HULL MA strategy orders lagging

• 12/17/2019 at 12:49 PM #115056
  nonetheless

  Here’s a strange thing: code specifies changing direction after a change in the Hull17. Running on the FTSE it works as expected but on the DAX there tends to be a lag, so orders happen not on the next candle but after 2 candles … much less good. Looking at the screen shot, the Hull17 turns up at 11:20 so it should close the short and open long next candle @ 13285 … but instead this happens a candle later @ 13296. Any thoughts ?

  Here’s the code:

  // 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 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Period=17 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) hull = weightedaverage[round(sqrt(Period))](inner) // Conditions to enter long positions c1 = hull > hull[1] c2 = hull < hull[1] IF c1 AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET SET STOP PLOSS 20 ENDIF // Conditions to exit long positions IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF c2 AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP PLOSS 20 ENDIF // Conditions to exit short positions IF c1 THEN EXITSHORT AT MARKET ENDIF //trailing stop function trailingstart = 20 //trailing will start @trailinstart points profit trailingstep = 12 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79

  // 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 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Period=17 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) hull = weightedaverage[round(sqrt(Period))](inner) // Conditions to enter long positions c1 = hull > hull[1] c2 = hull < hull[1] IF c1 AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET SET STOP PLOSS 20 ENDIF // Conditions to exit long positions IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF c2 AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP PLOSS 20 ENDIF // Conditions to exit short positions IF c1 THEN EXITSHORT AT MARKET ENDIF //trailing stop function trailingstart = 20 //trailing will start @trailinstart points profit trailingstep = 12 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

   

   

  

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  12/17/2019 at 12:59 PM #115059
  GraHal

  Just a though off the top of my head … what is it like if you run on a 2 min TF instead of 2.5 min TF??

  Have you tried looking at the values of Hull using … right click, Display , Cursor Details … maybe Hull is not turning up just when you think by looking at the Hull curve??

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  12/17/2019 at 1:02 PM #115060
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  I could try that, but generally I prefer 2.5m as a fast chart as it stays in synch with the more popular 5m and 15m. On the FTSE it works exactly as expected on the 2.5m

  

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  12/17/2019 at 1:04 PM #115061
  GraHal

  Try Cursor Details  … let us know how you get on please??

  

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  12/17/2019 at 1:07 PM #115062
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  Cursor Details confirm an uptick of the Hull17, as does the colour change (pink to blue in the screen shot)

  

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  12/17/2019 at 1:19 PM #115066
  Nicolas

  Sounds like a rounding issue of the period used for the Hull average.

  Add “graph hull” at the end of your code to compare the calculated HULL MA in ProBacktest to the one displayed on your chart.

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  12/17/2019 at 8:14 PM #115121
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  The ProBacktest graph gives slightly different values for HULL than the Prorealtime chart but registers the same change of direction at the same time.  I’ve just noticed the same problem with another script on DJI 15m – orders are executed on the third candle instead of  the second. Bigger problem when waiting another 15 minutes to open/close.

  

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  12/17/2019 at 8:36 PM #115122
  GraHal

  nonetheless wrote:

  orders are executed on the third candle instead of  the second.

  This is worrying and we have had this brought up on here before  … very recently.

  For clarification, third candle means 2 candles after the candle which meet conditions to execute a trade?

  This is something that very few (if any except you) of us check for?? I know I don’t!

  If any reader does check this then please just say so on this Thread, then we will know this is NOT a widespread Issue??

  

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  12/17/2019 at 11:03 PM #115126
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  GraHal wrote:

  For clarification, third candle means 2 candles after the candle which meet conditions to execute a trade?

  Yes. First candle shows the MA has changed direction, second should be the entry/exit, instead I’m getting the one after that … but only with DAX and DJI. FTSE behaves itself.

  V strange.

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  12/18/2019 at 11:40 AM #115149
  Nicolas

  The code is working correctly. Look at attached picture for a better understanding of what your code is doing.

  1. Code is read at Close of the bar, condition met, order is launched at next bar open.
  2. Your code is not testing changing of direction, but the slope of the Hull moving average (ascending or descending?). So orders could be launched in a middle of a long time formed “Hull trend”.

   

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  12/18/2019 at 1:29 PM #115161
  Vonasi

  nonetheless – I have changed your topic tile to something more meaningful. Please try to use titles that describe your topic rather than meaningless ones otherwise we will end up with forums full of ‘Help needed’ and ‘Code is not behaving’ topics.

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  12/18/2019 at 1:52 PM #115166
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  Hmm … that’s interesting. Not what I thought I had coded for. With the FTSE it acts upon a simple change of direction in the Hull MA rather than the slope. Or at least, I think it does! I’ll watch it a bit longer and see how it plays. Thanks again!

  

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  12/18/2019 at 2:02 PM #115170
  Nicolas

  The conditions c1 and c2 are actually just testing if hull is superior (or inferior) to its last value, and not testing if it has changed from ascending to descending (making a top) and vice-versa (making a bottom).

   

  

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  12/18/2019 at 7:22 PM #115196
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  Nicolas wrote:

  The conditions c1 and c2 are actually just testing if hull is superior (or inferior) to its last value

  Yes, that is what I intended. And my expectation was that positions would enter/exit on the candle after that change.

  Otherwise the code would be c1 = hull > hull[2] no?

  

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  12/18/2019 at 9:19 PM #115198
  GraHal

  To test if Hull has made a Bottom or a Top (change of direction) would you not use Lowest or Highest over x periods?

  But I guess you want what you coded for!? 🙂

  

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