositionsize = 1 once factor = 10           // 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 = 1   // enter minimum position allowed   strategypp=strategyprofit+(positionperf(0)*100)*(tradeprice(1)/100)   if not onmarket or ((longonmarket and condsell) or (shortonmarket and condbuy)) then positionsize = startpositionsize + strategypp/(factor*margin) endif   if not onmarket or ((longonmarket and condsell) or (shortonmarket and condbuy)) then if startpositionsize + strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (strategypp/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin endif if not onmarket or ((longonmarket and condsell) or (shortonmarket and condbuy)) then if startpositionsize + strategypp/(factor*margin) < minpositionsize then positionsize = minpositionsize //keeps positionsize from going below allowed minimum endif if (((startpositionsize + (strategypp/(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

   

  

  Paul

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  10/19/2020 at 1:02 AM #147686
  Paul

  one part needed change

  if onmarket then strategypp=strategyprofit+(abs(countofposition)*(positionperf(0)*100)*(tradeprice(1)/100)) else strategypp=strategyprofit endif

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  if onmarket then strategypp=strategyprofit+(abs(countofposition)*(positionperf(0)*100)*(tradeprice(1)/100)) else strategypp=strategyprofit endif

  Downside is, it’s not exactly a snippet anymore because it must know when conditions are met.

  it was interesting to test.

   

  

  Paul

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  10/19/2020 at 8:17 AM #147706
  nonetheless

  Thanks for that, Paul – def worth having a look at. Recently I changed it to

  //Money Management NAS MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = f // 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

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  //Money Management NAS MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = f // 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

  using IF StrategyProfit <> StrategyProfit[1]  to allow for instant reversals. Seemed to solve the problem of algos that were onmarket near to 100%, but I hadn’t thought of merging it with the entry conditions… could be worth playing around with.

  

  nonetheless

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  10/19/2020 at 2:14 PM #147755
  Paul

  I tried that too, but didn’t look close enough using graph! There’s a difference at the bar of the reversal.

  Did a side by side comparison between your approach and mine,  there’s a very small difference.

  It’s easier to use your method which had a +400 on a equity of 117500. I remember you ran into this problem somewhere. I will update it in  my strategies. Thanks.

   

  

  Paul

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  10/20/2020 at 9:56 AM #147867
  Ryugin

  Thank you all for your effor and for sharing this in the forum, it is an inspiration for people like me who are trying to start programming algos in PRT. @nonetheless or anyone, could you tell me which GTM hour is this algo using? I’ve tried it in GMT+2 and it works properly but probably another GMT time would be better to fit the parameters of the algo. Thanks in advance.

  

  Ryugin

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  10/20/2020 at 10:53 AM #147880
  nonetheless

  Hi @Ryugin, it’s set to UK time so for Spain I expect you need to change it to

  Ctime = time >=153000 and time <220000//Euro time, GMT +1

  1	Ctime = time >=153000 and time <220000//Euro time, GMT +1

  it’s just the Wall St opening hours.

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  Midlanddave

  

  nonetheless

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  10/20/2020 at 11:05 AM #147881
  nonetheless

  @Paul, did you see I added a line to your %TS

  once trailingpercentlong = tsl // % once trailingpercentshort = tss // % once accelerator = acc // 1 = default; always > 0 (i.e. 0.5-3) once accelerator2 = acc2 // 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)*accelerator2

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  once trailingpercentlong  = tsl // % once trailingpercentshort = tss // % once accelerator     = acc // 1 = default; always > 0 (i.e. 0.5-3) once accelerator2     = acc2 // 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)*accelerator2

  accelerator2 gives the option to further optimize the TS going short, usually shows a small advantage.

  

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  10/20/2020 at 11:17 AM #147883
  paisantrader

  nonetheless wrote:

  Hi @Ryugin, it’s set to UK time so for Spain I expect you need to change it to

  Ctime = time >=153000 and time <220000//Euro time, GMT +1

  1	Ctime = time >=153000 and time <220000//Euro time, GMT +1

  it’s just the Wall St opening hours.

  Just to make sure I haven’t missed something since the timezone comes up in every thread. If I set custom trading hours in PRT that matches the exchange, for Nasdaq UTC-4. I just set the regular trading hours (9:30-16:00) in the script?

  

  paisantrader

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  10/20/2020 at 11:22 AM #147886
  Paul

  yes, I did see that, nice touch! I would like to say it’s perfect now but it is not cuz I found maybe a bug.

  Using it on vectorial, I saw a big difference in results using trailing-stop sensitivity 0 or 2 and the difference was too big to explain. Especially the last trade with the big loss. When it uses the close, the trade can exit too early. Something is off there can you ‘ve a look too?

   

   

  

  Paul

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  10/20/2020 at 11:43 AM #147887
  Paul

  I’ve loaded the original one of nicolas & modifcations by robertoguzzi. That seems to work oke.

  Then I took the version from your v3 strategy, which uses % instead of points and uses default close which is off too.

  Think  I found it

  if onmarket then trailingstart = positionprice[0]*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = positionprice[0]*(stepPercent/100) //% step to move the stoploss endif

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  if onmarket then trailingstart = positionprice[0]*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = positionprice[0]*(stepPercent/100) //% step to move the stoploss endif

  It used positionprice[1] and when there’s no market position and opened a new one it went off the rails.

   

  

  Paul

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  10/20/2020 at 12:15 PM #147890
  Maik2404

  Hello everybody,

  can you provide the complete code again after all the others?
  Thanks already heard.

  

  Maik2404

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  10/21/2020 at 10:04 AM #147980
  josef1604

   

  Hello, first thanks for your work.
  I keep seeing that he makes many entries in a row without closing the first ones. For that you have to have a large capital.
  I have also tried reducing the 0.4lotti, but it keeps coming in with 1lotti.
  Can you help me please? is there something that escapes me?

  NOTE: In this test I have added the chunk of Fifi:

  Mrsi=RSI[14](close)
  if longonmarket and CurrentDayOfWeek=5 and close>positionprice and Mrsi crosses under 70 then
  sell at market
  endif
  if shortonmarket and CurrentDayOfWeek=5 and close<positionprice and Mrsi crosses over 30 then
  exitshort at market
  endif

  

  josef1604

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  10/21/2020 at 11:26 AM #147985
  swedshare

  Nasdaq has a minimum position of 1.

  

  swedshare

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