NAS 3M RSIH & DMH V0.1 – John Ehlers

• 01/18/2022 at 2:57 PM #185837
  SnorreDK

  I have made an attempt at a strategy that combines John Ehlers Yet Another Improved RSI – RSIH & John Ehlers DMH – AN IMPROVED DIRECTIONAL MOVEMENT INDICATOR
  Both of these indicators are coded by Bruno Carnazzi

  What do you think. How can we make it better?

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //SnorreDK:s Stratetgy cobined of TASC DEC 2021 RSIH and DMH - Directional Movement using Hann Windowing Sll = 1.3 // Stoploss long SLs = 2 // Stoploss short //Indicator: TASC DEC 2021 RSIH // TASC JAN 2022 // RSIH - RSI with Hann Windowing // (C) 2005-2021 John F. Ehlers // Parameters // Accumulate "Closes Up" and "Closes Down" CU = 0 CD = 0 RSILength=14 for count = 1 to RSILength do if Close[count - 1] - Close[count] > 0 then CU = CU + (1 - cos(360*count / (RSILength + 1))) * (Close[count - 1] - Close[count]) endif if Close[count] - Close[count - 1]> 0 then CD = CD + (1 - cos(360*count / (RSILength + 1))) *(Close[count] - Close[count - 1]) endif next if CU + CD <> 0 then MyRSI = (CU - CD) / (CU + CD) endif c2 = (MyRSI > 0.5) c4 = (MyRSI < -0.7) //-------------------------------- // DMH - Directional Movement using Hann Windowing // (C) 2021 John F. Ehlers // Parameters Length= 14 // Vars once DMH = 0 once EMA = 0 once SF = 1 / Length if barindex > Length then UpperMove = High - High[1] LowerMove = Low[1] - Low PlusDM = 0 MinusDM = 0 If UpperMove > LowerMove and UpperMove > 0 Then PlusDM = UpperMove ElsIf LowerMove > UpperMove and LowerMove > 0 Then MinusDM = LowerMove endif EMA = SF*(PlusDM - MinusDM) + (1 - SF)* EMA[1] //Smooth Directional Movements with Hann Windowed FIR filter DMSum = 0 coef = 0 For count = 1 to Length do DMSum = DMSum + (1 - cos(360*count / (Length + 1)))*EMA[count - 1] coef = coef + (1 - cos(360*count / (Length + 1))) next If coef <> 0 Then DMH = DMSum / coef endif endif c1 = (DMH CROSSES OVER 0) c3 = (DMH CROSSES under 0) //------------------------------------ CB1 = C1 and C2 IF CB1 THEN BUY 1 CONTRACT AT MARKET SET STOP %LOSS SLl ENDIF CS1 = C3 and C4 IF CS1 THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP %LOSS SLs ENDIF MS=0 TGL=10 TGS=6 TRP=14 // TRAILINGSTOP //---------------------------------------------- atrtrail = averagetruerange[TRP]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*TGL) trailingstarts = round(atrtrail*TGS) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close exitprice = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstartl*pointsize then if maxprice-tradeprice(1)>=MS then exitprice = maxprice-trailingstartl*pointsize else exitprice = maxprice - MS*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstarts*pointsize then if tradeprice(1)-minprice>=MS then exitprice = minprice+trailingstarts*pointsize else exitprice = minprice + MS*pointsize endif endif endif if onmarket and exitprice>0 then exitshort at exitprice stop sell at exitprice stop endif

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //SnorreDK:s Stratetgy cobined of TASC DEC 2021 RSIH and DMH - Directional Movement using Hann Windowing Sll = 1.3 // Stoploss long SLs = 2 // Stoploss short     //Indicator:  TASC DEC 2021 RSIH // TASC JAN 2022 // RSIH - RSI with Hann Windowing // (C) 2005-2021 John F. Ehlers   // Parameters // Accumulate "Closes Up" and "Closes Down" CU = 0 CD = 0 RSILength=14   for count = 1 to RSILength do if Close[count - 1] - Close[count] > 0 then CU = CU + (1 - cos(360*count / (RSILength + 1))) * (Close[count - 1] - Close[count]) endif if Close[count] - Close[count - 1]> 0 then CD = CD + (1 - cos(360*count / (RSILength + 1))) *(Close[count] - Close[count - 1]) endif next   if CU + CD <> 0 then MyRSI = (CU - CD) / (CU + CD) endif   c2 = (MyRSI > 0.5) c4 = (MyRSI < -0.7)   //-------------------------------- // DMH - Directional Movement using Hann Windowing // (C) 2021 John F. Ehlers   // Parameters Length= 14   // Vars once DMH = 0 once EMA = 0   once SF = 1 / Length   if barindex > Length then UpperMove = High - High[1] LowerMove = Low[1] - Low   PlusDM = 0 MinusDM = 0 If UpperMove > LowerMove and UpperMove > 0 Then PlusDM = UpperMove ElsIf LowerMove > UpperMove and LowerMove > 0 Then MinusDM = LowerMove endif   EMA = SF*(PlusDM - MinusDM) + (1 - SF)* EMA[1]   //Smooth Directional Movements with Hann Windowed FIR filter DMSum = 0 coef = 0 For count = 1 to Length do DMSum = DMSum + (1 - cos(360*count / (Length + 1)))*EMA[count - 1] coef = coef + (1 - cos(360*count / (Length + 1))) next   If coef <> 0 Then DMH = DMSum / coef endif endif   c1 = (DMH CROSSES OVER 0) c3 = (DMH CROSSES under 0) //------------------------------------     CB1 = C1 and C2   IF CB1 THEN BUY 1 CONTRACT AT MARKET SET STOP %LOSS SLl ENDIF     CS1 = C3 and C4   IF CS1 THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP %LOSS SLs ENDIF   MS=0 TGL=10 TGS=6 TRP=14 // TRAILINGSTOP //----------------------------------------------   atrtrail = averagetruerange[TRP]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*TGL) trailingstarts = round(atrtrail*TGS)       if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close exitprice = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstartl*pointsize then if maxprice-tradeprice(1)>=MS then exitprice = maxprice-trailingstartl*pointsize else exitprice = maxprice - MS*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstarts*pointsize then if tradeprice(1)-minprice>=MS then exitprice = minprice+trailingstarts*pointsize else exitprice = minprice + MS*pointsize endif endif endif if onmarket and exitprice>0 then exitshort at exitprice stop sell at exitprice stop endif

   

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  Midlanddave, GraHal

  

  SnorreDK

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  01/18/2022 at 4:26 PM #185844
  GraHal

  Looks better on 10 min TF?

  

  GraHal

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  01/18/2022 at 5:25 PM #185854
  SnorreDK

  hmm? With same values? Not better for me. Would u like to show 1Munits  backtest

  

  SnorreDK

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  01/18/2022 at 7:02 PM #185868
  GraHal

  Ah right, I knew there must be a reason?

  I’m too old to use 1,000,000 bars … not got enough life left to wait for backtest to finish!!!! 🙂

  2 users thanked author for this post.

  lnskrlssn, PeterSt

  

  GraHal

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