Backtest Nicolas "TrendFollowingMovingAverage"

• 06/17/2020 at 11:08 AM #136236
  MajorBasse

  Hi everyone. I got interested in Nicolas Trend Following Moving Average and decided to backtest a simple strategy based on his indicator, which can be found here: https://www.prorealcode.com/prorealtime-indicators/trend-following-moving-averages/.

  However I seem to not fully understand the code which makes it hard to make a backtest. I would simply like to buy when the entire “cloud” is green and sell when it is red. Alternatively, buy when close crosses over the “cloud” and sell when it crosses under. As it stands, the program doesn´t make any trades whatsoever. Could someone please check my code and see what I´m doing wrong?

  Nicolas Trend Follower

  // --- settings //prd = 20 //Period to Check Trend //rateinp = 1 //Trend Channel Rate % minval = 0.1, step = 0.1 //ulinreg = 1 // 1=true, Use Linear Regression //linprd = 10 //Linear Regression Period, minval = 2 //matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings DEFPARAM PRELOADBARS = 100 matype = ExponentialAverage[p](close) ulinreg = 1 rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate p = 5 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll) if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif ret = trend*diff/chan alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 else r=0 g=255 endif $prev[p] = ma p=p+5 wend if trend = 1 then buy 10 contracts at market endif if trend = -1 then sell at market endif

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  // --- settings //prd = 20 //Period to Check Trend //rateinp = 1 //Trend Channel Rate %  minval = 0.1, step = 0.1 //ulinreg = 1 // 1=true, Use Linear Regression //linprd = 10 //Linear Regression Period, minval = 2 //matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings   DEFPARAM PRELOADBARS = 100   matype = ExponentialAverage[p](close) ulinreg = 1   rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate   p = 5 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif   hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll)   if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif   ret = trend*diff/chan   alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 else r=0 g=255 endif   $prev[p] = ma p=p+5 wend   if trend = 1 then buy 10 contracts at market endif   if trend = -1 then sell at market endif

   

  

  MajorBasse

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  06/17/2020 at 11:33 AM #136239
  GraHal

  Is line 55 correct?

  prev is not used anywhere else in the strategy and what is the $ doing?

  $prev[p] = ma

  1	$prev[p] = ma

   

  

  GraHal

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  06/17/2020 at 11:50 AM #136241
  MajorBasse

  Hello GraHal. If you check the original code from Nicolas indicator you see that before line 59 there is the “drawsegment” line. Since this line is not required in Probacktest I decided to remove it. Perhaps prev[p] should be removed aswell?

  

  MajorBasse

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  06/17/2020 at 11:50 AM #136242
  GraHal

  Anyway, have you got PRT v11 as Nicolas Trend Following Moving Average only works on V11 onwards!

  

  GraHal

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  06/17/2020 at 12:01 PM #136243
  MajorBasse

  Yes I know, I am using V11 for this backtest so it shouldn´t be a problem. I´m simply wondering why it is not taking any trades?

  

  MajorBasse

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  06/17/2020 at 12:56 PM #136253
  Nicolas

  There is something wrong by the calculation in the loop. I’m investigating it and let you know if I can make it working.

  The code i’m using is this one: (for debugging purpose)

  DEFPARAM PRELOADBARS = 10000 // --- settings prd = 20 //Period to Check Trend rateinp = 1 //Trend Channel Rate % minval = 0.1, step = 0.1 ulinreg = 0 // 1=true, Use Linear Regression linprd = 10 //Linear Regression Period, minval = 2 matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings matype = ExponentialAverage[p](close) ulinreg = 1 rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate p = 5 count=0 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll) if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif if chan>0 then ret = trend*diff/chan endif alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 else r=0 g=255 endif p=p+5 count=count+1 wend if trend = 1 then buy 10 contracts at market endif //graph ret graph count graphonprice hh graphonprice ll graphonprice ma graphonprice ll+chan

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  DEFPARAM PRELOADBARS = 10000   // --- settings prd = 20 //Period to Check Trend rateinp = 1 //Trend Channel Rate %  minval = 0.1, step = 0.1 ulinreg = 0 // 1=true, Use Linear Regression linprd = 10 //Linear Regression Period, minval = 2 matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings   matype = ExponentialAverage[p](close) ulinreg = 1   rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate   p = 5 count=0 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif   hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll)   if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif   if chan>0 then ret = trend*diff/chan endif   alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 else r=0 g=255 endif   p=p+5 count=count+1 wend     if trend = 1 then buy 10 contracts at market endif     //graph ret graph count graphonprice hh graphonprice ll graphonprice ma graphonprice ll+chan

   

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  Nicolas

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  06/18/2020 at 8:23 AM #136349
  MajorBasse

  Thank you very much for taking the time to investigate @Nicolas. I hope we can find the solution!

  

  MajorBasse

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  06/18/2020 at 9:33 AM #136371
  Nicolas

  I solved the problem, you made a change in the code that result in a wrong calculation of the moving average … anyway, here is the version that buy only (but with no exit either in loss or profit, i let you manage that!).

