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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06/06/2020 at 8:26 PM #134926

GraHal

bearbull wrote:

This variable is not used in the code:tradetime”

Did you use TradeTime between an If Then statement?

GraHal

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06/08/2020 at 3:21 PM #135203

bearbull

GraHal,

You are correct, I did not use Tradetime between an If and then statement – thanks for that.

As an aside……………If you create two separate strategies, can they be both used at the same time on one market?, or only one strategy at a time can be used on a that particular market ?

thanking you

bearbull

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06/08/2020 at 3:58 PM #135206

GraHal

bearbull wrote:

can they be both used at the same time on one market?,

Yes 2 separate Strategies can be run at the same time on the same instrument, even at the same Timeframe.

Only problem you may occasionally experience is that if 2 trades on the same instrument in the same direction are attempting to be executed at exactly the same time then 1 trade may be delayed for a few milliseconds. Not much of a hardship I’d say? 🙂

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06/15/2020 at 12:31 PM #135995

bearbull

GraHal

Thank you for that. I’m thick LOL and so could not get this strategy to work in one system.

So I have created (with your help) two separate systems, one to go long, and one to go short on a 15 minute time frame for the DAX – very simple.

BUT…..eg- I ran then both live this morning 08.00-12.00 and it made a loss (-48.50) on the long side and a profit (+47.20) on the short side.

Immediately ‘back-testing’ it in the same hours, it made a loss (-26.00) on the long side and a profit (+149.00) on the short side???

Its used in a spread bet account with IG (DAX spread 1.2 and IG take their cut of £1.20) so that is all covered. Trading £1/pip.

…………….am I missing something? I knew that it wouldn’t be perfect re slippage etc but this is a vast difference between trading live and back test.

I have attached both the separate codes……….

I am obviously missing something fundamental here?

// 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


// 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

// 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

// 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

// 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

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

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

// Stops and targets
SET STOP pTRAILING 4

// 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

// Enter short

C1 = CLOSE

C2 = OPEN

C3 = CLOSE>OPEN

IF C1 AND C2 AND C3 THEN

SELLSHORT 1 PERPOINT AT MARKET

ENDIF

// Stops and targets

SET STOP pTRAILING 4

bearbull

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06/15/2020 at 5:09 PM #136018

bearbull

……..just dont get it?

Dax 08:00 – 16:30 live results

Live Long -76.20, Live Short +52.00 = -£24.20

Dax 08:00 – 16:30 back test results

Backtest Long +11.00. Backtest short +252.00 = +263.00

See attached results of the long and short back tests………

bearbull

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06/15/2020 at 5:42 PM #136022

GraHal

You sure you have the tick by tick box enabled?

With TS = 4 … I would have expected the only one making any money Long or Short would be IG??

GraHal

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06/15/2020 at 5:55 PM #136025

Paul

@bearbull ptrailing should not be used cause it doesn’t work tick by tick. Better use a hard stoploss & a trailing stop from the forum.

Paul

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06/15/2020 at 6:41 PM #136027

bearbull

Grahal

Thanks for getting back to me.

So back testing is not reliable then? As the results do not reflect the true market? Yes, activating the tick by tick changes the results……or should I say reduces the results. LOL

1 user thanked author for this post.

GraHal

bearbull

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06/15/2020 at 6:43 PM #136028

bearbull

Paul,

Thanks for your advice, will search the form for a trailing stop code to use.

bearbull

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