NAS 2m HULL-SAR trading system

• 10/25/2020 at 11:59 AM #148394
  nonetheless

  Not sure if I understand what you mean. If you want it to run with lower max loss you could reduce the max positions allowed to 2 … still profitable but gain/loss ration is worse.

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  Fab28

  

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  10/27/2020 at 8:54 AM #148623
  Fab28

  The DJ-1M-HULL-SAR strategy is active from 2:30 p.m. to 9:00 p.m. Yesterday, 2 orders were not triggered at 4.30 p.m. I think there must be a problem with the US and French times. What should I put in the strategy so that there is no problem?

  

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  10/27/2020 at 9:21 AM #148626
  nonetheless

  It runs on Wall St opening hours. Check what they are for France and use that. Normally it would be 153000 – 220000 but countries change their clocks on different dates so best to double check.

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  10/27/2020 at 6:36 PM #148707
  Fab28

  When I launch the Dj_Hull strategy in real automatic mode, it stops for the following reasoning :

  ” for the controlled risk order, neither the contingent stop nor the trailing is a stop “

  What should I do

  

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  10/27/2020 at 7:12 PM #148714
  nonetheless

  Are you using guaranteed stops? Do you have a limited risk account?

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  10/27/2020 at 7:51 PM #148719
  Fab28

  Yes. I have a limited risk account.

  When I test the DJ_HULL simulation, the maximum loss of losing positions is 60 €, over 6 months.

  If I remove the limited risk option from IG, can I lose more than € 60?

  

  Fab28

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  10/27/2020 at 9:00 PM #148725
  nonetheless

  That is something you need to discuss with IG, I’ve never had a limited risk account so not sure how they work.

  But I do have to urge caution about running this live – it’s a very short backtest and may be completely unreliable. I didn’t do any WF (out of sample) testing as I would do that in forward testing for at least a couple of months. If you do want to try it, my advice is run it with minimum position and MM turned off, just to see what happens. If it’s a winner you can always turn it on later.

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  10/28/2020 at 8:15 AM #148747
  Fab28

  I will follow your advices

  Thank you

  

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  11/10/2020 at 11:37 AM #150006
  nonetheless

  I’ve had several variations of this on forward testing for the past month and this is the clear winner.

  I reduced the max positions to 3 and re-optimized @ 75/25 so 3 months OOS. VRT looks good.

  Seems to work well with max positions up to 8 … if you have sufficient intestinal fortitude (v3b.8)

  Goes without saying that this is a very short backtest and the possibility of a curve fit is still very high.

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  11/11/2020 at 1:49 AM #150083
  josef1604

  Hello, thanks again, I am testing and I see that I get negative months and I do not get the same number of operations … I get different. Could there be a different TS configuration?

  

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  11/11/2020 at 8:35 AM #150091
  Mestor

  josef1604 wrote:

  Hello, thanks again, I'm testing and I see that I get negative months and I don't get the same amount of operations … I get different. Could there be a different TS configuration?

  check lines 35 and 36 …

  

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  11/11/2020 at 8:47 AM #150094
  robertogozzi

  @Mestor

  @josef1604

  Only post in the language of the forumthat you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.

  Respect the other people, you don’t want to take some time to translate your post and expect people to waste their time to translate what you have written.

  Thank you 🙂

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  11/11/2020 at 9:31 AM #150095
  nonetheless

  josef1604 wrote:

  I get negative months and I do not get the same number of operations

  
  @josef1604, all testing is done with MM switched off which is what I have posted. Change the Ctime setting to Euro time and MM = 0 and you should get something close to what I have shown.

  As different brokers offer different leverage, you will probably have to change the factor at line 11 if you want to use MM – try with 10 or 12

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  11/11/2020 at 2:34 PM #150127
  josef1604

  You were right, making the changes with ctime euro is very similar to yours. Thank you for your great work

  

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  11/15/2020 at 12:43 PM #150549
  LaurentBZH35

  Hello guys,

  I backtested NAS 2min HULL SAR V3b.3 and noticed results were very better in Long Only. You can find below the results.

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  nonetheless

  

  LaurentBZH35

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