HULL MA strategy orders lagging

nonetheless · 2019-12-17T11:49:32+00:00

Here’s a strange thing: code specifies changing direction after a change in the Hull17. Running on the FTSE it works as expected but on the DAX there tends to be a lag, so orders happen not on the next candle but after 2 candles … much less good. Looking at the screen shot, the Hull17 turns up at 11:20 so it should close the short and open long next candle @ 13285 … but instead this happens a candle later @ 13296. Any thoughts ? Here’s the code: // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. DEFPARAM FLATBEFORE = 080000 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 163000 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Period=17 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) hull = weightedaverage[round(sqrt(Period))](inner) // Conditions to enter long positions c1 = hull > hull[1] c2 = hull < hull[1] IF c1 AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET SET STOP PLOSS 20 ENDIF // Conditions to exit long positions IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF c2 AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP PLOSS 20 ENDIF // Conditions to exit short positions IF c1 THEN EXITSHORT AT MARKET ENDIF //trailing stop function trailingstart = 20 //trailing will start @trailinstart points profit trailingstep = 12 //trailing step to move the "stoploss" //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*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

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12/18/2019 at 9:52 PM #115203 quote
Vonasi
Moderator

Master
A bottom would be:
```
if c1 and c2[1] then
```
and a top would be:
```
if c2 and c1[1] then
```
12/18/2019 at 9:54 PM #115204 quote

nonetheless
Participant

Master

This thing is, I still think like a manual trader! These first efforts were really just trying to replicate what I do in day trading and Hull18 on a 2.5m FTSE chart is actually quite reliable as a turnaround, in conjunction with other slower trend indicators.

Whether or not it’s a good strategy for ProOrder (prob not!) isn’t really the issue here.

What I’m trying to figure out is, if I have coded c1 = hull > hull[1] why am I getting c1 = hull > hull[2] ???

12/18/2019 at 10:28 PM #115206 quote

nonetheless
Participant

Master

Vonasi wrote:

A bottom would be: if c1 and c2[1] then 1 if c1 and c2[1] then and a top would be: if c2 and c1[1] then 1 if c2 and c1[1] then

Thanks Vonasi, i’ll try that.

12/19/2019 at 11:39 AM #115245 quote
Nicolas
Keymaster

Legend
No, you only need the last 3 values to detect a peak or a trough:
```
top = hull<hull[1] and hull[1]>hull[2]
bottom = hull>hull[1] and hull[1]<hull[2]
```
nonetheless thanked this post
12/19/2019 at 4:57 PM #115256 quote
Vonasi
Moderator

Master
I just adapted the original conditions in the code to achieve exactly the same as your code Nicolas. It just checks the rising or falling condition for the last two candles.
```
c1 = hull > hull[1] //rising
c2 = hull < hull[1] //falling

//bottom is rising after falling
if c1 and c2[1] then

//top is falling after rising
if c2 and c1[1] then
```
nonetheless thanked this post
12/19/2019 at 5:30 PM #115261 quote

Nicolas
Keymaster

Legend

No problem, I replied this morning without have read your most recent replies!
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