Wanted: small code snippet for reinvestment

• 01/11/2018 at 1:18 PM #59043
  Vonasi

  Out of interest – what settings are you running on that SuperTrend on the 4HR chart?

  

  Vonasi

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  01/11/2018 at 1:22 PM #59044
  verdi55

  Vonasi wrote:

  Out of interest – what settings are you running on that SuperTrend on the 4HR chart?

  [1.9, 10], as the image says on the upper left. The ATR component looks 10 periods back, and the supertrend line is 1.9 * ATR away from the medianprice, roughly spoken.

  

  verdi55

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  01/11/2018 at 1:39 PM #59051
  Vonasi

  verdi55 wrote:

  [1.9, 10], as the image says on the upper left.

  Sorry should have seen that  – I think I need new glasses!

  

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  01/12/2018 at 9:16 AM #59144
  Nicolas

  You should have a look at this customized Supertrend 

  1 user thanked author for this post.

  Vonasi

  

  Nicolas

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  01/12/2018 at 1:27 PM #59179
  verdi55

  @Nicolas wrote:

  You should have a look at this customized Supertrend

  I have tried out most of these variants, but the standard supertrend with ATR usually gives best results in simple systems that trade long and short from supertrend cut to supertrend cut. This criterion is usually a good first selection.

  In addition, manual supertrends run slowly and decelerate backtests a lot.

  The only real advantage I have ever found in a customized supertrend was to leave the volatility component (ATR or STD) away entirely, and replace it by a fixed amount of points – or better a fixed fraction of current price. Sometimes, especially when you do long backtests over 10 years with DAX prices ranging  from 4.000 to 13.500, this gives better results. See the following example.

  supertrend without volatility

  ONCE direction = 1 ONCE STlongold = 0 ONCE STshortold = 1000000000000 indicator1 = medianprice indicator3 = close indicator2 = indicator3 * factor STlong = indicator1 - indicator2 STshort = indicator1 + indicator2 If direction = 1 and STlong < STlongold then STlong = STlongold endif If direction = -1 and STshort > STshortold then STshort = STshortold endif If direction = 1 and indicator3 crosses under STlong then direction = -1 endif If direction = -1 and indicator3 crosses over STshort then direction = 1 endif STlongold = STlong STshortold = STshort If direction = 1 then ST = STlong else ST = STshort endif Return ST coloured by direction as "Supertrend"

  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

  ONCE direction = 1 ONCE STlongold = 0 ONCE STshortold = 1000000000000   indicator1 = medianprice   indicator3 = close   indicator2 = indicator3 * factor   STlong = indicator1 - indicator2   STshort = indicator1 + indicator2   If direction = 1 and STlong < STlongold then STlong = STlongold endif   If direction = -1 and STshort > STshortold then STshort = STshortold endif   If direction = 1 and indicator3 crosses under STlong then direction = -1 endif   If direction = -1 and indicator3 crosses over STshort then direction = 1 endif   STlongold = STlong   STshortold = STshort   If direction = 1 then ST = STlong else ST = STshort endif   Return ST coloured by direction as "Supertrend"

  The parameter “factor” in line 9 changes the distance of the supertrend line from the last highest or lowest medianprice. It sets the distance to a fraction of the current “close” value. Try 0.005 as an initial setting, but of course it depends on the time scale and on the instrument you are looking at.

  This supertrend will not move closer to the price in sideward movements (like the normal supertrend), when volatility decreases, but will stay constant all the time, as long as price does not change.

  This version is also quite well optimized for speed.

  

  verdi55

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  01/12/2018 at 1:58 PM #59181
  Vonasi

  That is an interesting new look at SuperTrend. I wasn’t getting any colour with the way the code is written. Never seen ‘coloured as’ before? So I changed it slightly. You should maybe put it in the library for others to consider using.

