Optimization of Darvas Boxes

• 12/11/2016 at 5:19 PM #18250
  Philip Raphael

  Dear community,   I’ve been trying hard to find a code, that would try to substitute the incredible results reached by http://www.prorealcode.com/prorealtime-indicators/darvas-boxes/. My code to get the best results out of it was as follows:

  DEFPARAM CumulateOrders = False indicator1 = highest[250](close[1]) IF close CROSSES OVER indicator1 then BUY 1 LOTS AT MARKET endif // Relative Strength according to Levy indicator2 = Average[125] if close CROSSES UNDER indicator2 then sell at market endif

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  DEFPARAM CumulateOrders = False   indicator1 = highest[250](close[1]) IF close CROSSES OVER indicator1 then BUY 1 LOTS AT MARKET endif   // Relative Strength according to Levy indicator2 = Average[125]   if close CROSSES UNDER indicator2 then sell at market endif

  Have you find formulas to optimize Darvas boxes that can be automatically traded on PRT?
  I appreciate your help in advance!

  Many thanks to all of you!

  Best regards,
  Philip

   

  

  Philip Raphael

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  12/13/2016 at 10:07 AM #18430
  JC_Bywan

  Hi

  Unfortunately unless I am mistaken, the darvas box code uses the DPO indicator (detrended price oscillator), and this DPO uses future data for past candlesticks. However it cannot achieve this for the most recent candlestick because using “future within historic of data” is one thing, but using “unknown future beyond present time” is another… This makes DPO (and therefore Darvas box) unsuitable for automated trading.

  There is a second DPO calculation not using future data, but it gives very different results. Somebody wanted to try it on the french PRC forums, but we never heard back from him.

   

  

  JC_Bywan

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  12/13/2016 at 1:46 PM #18452
  Philip Raphael

  I see, I see. I think the code that I inserted here works also very well, but it’s a long run strategy compared to the DPO measurement. And somehow I am unsure whether there could be improvements to provide for short-term strategies.

  

  Philip Raphael

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