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.

Viewing 15 posts - 121 through 135 (of 344 total)

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01/23/2021 at 9:12 PM #159134

tundercut

Sorry , the strategy is NAS 2min Hull-Sar v3b.3

tundercut
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01/23/2021 at 10:50 PM #159146

cgassfr67

Hello,

I have collected all (i hope so) the modification about the NAS 2m HULL SAR strategy.

I try to make in a board where i collected all the modification about these strategy.

So we can all know what are change about the different version.

Perhaps they are some mistake. So you are welcome to change the board.

Sorry for my poor english.

i hope it will help for future optimization of this strategy

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cgassfr67
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01/24/2021 at 2:12 AM #159155

Paul

nonetheless wrote:

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?

No, but mainly because I’ve spent less time on it atm. I will keep it in mind.

Paul
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01/25/2021 at 7:33 AM #159317

tundercut

Hi guys, so no one can tell me why the strategy who I mantioned does not work with Germany 30 cash? It’s a pity because the results look interesting.

tundercut
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01/25/2021 at 8:42 AM #159320

nonetheless

tundercut wrote:

NAS 2min Hull-Sar v3b.3

That is an old version that I would not recommend. It was designed to run on US Tech 100. it might perform ok on the DAX but I wouldn’t expect it to be consistent in the future.

I am working on variations of this, but the only one I would recommend at the moment is NAS 2min Hull-Sar v5.3L (optimized and tested on v11)

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winnie37

nonetheless
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02/03/2021 at 1:48 PM #160242

Tanou

@Nonetheless, do you know why this version do not create any orders but in backtest it does?

Tanou
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02/03/2021 at 1:51 PM #160244

Ryugin

Which version @Tanou? I have both in live testing and both opened positions yesterday and today.

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02/03/2021 at 1:52 PM #160245

Tanou

The NAS 2min Hull-Sar v5.3L on the US TECH 100 Cash in 2min

Tanou
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02/03/2021 at 2:00 PM #160247

Ryugin

In my live testing NAS 2min Hull-Sar v5.3L 2min opened 3 positions yesterday (opened on Feb1st at 13273, 13274 ans 13267,8) and closed today with benefits at about 13575.

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02/03/2021 at 2:01 PM #160248

Ryugin

Sorry, not yesterday, opened on Feb 1st.

Ryugin
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02/03/2021 at 2:19 PM #160249

nonetheless

It’s working fine for me too. A minor improvement to the code is to remove ONCE from the maxpositionsallowed.

Should be:

MaxPositionsAllowed = pm*positionsize

1

MaxPositionsAllowed = pm*positionsize

otherwise when positionsize reaches a certain point it stops cumulating orders.

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winnie37

nonetheless
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02/03/2021 at 3:17 PM #160255

Tanou

I reloaded it we’ll see..! What’s pm @nonetheless?

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02/03/2021 at 3:45 PM #160258

nonetheless

sorry, that’s copied from my working version, forgot to change it

pm = 3

nonetheless
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02/04/2021 at 10:48 AM #160320

Ryugin

@nontheless have you tested NAS 2min Hull-Sar v5.3L on 1m? It seems to work properly but I have only backtested in 200k bars, could you (or someone else) backtest it in 1Million bars?

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02/04/2021 at 11:05 AM #160322

nonetheless

see above:

#154220

nonetheless
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NAS 2m HULL-SAR trading system

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