  ONCE direction = 1 ONCE STlongold = 0 ONCE STshortold = 1000000000000 factor = 0.005 indicator1 = medianprice indicator3 = close indicator2 = indicator3 * factor STlong = indicator1 - indicator2 STshort = indicator1 + indicator2 If direction = 1 and STlong < STlongold then STlong = STlongold endif If direction = -1 and STshort > STshortold then STshort = STshortold endif If direction = 1 and indicator3 crosses under STlong then direction = -1 endif If direction = -1 and indicator3 crosses over STshort then direction = 1 endif STlongold = STlong STshortold = STshort If direction = 1 then ST = STlong R = 0 G = 128 else ST = STshort R = 128 G = 0 endif Return ST coloured(R,G,0) Style(Line,2) as "Supertrend"

  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

  ONCE direction = 1 ONCE STlongold = 0 ONCE STshortold = 1000000000000 factor = 0.005 indicator1 = medianprice indicator3 = close indicator2 = indicator3 * factor STlong = indicator1 - indicator2 STshort = indicator1 + indicator2 If direction = 1 and STlong < STlongold then STlong = STlongold endif If direction = -1 and STshort > STshortold then STshort = STshortold endif If direction = 1 and indicator3 crosses under STlong then direction = -1 endif If direction = -1 and indicator3 crosses over STshort then direction = 1 endif STlongold = STlong STshortold = STshort If direction = 1 then ST = STlong R = 0 G = 128 else ST = STshort R = 128 G = 0 endif Return ST coloured(R,G,0) Style(Line,2) as "Supertrend"

   

  

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  01/12/2018 at 2:11 PM #59182
  verdi55

  colour was only coded this way so you can set it yourself in the indicator box. By default, it is black.

  

  verdi55

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  01/12/2018 at 2:36 PM #59186
  verdi55

  Vonasi wrote:

  That is an interesting new look at SuperTrend. I wasn’t getting any colour with the way the code is written. Never seen ‘coloured as’ before? So I changed it slightly. You should maybe put it in the library for others to consider using.

   

  I usually prefer not to judge the optical impression of an indicator. People always show complex and nicely coloured indicators in a chart place that fits best their intentions and appears to work in this detail. In my opinion, the usefulness of an indicator can only be judged by coding a trading system that trades the signals of this indicator. So I rarely use my own indicators in charts, only in trading codes. But thanks for your colour code addition, anyway, so I do not have to look it up.

  This version of supertrend is simpler than the normal supertrend, because there is only one adaptable parameter (factor). Curve fitting is not so easy, then. It behaves more like a common trailing stop, because volatility is not used.

  

  verdi55

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  01/12/2018 at 2:41 PM #59187
  Vonasi

  verdi55 wrote:

  colour was only coded this way so you can set it yourself in the indicator box. By default, it is black.

  Thanks – wasn’t aware that you could do it like that.

  

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  01/12/2018 at 6:23 PM #59234
  JohnScher

  @vonasi

   

  Ich sehe das wir uns hier auf Deutsch unterhalten können.

  Damit wird es für mich einfacher, verständlich zu bleiben.

   

   

  Kannst du mir einen Gefallen tun, und den folgenden Code durch einen Backtest jagen und gucken ob die Ergebnisse halbwegs gleich sind?

  Ich halte das Ergebnis schlichtweg für unglaublich.

  den “Call NR7” kann ich nachreichen

  Nikolas meinete “overfitted” dazu …. aber ja, von mir aus.

   

