I’ve been testing Vonasi’s 12:1 filter code recently on my strategies and think it has great potential. I’ve put together this strategy built upon this filter + Nicola’s Voss Predictive Filter code. It’s probably a massive curve fit and I haven’t done any robustness test or walk forward yet. Just wanted to share the idea to see if someone has some ideas on this. I’m surprised to see that the 12:1 filter hasn’t been used much on other strategies, it seems to have great potential. Here’s a link to the forum post: https://www.prorealcode.com/topic/121-trend-following/
Backtest was 1min DJI, here’s the itf
Hi,
As I say before this filter is “simply” the momentum indicator based on Open as you can see on the picture
Have a nice sunday