Unable to back test RSI and Hull average strategy

bearbull · Thu, 21 May 2020 10:25:42 +0000

Hi, I am trying to automate a possible system I use manually and unable to back test it?…….this is a first for me. It doesn’t want to back test irrespective of the dates I insert? It uses, standard RSI indicator, 15 and 30 Hull moving averages all with 5000 tick time frame. I have attached a file of the possible system – what am I doing wrong? It sounds simple in theory but not working – I’ve obviously missed something? Sorry I’m not a programmer Basically, for a LONG – RSI to reach 29 or less, then confirmation of long to be 15 Hull crossing above 30 Hull……….Trade closing to be – RSI to reach 71 or more and 15 Hull crossing below 30 Hull to close the trade, that’s it !! Basically, for a SHORT – RSI to reach 71 or more, then confirmation of short to be 15 Hull crossing under 30 Hull……….Trade closing to be – RSI to reach 29 or less and 15 Hull crossing above 30 Hull to close the trade, that’s it !! Ideally, when in long mode, until it reaches closing ie. the RSI to reach 71 or more and close of 15 Hull crossing below 30 Hull, I would like it to buy any subsequent 15 Hull crossing above 30 Hull on the way up adding to the original position…….same for short mode……… Any help greatly appreciated. Mike

This topic has 53 replies, 5 voices, and was last updated 3 years ago by bearbull.

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05/22/2020 at 5:33 PM #132881

GraHal

Also the logic behind the 3 min TF is that hopefully any trade is going the ‘right way’ before the 5 min candle closes and all the Institutions Algos are triggered by the 5 min candle … so we jump on the wave before them them and ride it out!!?? 🙂

Then same gig on the exit … we jump off the wave before the big boys are triggered again!!

Sounds good don’t it!!!! HAHAHHA

What’s the gig behind the 5000 ticks? What does 5000 ticks average out at clockwise on the DJI for example?

GraHal

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05/22/2020 at 5:55 PM #132886

bearbull

5000 ticks are around 1hr 15/20mins.

I had a quick fettle with the RSI, set that to 70/30 and pulled the time down to 1min and extracted another £1000, so in your same dates it returned £4700 or so…………..Ill play with settings some more, shame I can only go back 100000 units worth.

I use the ProTrend through IG. Unfortunately they don’t do the mobile app, have to use their rubbish one when mobile.

Anyway….weekend beckons and thanks again GraHal for your help.

Ill let you know how I get on with adjusting settings

bearbull

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05/29/2020 at 4:23 PM #133796

bearbull

Hi Guys,

I have a couple of questions……..

Does Protrend have to be on and running when using a live auto strategy? i.e. can I turn computer off and go to bed whilst its running?
I can manage to go back-testing my strategy to around August 2019 in a 3 minute time frame. I cannot go back further than this………I am not back testing from present time to back then, but I am meticulously back-testing each and every month individually………………….working my way back. Have I missed something?

Thanks Mike

bearbull

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05/29/2020 at 4:29 PM #133797

GraHal

bearbull wrote:

Does Protrend have to be on and running when using a live auto strategy? i.e. can I turn computer off and go to bed whilst its running?

Best call it PRT then we know what you are talking about! 🙂

Yes you can sleep while Auto-Trading! 🙂 PRT and your PC can be turned off.

bearbull wrote:

I am meticulously back-testing each and every month individually………………….working my way back. Have I missed something?

You could backtest / optimise for 5 months in one go using the Walk Forward Tool?

GraHal

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05/30/2020 at 9:31 AM #133843

bearbull

GraHal

Is that in any time frame? As explained before I could only go back to last August in 3 minute time frame, thats it.

Where do I find the Walk Forward Tool as you suggest? Would using the tool mean I could go back years in 5 month increments at 3 minute time frame candles?

Thanks

bearbull

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05/30/2020 at 10:08 AM #133847

GraHal

bearbull wrote:

Would using the tool mean I could go back years in 5 month increments at 3 minute time frame candles?

But you could set up to WF over 5 months in 1 month chunks all in one go?

Easier than as you said you were doing 1 month x 5 separately?