  the only one

  // Hauptcode : H4 live cxxxx last PF flat2100 //------------------------------------------------------------------------- // Start Pathfinder-System // with define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) defparam flatafter = 210000 ONCE January1 = 3 //0 risk(3) ONCE January2 = 0 //3 ok ONCE February1 = 3 //3 ok ONCE February2 = 3 //0 risk(3) ONCE March1 = 3 //0 risk(3) ONCE March2 = 2 //3 ok ONCE April1 = 3 //3 ok ONCE April2 = 3 //3 ok ONCE May1 = 1 //0 risk(1) ONCE May2 = 1 //0 risk(1) ONCE June1 = 1 //1 ok 2 ONCE June2 = 2 //3 ok ONCE July1 = 3 //1 chance ONCE July2 = 2 //3 ok ONCE August1 = 2 //1 chance 1 ONCE August2 = 3 //3 ok ONCE September1 = 3 //0 risk(3) ONCE September2 = 0 //0 ok ONCE October1 = 3 //0 risk(3) ONCE October2 = 2 //3 ok ONCE November1 = 1 //1 ok ONCE November2 = 3 //3 ok ONCE December1 = 3 // 1 chance ONCE December2 = 2 //3 ok // set saisonal multiplier currentDayOfTheMonth = Day midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF Endif position = 2 // End Pathfinder-System //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Start Code Indicator NR7 //------------------------------------------------------------------------- // C1= Range<Range[1] and Range<Range[2] and Range<Range[3] and Range<Range[4] and Range<Range[5] and Range<Range[6] and Range<Range[7] // RETURN C1 //------------------------------------------------------------------------- // End Code IndicatorNr7 //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Start Hauptcode //------------------------------------------------------------------------- // Hauptcode : H4 Live //------------------------------------------------------------------------- //------------------------------------------------------------------------- //------------------------------------------------------------------------- //------------------------------------------------------------------------- //cx = CALL "NR7" cx1 = cci[11]<80 cx2 = cci[21]>-90 cx3 = Momentum[6](close)>0 cx4 = ADX[11] >15 // cx5 = MoneyFlow[11](close)<0 cx6 = TR(close) >25 //cx7 = PVT(close)<1 cx8 = EaseOfMovement[14]<95 cx9 = SmoothedStochastic[14,3](close)<95 cx10 = PriceOscillator[5,25](close)<0.5 cx11 = LinearRegressionSlope[10](close)>-14 cx12 = AccumDistr(close)>-0.1 cx13 = Chandle [20](close)>-51 cx14 = STD[6](close)<99 cx15 = DPO[21](close)>-50 cx16 = DPO[21](close)<50 TradingDayShort = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayofweek = 5 TradingDayLong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayofweek = 5 TradingTimeShort = time = 090000 or time = 130000 or time = 170000 TradingtimeLong = time = 090000 or Time = 130000 or time = 170000 IF TradingDayShort and TradingTimeShort Then //IF not cx Then IF cx1 and cx4 and cx8 and cx9 and cx10 and cx12 and cx14 and cx15 Then IF ExponentialAverage [1] (close) < ExponentialAverage [8] (close) THEN sellshort position*saisonalPatternMultiplier CONTRACTS AT MARKET ENDIF Endif //Endif Endif IF TradingDayLong and TradingTimeLong Then IF cx2 and cx3 and cx6 and cx11 and cx13 and cx16 Then IF ExponentialAverage [1] (close) > ExponentialAverage [8] (close) THEN buy position*saisonalPatternMultiplier CONTRACT AT MARKET ENDIF Endif Endif Set Stop %Loss 1 Set Target %profit 2

  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 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187

