Hang seng 200K bars

Viewing 15 posts - 1 through 15 (of 18 total)

1 2 →

Author

Posts
04/05/2018 at 8:31 PM #67349 quote
Francesco78
Participant

Master
Guys, I have an apparently nice strategy on Hang seng that is purely driven by time bias.

Since I am not very confident with the instrument itself, I would be extremely grateful if someone could backtest it with 200K bars and see how the OOS behave.

The code is the following
```
Defparam cumulateorders = false

golong =1
goshort = 1

timegolong  = 110000
timeexitlong  = 60000
filterdaylong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3
filterpricelong = close < (Dhigh(1)+dlow(2))/2

timegoshort = 30000
timeexitshort = 80000
filterdayshort = dayofweek = 2  or dayofweek = 4
filterpriceshort = close> (Dhigh(1)+dlow(2))/2


if goshort then

if time = timegoshort and filterpriceshort and filterdayshort   then
sellshort 1 contract at market
endif

if time = timeexitshort then
exitshort  at market
endif
endif

if golong then

if time= timegolong  and filterdaylong  and filterpricelong  then
buy 1 contract at market
endif
if time = timeexitlong then
sell  at market
endif
endif

set target pprofit 600
set stop ploss 700
```
I attach the equity curve.

Thanks a lot in advance.

Francesco

Nicolas thanked this post

hang_seng.png
04/05/2018 at 8:54 PM #67352 quote

Henrik
Participant

Veteran

Hi!

Here is 200k bars.

Regards Henrik

Francesco78 thanked this post

2018-04-05-1.png

04/05/2018 at 9:01 PM #67356 quote

Vonasi
Moderator

Master

Well ALE it looks like you have written a strategy that is a very good advert for getting PRT Premium with 200K bars!

Time based strategies are not worth pursuing in my experience but I have to admit that you’d have been very happy to have traded this one over the last 100k bars. The equity curve is beautiful!

Francesco78 thanked this post

04/05/2018 at 9:38 PM #67358 quote
Francesco78
Participant

Master
Ok thank you. How about this one on eurusd?
```
Defparam cumulateorders = false

golong =1
goshort = 1

timegolong  = 140000
timeexitlong  = 70000
filterdaylong =  dayofweek = 1 or dayofweek = 2 or dayofweek = 3
filterpricelong = close < Dhigh(1)//(Dhigh(1)+dlow(2))/2

timegoshort = 70000
timeexitshort = 140000
filterdayshort = dayofweek <>0
filterpriceshort = 1//close>Dlow(1)


if goshort then

if time = timegoshort and filterpriceshort and filterdayshort   then
sellshort 1 contract at market
endif

if time = timeexitshort then
exitshort  at market
endif
endif

if golong then

if time= timegolong  and filterdaylong  and filterpricelong  then
buy 1 contract at market
endif
if time = timeexitlong then
sell  at market
endif
endif
```
eurusd.png
04/05/2018 at 10:00 PM #67364 quote

Vonasi
Moderator

Master

Vonasi wrote:

Well ALE

Oooops – sorry Francesco78. I shouldn’t reply after a couple of glasses of wine!

04/05/2018 at 10:10 PM #67365 quote

Vonasi
Moderator

Master

Here is the 200K with no spread.

Screenshot_1-1.png

04/05/2018 at 10:18 PM #67367 quote

Vonasi
Moderator

Master

I can’t see a reason why you would need tick by tick on for that strategy so here is the result without tick by tick. First image is with no spread and second is with spread of just 1 (I had to change the start capital to 100k to get through the drawdown).

The interesting thing is that around 2005 it suddenly becomes a winning strategy. Around 2004 automated trading and HFT started to come online so that may be a link to the sudden improvement in performance?

Screenshot_2-1.png Screenshot_3-1.png

04/05/2018 at 10:30 PM #67372 quote

Vonasi
Moderator

Master

Your strategy if only used since beginning of 2005. Walk Forward 70/50 x 5.

Personally I think that the drawdown is a bit big for the gain/loss ratio but at least the right side of the equity curve is much higher than the left!

Screenshot_4-1.png

04/06/2018 at 6:50 AM #67382 quote

Nicolas
Keymaster

Master

Vonasi wrote:

I shouldn’t reply after a couple of glasses of wine!

What is the alcohol level allowed to drive a boat? 😆

04/06/2018 at 7:07 AM #67383 quote

Vonasi
Moderator

Master

Nicolas wrote:

What is the alcohol level allowed to drive a boat?

We don’t drive – we sail!

The level is unlimited – it is called the freedom of the sea – the only restriction is that you have to wait until the sun is under the yardarm. Most sailors have height adjustable yardarms to deal with this issue. Anyway at the moment I am house sitting for friends in the hills overlooking Kalamata bay so there is definitely no restrictions on intake!

04/06/2018 at 1:41 PM #67444 quote

Francesco78
Participant

Master

Vonasi wrote:

I can’t see a reason why you would need tick by tick on for that strategy so here is the result without tick by tick. First image is with no spread and second is with spread of just 1 (I had to change the start capital to 100k to get through the drawdown). The interesting thing is that around 2005 it suddenly becomes a winning strategy. Around 2004 automated trading and HFT started to come online so that may be a link to the sudden improv

without tick to tick the results are much worst? That is puzzling. I guess the more realistic one are the 1 with tick to tick.

04/06/2018 at 2:34 PM #67448 quote

Vonasi
Moderator

Master

Francesco78 wrote:

without tick to tick the results are much worst? That is puzzling

That is very puzzling as you only trade at the close of a candle/open of the next candle so tick by tick should make no difference at all.

04/06/2018 at 3:53 PM #67459 quote

Vonasi
Moderator

Master

It just occurred to me that I may be on a different time zone to you so my tests may not be the same as yours. I am trading on UTC+1 British Summertime.

04/06/2018 at 4:37 PM #67463 quote

Francesco78
Participant

Master

Vonasi wrote:

It just occurred to me that I may be on a different time zone to you so my tests may not be the same as yours. I am trading on UTC+1 British Summertime.

Yep I am in UTC + 2 any way this strategy perform quite well, 10 year OOS. Should be taken in consideration, what do you think?

04/07/2018 at 7:14 AM #67478 quote

Vonasi
Moderator

Master

Francesco78 wrote:

what do you think?

My main concern is that I don’t understand why it should work. You are basically shorting the EURUSD every day during the European session and going long during the US and Asian sessions on pull backs but only on Monday, Tuesday and Wednesday. I cannot think why that should always work. Also you have to factor in that you are holding overnight for up to three days a week so there will be overnight fees to cut into the already quite small gain/loss ratio.

I have not tested it on your time zone yet but will try to later today as I have rather a lot on this morning.

Francesco78 thanked this post
Author

Posts