NAS 2m HULL-SAR trading system

• 12/30/2020 at 3:57 PM #155697
  nonetheless

  In the 2 weeks that I’ve been running it, the first trades were 12700, 12687, 12691 within 16 minutes between the first and last (Dec 21).

  The second entries were 12681, 12706, 12715 about 40 minutes apart (dec 24).

  Then one position opened on the 29th at 12914, still open.

  Is that what you’ve got?

  Judging from previous versions, this seems typical. If the entries were more widely spaced then either you’d be buying at a much worse price, or it’s fallen so far that the broader conditions are no longer met – in which case it may well be a losing trade and you’ll be pleased that there’s only one entry.

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  12/30/2020 at 4:58 PM #155711
  Munshun

  As I write I just started it a few days ago.

  It took 3 trades (all Long) on Dec 28 at 12828 (17:14), 12835 (17:20) and 12836 (17:28), those were all closed (with a profit) on Dec 29 at 07:55.

  Then it took 3 trades (all Long) on Dec 29 at 12914 (14:34), 12917,8 (14:42) and 12917,0 (14:52). Those were sold with a loss today at 15:38. Strange that it only took 1 trade for you, but 3 trades for me.

  At 15:38 it just immediately opened a Short after it closed the positions above.

  So you are correct. The trades are not taken immediately after eachother, they are spaced 6-10 minutes apart, or something like that. Does the behaviour seem accurate you think?

  

  Munshun

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  12/30/2020 at 5:16 PM #155714
  nonetheless

  I’m talking about

  1. NAS-2m-HULL-SAR-v5.3L.itf

  which is long only. Which algo are you running?

  Also, did you adjust the Ctime settings for Sweden?

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  12/30/2020 at 7:34 PM #155727
  Munshun

  I am running HULL-SAR v3b.3, which seems to have shorts, right? I have not changed any time-setting as I am running ProRealTime with GMT time.

  Would you advice I change to the version you link above?

   

   

  

  Munshun

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  12/30/2020 at 8:22 PM #155730
  nonetheless

  v3b.3 was developed with just a 1 year backtest, so I wouldn’t recommend.

  v5.3L is built on 6 years of data 75/25 so should be more reliable (in theory) and making it Long only improved performance dramatically. If you’re on GMT then it should be good to go with no changes.

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  12/30/2020 at 8:41 PM #155731
  Munshun

  Thanks for this! Will change!

  

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  01/19/2021 at 12:06 PM #158465
  nonetheless

  Hi @Paul, I’ve been working on an ATR TS version of this in combination with your breakeven code but I’m finding that it doesn’t want to move the stop. This is the code I’m using:

  // break even stop incl. cumulative positions once enablebe = 1 if enablebe then //==================== once besg = 0.3 //% break even stop gain once besl = 0.04 //% break even stop level (+ or -) besensitivity = 2 // [1] default [2] hl [3] lh [4]typicalprice(not use once) //==================== if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then benewsl=0 mypositionpricebe = 0 endif positioncountbe = abs(countofposition) if benewsl > 0 then if positioncountbe > positioncountbe[1] then if longonmarket then benewsl = max(benewsl,positionprice * benewsl / mypositionpricebe) else benewsl = min(benewsl,positionprice * benewsl / mypositionpricebe) endif endif endif if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high elsif besensitivity=4 then besensitivitylong=typicalprice besensitivityshort=typicalprice endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif if barindex-tradeindex>1 then if longonmarket then if benewsl>0 then sell at benewsl stop endif if benewsl>0 then if low crosses under benewsl then sell at market endif endif endif if shortonmarket then if benewsl>0 then exitshort at benewsl stop endif if benewsl>0 then if high crosses over benewsl then exitshort at market endif endif endif endif mypositionpricebe = positionprice endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69

  // break even stop incl. cumulative positions once enablebe = 1 if enablebe then //==================== once besg = 0.3 //% break even stop gain once besl = 0.04 //% break even stop level (+ or -) besensitivity = 2 // [1] default [2] hl [3] lh [4]typicalprice(not use once) //==================== if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then benewsl=0 mypositionpricebe = 0 endif positioncountbe = abs(countofposition) if benewsl > 0 then if positioncountbe > positioncountbe[1] then if longonmarket then benewsl = max(benewsl,positionprice * benewsl / mypositionpricebe) else benewsl = min(benewsl,positionprice * benewsl / mypositionpricebe) endif endif endif if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high elsif besensitivity=4 then besensitivitylong=typicalprice besensitivityshort=typicalprice endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif if barindex-tradeindex>1 then if longonmarket then if benewsl>0 then sell at benewsl stop endif if benewsl>0 then if low crosses under benewsl then sell at market endif endif endif if shortonmarket then if benewsl>0 then exitshort at benewsl stop endif if benewsl>0 then if high crosses over benewsl then exitshort at market endif endif endif endif mypositionpricebe = positionprice endif

  but if you look at the attached image, the stop should have moved when the price hit 12878.3, no?

  

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  01/19/2021 at 12:08 PM #158466
  nonetheless

  attachment

  

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  01/19/2021 at 12:35 PM #158476
  Monobrow

  Not anything to do with IG min Ts distance? They are quite high i think, like 10 points in spreadbet. Idk about CFD.

  

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  01/19/2021 at 6:13 PM #158548
  nonetheless

  No, the min distance on the NAS is only 4. This should go to b/e after about 40 points, but it went over 90 and still nothing.

  I always feel better once i know a position is all locked up and can’t lose money.

  

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  01/20/2021 at 6:17 PM #158717
  winnie37

  thanks a lot for this algo! Did you tried to adapt it on DJ?

  

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  01/21/2021 at 6:33 AM #158762
  nonetheless

  Still working on it, but doesn’t look quite as promising as the NAS.

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  01/21/2021 at 8:28 PM #158861
  Paul

  hi nonetheless  , I didn’t saw your previous post with the question regarding the breakeven. I haven’t looked into this, but it’s probably not relevant anymore now you ‘ve the code from Roberto. I’am curious how it would perform on this strategy.

  

  Paul

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  01/22/2021 at 1:46 PM #158908
  nonetheless

  Thanks Paul, I’ve been playing around with all different TS for this, and yes now Roberto’s is another option – still tinkering with that one.

  Curious about your breakeven + ATR TS, it seems to behave properly (ie positions do close as if the stop had moved) but it’s not indicated in the open positions window. Also on the IG web platform, the SL display never changes but then the position will mysteriously close, as if the stop had moved.

  Have you ever seen this?

  

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  01/23/2021 at 9:10 PM #159131
  tundercut

  Hi guys, I did a small backtest on the Dax time frame 2 minutes with excellent results even if only for a month, but the real time strategy I tested on Friday 22 January did not open any positions, while the backtest shows 2 open positions. Can anyone explain to me why and if there is an error to correct? Thanks.

  

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