Compressed candle, an Andrea Unger strategy

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  • 09/25/2017 at 10:16 AM #47120 quote
    Yngve
    Participant
    Senior

    After having “borrowed” a lot of strategies from this forum, I though it only appropriate that I try to participate/contribute with something of my own. This is my first strategy that I am sharing, so pleas go easy on me.

    I got the idea from

    https://blog.ungeracademy.com/?s=the+sooner+you+start

    My understanding of the idea is that you take a position when the market is in a “compressed” mode.

    Unfortunately there is no way to exit on the close in PRT, if my understanding is correct. So pleas take a look at the code and give me some feedback on how to get better exits, or even how to improve on the code in general.

    Thank you in advance

    mamio, Nicolas, Marc and atxeel thanked this post
    screen-shot-at-1506245276cl4p8.png screen-shot-at-1506245276cl4p8.png Compressed-candle.itf
    09/25/2017 at 4:05 PM #47286 quote
    Nicolas
    Keymaster
    Master

    Thanks Yngve, I moved you post to the forums. I did not look at your code but you are right about the description you made of the strategy. So all the variables are optimized over the whole data? and there are a lot of them.. from candlesticks sizes to moving average period to filter the trend. Unger propose the strategy as a part of a portfolio, so I assume this is how it should be traded?

    About exit on Close, it should be possible by using an intraday timeframe and make your calculations with the Daily OHLC.

    09/26/2017 at 3:06 PM #47411 quote
    Yngve
    Participant
    Senior

    Hi Nicolas

    Thanks for the reply!

    Yes, this is a portfolio strategy originally. So, I assume it would be most suited for a portfolio of securities, rather than an index.

    I guess to many indicators increases the risk of curve fitting, and that I should try and reduce the amount of indicators?

    I am not sure I follow you with regards to exiting on the close. Can you direct me to a link on the PRT where I can find the code for this?

    Regards

    Yngve

    09/27/2017 at 7:48 AM #47458 quote
    Nicolas
    Keymaster
    Master

    Exit on Close should be possible by using the 5 minutes timeframe for instance: Close all orders @ 235500 (or whatever time adjusted to the instrument).

    To calculate the Daily timeframe candlestick size (which is the major part of the trading strategy), you could use the Dopen / Dhigh / Dlow and Dclose keywords (instead of Open High, Low and Close).

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Compressed candle, an Andrea Unger strategy


ProOrder: Automated Strategies & Backtesting

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Yngve @yngve Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by Nicolas
8 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/25/2017
Status: Active
Attachments: 2 files
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