Anyway here is all about WF

https://www.prorealtime.com/nl/pdf/probacktest.pdf

GraHal

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05/31/2020 at 8:51 AM #133936

bearbull

Grahal

Thank you for the link and helpful information.

So in a nut shell i can only go back a far as I currently have using the 3 min time frame i.e. to August 2019 and no further back.

My concern is that you cannot test a system fully with restricted historical data of 9 months (in my case @ 3min increments).

This would not put you through all market conditions i think?

Thanks any way for the help.

………………………………………I’m learning albeit very slowly LOL

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GraHal

bearbull

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05/31/2020 at 9:38 AM #133940

bearbull

One last problem………………..probably really simple but I cant find where……..

I have set my time parameters to 24/7 how can adjust these to say….8-4pm Monday to Friday – i.e. markets hours for the FTSE?

bearbull

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05/31/2020 at 9:44 AM #133941

bearbull

I can only adjust the trading hours in ‘simplified creation’ and not in ‘creation by programming’ ?

bearbull

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05/31/2020 at 10:33 AM #133943

GraHal

Have you done it as below …

Time > 080000 and Time < 160000

1	Time > 080000 and Time < 160000

Flatbefore 080000
Flatafter 160000

1 2	Flatbefore 080000 Flatafter 160000

OR you can even use …

Hour > 8 and Hour < 16

1	Hour > 8 and Hour < 16

GraHal

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06/06/2020 at 7:14 PM #134912

bearbull

GraHal

Thanks for getting back. I have tried all of those you suggested as per below ending with your last suggestion but it still tells me there is a syntax error?

// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Enter Long
C1 = CLOSE
C2 = OPEN
C3 = CLOSE>OPEN

IF C1 AND C2 AND C3 THEN
BUY 1 PERPOINT AT MARKET
ENDIF

// Stops and targets
SET STOP pTRAILING 4

// Daily timeframe
Hour > 8 and Hour < 16

// Definition of code parameters

DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Enter Long

C1 = CLOSE

C2 = OPEN

C3 = CLOSE>OPEN

IF C1 AND C2 AND C3 THEN

BUY 1 PERPOINT AT MARKET

ENDIF

// Stops and targets

SET STOP pTRAILING 4

// Daily timeframe

Hour > 8 and Hour < 16

bearbull

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06/06/2020 at 7:56 PM #134921

GraHal

You’d need to use Hour like below …

TradeTime = Hour > 8 and Hour < 16

If BuyCondition and TradeTime Then
Buy at Market
Endif

TradeTime = Hour > 8 and Hour < 16

If BuyCondition and TradeTime Then

Buy at Market

Endif

GraHal

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06/06/2020 at 8:01 PM #134922

GraHal

What are you trying to do with below?

I may be missing something, but I read below as …

If Close = Open and Close > Open Then … which of course will never occur??

On reflection, maybe the code is read as … if Open and Close … which of course you always have in every bar?? 🙂

c1 = Close

C2 = Open

Achieves nothing?? 🙂

C1 = CLOSE
C2 = OPEN
C3 = CLOSE>OPEN
 
IF C1 AND C2 AND C3 THEN
BUY 1 PERPOINT AT MARKET
ENDIF

C1 = CLOSE

C2 = OPEN

C3 = CLOSE>OPEN

IF C1 AND C2 AND C3 THEN

BUY 1 PERPOINT AT MARKET

ENDIF

GraHal

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06/06/2020 at 8:19 PM #134923

bearbull

GraHal

I am getting a syntax error ” This variable is not used in the code:tradetime”

bearbull

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06/06/2020 at 8:23 PM #134924

bearbull

GraHal wrote:

What are you trying to do with below?

I may be missing something, but I read below as …

If Close = Open and Close > Open Then … which of course will never occur??

C1 = CLOSE C2 = OPEN C3 = CLOSE>OPEN IF C1 AND C2 AND C3 THEN BUY 1 PERPOINT AT MARKET ENDIF

1

2

3

4

5

6

7

C1 = CLOSE

C2 = OPEN

C3 = CLOSE>OPEN

IF C1 AND C2 AND C3 THEN

BUY 1 PERPOINT AT MARKET

ENDIF

…..all I am stating is that if the close is greater than the open then go long………….after defining what close is and what open is…….?

bearbull

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