  // Hauptcode : H4 live cxxxx last PF flat2100 //------------------------------------------------------------------------- // Start Pathfinder-System // with define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade)   defparam flatafter = 210000   ONCE January1 = 3 //0 risk(3) ONCE January2 = 0 //3 ok ONCE February1 = 3 //3 ok ONCE February2 = 3 //0 risk(3) ONCE March1 = 3 //0 risk(3) ONCE March2 = 2 //3 ok ONCE April1 = 3 //3 ok ONCE April2 = 3 //3 ok ONCE May1 = 1 //0 risk(1) ONCE May2 = 1 //0 risk(1) ONCE June1 = 1 //1 ok 2 ONCE June2 = 2 //3 ok ONCE July1 = 3 //1 chance ONCE July2 = 2 //3 ok ONCE August1 = 2 //1 chance 1 ONCE August2 = 3 //3 ok ONCE September1 = 3 //0 risk(3) ONCE September2 = 0 //0 ok ONCE October1 = 3 //0 risk(3) ONCE October2 = 2 //3 ok ONCE November1 = 1 //1 ok ONCE November2 = 3 //3 ok ONCE December1 = 3 // 1 chance ONCE December2 = 2 //3 ok     // set saisonal multiplier currentDayOfTheMonth = Day midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF Endif   position = 2     // End Pathfinder-System //-------------------------------------------------------------------------     //------------------------------------------------------------------------- // Start Code Indicator NR7 //------------------------------------------------------------------------- // C1= Range<Range[1] and Range<Range[2] and Range<Range[3] and Range<Range[4] and Range<Range[5] and Range<Range[6] and Range<Range[7] // RETURN C1 //------------------------------------------------------------------------- // End Code IndicatorNr7 //-------------------------------------------------------------------------     //------------------------------------------------------------------------- // Start Hauptcode //------------------------------------------------------------------------- // Hauptcode : H4 Live //-------------------------------------------------------------------------     //------------------------------------------------------------------------- //------------------------------------------------------------------------- //-------------------------------------------------------------------------   //cx = CALL "NR7" cx1 = cci[11]<80 cx2 = cci[21]>-90 cx3 = Momentum[6](close)>0 cx4 = ADX[11] >15 // cx5 = MoneyFlow[11](close)<0 cx6 = TR(close) >25 //cx7 = PVT(close)<1 cx8 = EaseOfMovement[14]<95 cx9 = SmoothedStochastic[14,3](close)<95 cx10 = PriceOscillator[5,25](close)<0.5 cx11 = LinearRegressionSlope[10](close)>-14 cx12 = AccumDistr(close)>-0.1 cx13 = Chandle [20](close)>-51 cx14 = STD[6](close)<99 cx15 = DPO[21](close)>-50 cx16 = DPO[21](close)<50     TradingDayShort = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayofweek = 5 TradingDayLong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3  or  dayofweek = 4 or dayofweek = 5   TradingTimeShort = time = 090000 or time = 130000 or time = 170000 TradingtimeLong = time = 090000 or Time = 130000 or time = 170000   IF  TradingDayShort and TradingTimeShort Then //IF not cx  Then IF cx1 and cx4   and cx8 and cx9 and cx10 and cx12 and cx14  and cx15 Then IF ExponentialAverage [1] (close) < ExponentialAverage [8] (close) THEN sellshort position*saisonalPatternMultiplier CONTRACTS AT MARKET ENDIF Endif //Endif Endif     IF  TradingDayLong and TradingTimeLong Then IF cx2 and cx3  and cx6 and cx11  and cx13 and cx16 Then IF ExponentialAverage   [1] (close)  >  ExponentialAverage   [8] (close) THEN buy position*saisonalPatternMultiplier CONTRACT AT MARKET ENDIF Endif Endif         Set Stop %Loss 1 Set Target %profit 2

   

  

  JohnScher

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  01/12/2018 at 6:24 PM #59239
  JohnScher

  und das hier noch, hat oben nicht mehr reingepasst

  

  JohnScher

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  01/12/2018 at 7:22 PM #59255
  verdi55

  give me 5 points and I fit you an elephant

  give me 100 points and the elephant will look really nice

  traditional saying from experimental physics

  ohne den Code ausprobiert zu haben, natürlich

   

  

  verdi55

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  01/12/2018 at 7:27 PM #59256
  Vonasi

  Hello JohnScher. Yes speaking German is fine….. only I don’t understand a word of it…. oh and the moderators will be along any minute to tell you not to in an English speaking forum. I just use Google translate though – it is normally good for a laugh.

  I have not tested the above strategy for two reasons that are shown in the images. It just will not work in real life which is why the equity line is so perfect.

  

  Vonasi

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  01/12/2018 at 7:28 PM #59260
  JohnScher

  Gut, dann entschuldige ich mich bei dir, dass ich dich mit @vonasi falsch angesprochen habe.

  Würdest du trotzdem den Code mal durch einen Backtest jagen?

  

  JohnScher

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  01/12/2018 at 7:31 PM #59261
  JohnScher

  @vonasi

   

  That’s exactly the question that haunts me.
  How do such errors occur?

  

  JohnScher

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