  //DEFPARAM PRELOADBARS = 10000 defparam cumulateorders=false // --- settings prd = 20 //Period to Check Trend rateinp = 1 //Trend Channel Rate % minval = 0.1, step = 0.1 ulinreg = 0 // 1=true, Use Linear Regression linprd = 10 //Linear Regression Period, minval = 2 matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings //matype = ExponentialAverage[p](close) ulinreg = 1 rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate p = 5 count=0 green=0 red=0 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll) if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif if chan>0 then ret = trend*diff/chan endif alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 red=red+1 else r=0 g=255 green=green+1 endif p=p+5 count=count+1 wend if green=count then buy 1 contracts at market endif //graph ret //graph count //graphonprice hh //graphonprice ll //graphonprice ma //graphonprice ll+chan

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  //DEFPARAM PRELOADBARS = 10000 defparam cumulateorders=false   // --- settings prd = 20 //Period to Check Trend rateinp = 1 //Trend Channel Rate %  minval = 0.1, step = 0.1 ulinreg = 0 // 1=true, Use Linear Regression linprd = 10 //Linear Regression Period, minval = 2 matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings   //matype = ExponentialAverage[p](close) ulinreg = 1   rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate   p = 5 count=0 green=0 red=0 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif   hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll)   if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif   if chan>0 then ret = trend*diff/chan endif   alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 red=red+1 else r=0 g=255 green=green+1 endif   p=p+5 count=count+1   wend     if green=count then buy 1 contracts at market endif     //graph ret //graph count //graphonprice hh //graphonprice ll //graphonprice ma //graphonprice ll+chan

   

  

  Nicolas

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  06/18/2020 at 10:33 AM #136383
  MajorBasse

  Excellent, thank you very much for the help Nicolas!

  

  MajorBasse

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  06/18/2020 at 11:29 AM #136393
  MajorBasse

  Sorry to disturb you again @Nicolas but the system is still not working properly. I tried the “green = count” command and the entrys are almost completely wrong, it even enters trades when the average is red. So I tried writing and indicator with a simple “green crosses over red” command, and it shows exactly and properly where I want to enter (white arrows in the attached image). So I tried writing the same function into the backtest but the entrys are still the same (way to late after the green trend has started and during red periods) as shown by the blue arrows. I´ve tried a bunch of different entry criterias now and none of them seem to enter where they are supposed to, i.e where the white arrows are. Here is the most recent code I´ve tried:

  Moving Average Trend

  //DEFPARAM PRELOADBARS = 10000 DEFPARAM CUMULATEORDERS = FALSE // --- settings prd = 20 //Period to Check Trend rateinp = 1 //Trend Channel Rate % minval = 0.1, step = 0.1 ulinreg = 0 // 1=true, Use Linear Regression linprd = 10 //Linear Regression Period, minval = 2 matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings //matype = ExponentialAverage[p](close) ulinreg = 1 rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate p = 5 count=0 green=0 red=0 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll) if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif if chan>0 then ret = trend*diff/chan endif alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 red=red+1 else r=0 g=255 green=green+1 endif p=p+5 count=count+1 wend if green crosses over red then buy 10 contracts at market endif if red crosses over green then sell at market endif //graph ret //graph count //graphonprice hh //graphonprice ll //graphonprice ma //graphonprice ll+chan

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  //DEFPARAM PRELOADBARS = 10000 DEFPARAM CUMULATEORDERS = FALSE   // --- settings prd = 20 //Period to Check Trend rateinp = 1 //Trend Channel Rate %  minval = 0.1, step = 0.1 ulinreg = 0 // 1=true, Use Linear Regression linprd = 10 //Linear Regression Period, minval = 2 matype = 1 //ma type 0=sma, 1-ema, etc. // --- end of settings   //matype = ExponentialAverage[p](close) ulinreg = 1   rate = rateinp / 100 pricerange = highest[100](close) - lowest[100](close) chan = pricerange * rate   p = 5 count=0 green=0 red=0 while p<=100 do //trend masrc = average[p,matype](close) if ulinreg then ma = LinearRegression[linprd](masrc) else ma = masrc endif   hh = highest[prd](ma) ll = lowest[prd](ma) diff = abs(hh-ll)   if diff>chan then if ma>ll+chan then trend=1 elsif ma<hh-chan then trend=-1 else trend=0 endif else trend=0 endif   if chan>0 then ret = trend*diff/chan endif   alpha = min(255,(80+abs(ret*10))) if ret<0 then r=255 g=0 red=red+1 else r=0 g=255 green=green+1 endif   p=p+5 count=count+1   wend     if green crosses over red then buy 10 contracts at market endif   if red crosses over green then sell at market endif       //graph ret //graph count //graphonprice hh //graphonprice ll //graphonprice ma //graphonprice ll+chan

   

  

  MajorBasse

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  06/18/2020 at 11:35 AM #136394
  Nicolas

  graph green

  graph red

  should give you valuable informations.

  

  Nicolas

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  06/18/2020 at 4:47 PM #136484
  MajorBasse

  Yes I can see that the “graph green” and “graph red” correlates with where my system enters and exits a trade. But those graph instructions doesn´t correlate with the actual colours of the moving average at all so it still doesn´t help me any further. Seems to me like the “graph green” and “graph red” instructions display a green trend when the moving average is obviously red and vice versa?

  

  MajorBasse

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  06/19/2020 at 7:37 AM #136533
  Nicolas

  Settings of the strategy the same as the one of the indicator displayed on the chart? Linear regression use or not, period, ..

  

  Nicolas

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