Hang seng 200K bars

Francesco78 · Thu, 05 Apr 2018 19:31:43 +0000

Guys, I have an apparently nice strategy on Hang seng that is purely driven by time bias. Since I am not very confident with the instrument itself, I would be extremely grateful if someone could backtest it with 200K bars and see how the OOS behave. The code is the following Defparam cumulateorders = false golong =1 goshort = 1 timegolong = 110000 timeexitlong = 60000 filterdaylong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 filterpricelong = close < (Dhigh(1)+dlow(2))/2 timegoshort = 30000 timeexitshort = 80000 filterdayshort = dayofweek = 2 or dayofweek = 4 filterpriceshort = close> (Dhigh(1)+dlow(2))/2 if goshort then if time = timegoshort and filterpriceshort and filterdayshort then sellshort 1 contract at market endif if time = timeexitshort then exitshort at market endif endif if golong then if time= timegolong and filterdaylong and filterpricelong then buy 1 contract at market endif if time = timeexitlong then sell at market endif endif set target pprofit 600 set stop ploss 700 I attach the equity curve. Thanks a lot in advance. Francesco

This topic has 17 replies, 4 voices, and was last updated 7 years ago by Vonasi.

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04/07/2018 at 1:58 PM #67497

Francesco78

Vonasi wrote:

I cannot think why that should always work.

I think this question in algorithmic trading is not extremely relevant. If it worked only what it should logically work there would be no edges. What algorithmic trading does is to caputre inefficiencies that always contain an element of irrationality

Francesco78
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04/07/2018 at 2:02 PM #67498

Francesco78

Vonasi wrote:

It just occurred to me that I may be on a different time zone to you so my tests may not be the same as yours. I am trading on UTC+1 British Summertime.

Would you be so kind to double check also the strategy on the Hang seng with the correct time zone?

Thank you!!

Francesco78
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04/07/2018 at 3:41 PM #67511

Vonasi

OK. I switched to UTC+2 and ran it all again.

1st Image = EurUSD 200k bars Spread = 1 Tick by Tick = off

2nd Image = EurUSD Spread = 1 Walk Forward 70/30×5 from beginning 2005 Tick by Tick = off

3rd Image = HS50 200k bars No Spread. Tick by Tick = on

4th Image = HS50 200k bars No Spread. Walk Forward 70/30×5 Tick by Tick = on

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Francesco78

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Hang seng 200K bars

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