HULL MA strategy orders lagging

nonetheless · Tue, 17 Dec 2019 11:49:32 +0000

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 //************************************************************************

This topic has 20 replies, 4 voices, and was last updated 6 years ago by Nicolas.

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12/18/2019 at 9:52 PM #115203

Vonasi

A bottom would be:

if c1 and c2[1] then

1	if c1 and c2[1] then

and a top would be:

if c2 and c1[1] then

1	if c2 and c1[1] then

Vonasi

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12/18/2019 at 9:54 PM #115204

nonetheless

This thing is, I still think like a manual trader! These first efforts were really just trying to replicate what I do in day trading and Hull18 on a 2.5m FTSE chart is actually quite reliable as a turnaround, in conjunction with other slower trend indicators.

Whether or not it’s a good strategy for ProOrder (prob not!) isn’t really the issue here.

What I’m trying to figure out is, if I have coded c1 = hull > hull[1] why am I getting c1 = hull > hull[2] ???

nonetheless

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12/18/2019 at 10:28 PM #115206

nonetheless

Vonasi wrote:

A bottom would be: if c1 and c2[1] then 1 if c1 and c2[1] then and a top would be: if c2 and c1[1] then 1 if c2 and c1[1] then

Thanks Vonasi, i’ll try that.

nonetheless

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12/19/2019 at 11:39 AM #115245

Nicolas

No, you only need the last 3 values to detect a peak or a trough:

top = hull<hull[1] and hull[1]>hull[2]
bottom = hull>hull[1] and hull[1]<hull[2]

1 2	top = hull<hull[1] and hull[1]>hull[2] bottom = hull>hull[1] and hull[1]<hull[2]

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nonetheless

Nicolas

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12/19/2019 at 4:57 PM #115256

Vonasi

I just adapted the original conditions in the code to achieve exactly the same as your code Nicolas. It just checks the rising or falling condition for the last two candles.

c1 = hull > hull[1] //rising
c2 = hull < hull[1] //falling

//bottom is rising after falling
if c1 and c2[1] then

//top is falling after rising
if c2 and c1[1] then

c1 = hull > hull[1] //rising

c2 = hull < hull[1] //falling

//bottom is rising after falling

if c1 and c2[1] then

//top is falling after rising

if c2 and c1[1] then

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nonetheless

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12/19/2019 at 5:30 PM #115261

Nicolas

No problem, I replied this morning without have read your most recent replies!

Nicolas

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