Trend Follower Strategy

• 04/10/2022 at 1:37 PM #191526
  Kanamax

  Hi All,

  I try to use « trend follower” indicator posted by robertogozzi as a simple strategy.

  Original Indicator link : https://www.prorealcode.com/prorealtime-indicators/trend-follower/

  Strategy is based on “trend > 0” for BUY signal and “trend < 0” for SELL signal. Strategy is coded to be LONG or SHORT.

  You’ll find below the strategy, however back test result shows entry and close position don’t follow the indicator. See sceenshot also attached.

  Any idea?

  Thank you.

  I run with PRTV11

   

  Trend Follower Strategy

  // Trend Follower // // https://it.tradingview.com/script/o0ZOSVHj-Trend-Follower/ // MAtype = 1 //1=Ema TrendP = 20 //20 periods to check trend MAperiods = 20 //20 periods for MA TrendRate = 1 //1% trend channel rate UseLR = 1 //1=use Linear Regression, 0=do not use LR LRperiods = 5 //5 periods for Linear Regression RangeP = 1 //300 period for the range MAtype = max(0,min(8,MAtype)) TrendP = max(1,min(999,TrendP)) MAperiods = max(1,min(999,MAperiods)) TrendRate = max(0.00001,min(99,TrendRate)) RangeP = max(1,min(999,RangeP)) // RateMult = TrendRate / 100 PriceRange= highest[RangeP](high) - lowest[RangeP](low) MyChannel = PriceRange * RateMult MyMA = average[MAperiods,MAtype](close) IF UseLR THEN MyMA = LinearRegression[LRperiods](close) ENDIF hh = highest[TrendP](MyMA) ll = lowest[TrendP](MyMA) diff = abs(hh - ll) x = 0 IF diff > MyChannel THEN IF MyMA > (ll + MyChannel) THEN x = 1 ELSE IF MyMA < (hh - MyChannel) THEN x = -1 ENDIF ENDIF ENDIF Trend = x * diff / MyChannel IF Trend> 0 THEN r = 0 g = 255 b = 0 t = 255 IF Trend < Trend[1] THEN g = 128 t = 180 ENDIF ELSE r = 255 g = 0 b = 0 t = 255 IF Trend > Trend[1] THEN r = 139 g = 0 b = 0 t = 255 ENDIF ENDIF // "LONG" trend open if not onmarket and trend > 0 then BUY 1 CONTRACTS AT MARKET endif // "LONG" trend closed if longonmarket and trend < 0 then SELL AT MARKET ENDIF // "SHORT" trend open if not onmarket and trend < 0 then SELLSHORT 1 CONTRACTS AT MARKET endif // "SHORT" trend closed if shortonmarket and trend > 0 then EXITSHORT AT MARKET 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 70 71 72 73 74 75 76 77 78 79 80

  // Trend Follower // // https://it.tradingview.com/script/o0ZOSVHj-Trend-Follower/ // MAtype    = 1        //1=Ema TrendP    = 20       //20 periods to check trend MAperiods = 20       //20 periods for MA TrendRate = 1        //1%  trend channel rate UseLR     = 1        //1=use Linear Regression,  0=do not use LR LRperiods = 5        //5  periods for Linear Regression RangeP    = 1      //300 period for the range MAtype    = max(0,min(8,MAtype)) TrendP    = max(1,min(999,TrendP)) MAperiods = max(1,min(999,MAperiods)) TrendRate = max(0.00001,min(99,TrendRate)) RangeP    = max(1,min(999,RangeP)) // RateMult  = TrendRate / 100 PriceRange= highest[RangeP](high) - lowest[RangeP](low) MyChannel = PriceRange * RateMult MyMA      = average[MAperiods,MAtype](close) IF UseLR THEN MyMA   = LinearRegression[LRperiods](close) ENDIF hh        = highest[TrendP](MyMA) ll        = lowest[TrendP](MyMA) diff      = abs(hh - ll) x         = 0 IF diff > MyChannel THEN IF MyMA > (ll + MyChannel) THEN x   = 1 ELSE IF MyMA < (hh - MyChannel) THEN x = -1 ENDIF ENDIF ENDIF Trend = x * diff / MyChannel IF Trend> 0 THEN r = 0 g = 255 b = 0 t = 255 IF Trend < Trend[1] THEN g = 128 t = 180 ENDIF ELSE r = 255 g = 0 b = 0 t = 255 IF Trend > Trend[1] THEN r = 139 g = 0 b = 0 t = 255 ENDIF ENDIF   // "LONG" trend open if not onmarket and trend > 0 then BUY 1 CONTRACTS AT MARKET endif   // "LONG" trend closed if longonmarket and trend < 0 then SELL AT MARKET ENDIF // "SHORT" trend open if not onmarket and trend < 0 then SELLSHORT 1 CONTRACTS AT MARKET endif // "SHORT" trend closed if shortonmarket and trend > 0 then EXITSHORT AT MARKET ENDIF

   

   

  

  Kanamax

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  04/11/2022 at 9:42 AM #191556
  pableitor

  Are you sure that the indicator and system parameters have the same value?  Check RangeP

  

  pableitor

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  04/11/2022 at 10:58 PM #191602
  JS

  Hi @Kanamax,

  Pableitor is right, your system parameters (1 20 20 1 t 5 1) don’t match with your indicator parameters (1 20 20 1 f 5 300)

  

  JS

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  04/12/2022 at 8:39 AM #191626
  Kanamax

  Hi Pableitor and JS, you are right, I tested this morning with with the right ones and that works. I’ll be more careful next time.

  Thank you for your help.

   

  

  Kanamax

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