Hang seng trend following strategy with volatility filter H1 Time zone : UK

Francesco78 · 2019-01-14T10:25:22+00:00

defparam cumulateorders = false periodrsi = 8 periodatr = 16 a = 30 b = 0.15 timeok = time>20000 and time b and timeok overbought =oscillator>100-a and volindic>b and timeok if oversold then sellshort 1 contract at market endif if overbought then buy 1 contract at market endif set target pprofit 200 set stop ploss 150

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01/14/2019 at 11:25 AM #88469 quote
Francesco78
Participant

Master
```
defparam cumulateorders = false

periodrsi = 8
periodatr = 16

a = 30
b = 0.15
timeok = time>20000 and time<120000
oscillator  = rsi[periodrsi](close)
volindic = (averagetruerange[periodatr](close)/close)*100


oversold = oscillator<a and volindic>b and timeok
overbought =oscillator>100-a and volindic>b and timeok

if oversold then
sellshort 1 contract at market
endif

if overbought then
buy 1 contract at market
endif

set target pprofit 200
set stop ploss 150
```
hangsengh-154739426284lpc.png
01/14/2019 at 11:39 AM #88541 quote

Nicolas
Keymaster

Legend

Hi Francesco, I always appreciate your submissions. Thank you very much. In the case of that strategy I must say that I’m a bit perplex about the overfitting of settings due to optimization. Sorry to sound a little annoying, but why don’t you optimize at least with a single OOS period, to validate the settings? Or maybe you already did it? Have a good day 😉

01/14/2019 at 11:41 AM #88545 quote

Francesco78
Participant

Master

Hi Nicolas, sure I will post walk forward results ASAP.

Warm regards

Francesco

01/14/2019 at 12:01 PM #88549 quote

Francesco78
Participant

Master

What do you think about the other 2 strategies ( dax and audcad) I do not see them pending anymore.

Thank you

Francesco

01/14/2019 at 12:16 PM #88550 quote

Francesco78
Participant

Master

pls find attached the results

wf_results_2.png wf_results_1.png wf_HS.png

01/14/2019 at 12:27 PM #88556 quote

Nicolas
Keymaster

Legend

The other two strategies are also in the forum because of the same question 🙂

You should always send a strategy with the WFA you made! This one seems good finally, do the settings in the code are the last one?

01/14/2019 at 12:35 PM #88557 quote
Francesco78
Participant

Master
Ok I see, I will post WF for the other 2 as well.

No the settings are different, In the code you see the sets optimezed for the whole period, if you prefer the code with settings as per walk forward then :
```
defparam cumulateorders = false

periodrsi = 7
periodatr = 10

a = 40
b = 0.1
timeok = time>20000 and time<120000
oscillator  = rsi[periodrsi](close)
volindic = (averagetruerange[periodatr](close)/close)*100


oversold = oscillator<a and volindic>b and timeok
overbought =oscillator>100-a and volindic>b and timeok

if oversold then
sellshort 1 contract at market
endif

if overbought then
buy 1 contract at market
endif

set target pprofit 150
set stop ploss 150
```
Alfred thanked this post
01/14/2019 at 6:09 PM #88593 quote

Francesco78
Participant

Master

Hi Nicolas,

@Nicolas

Any chance you will put this into the library?

Thank you

01/14/2019 at 6:57 PM #88601 quote

Vonasi
Moderator

Master

Francesco78 – please try to remember to use the ‘Insert PRT Code’ button. I tidied things up for you! 🙂

Francesco78 thanked this post

01/14/2019 at 7:13 PM #88603 quote

Francesco78
Participant

Master

Thank you Vonasi, sorry about that.

01/16/2019 at 1:20 AM #88731 quote

BC
Participant

Master

Hi Francesco

May I know the spread?

THX

01/16/2019 at 10:47 AM #88755 quote

Francesco78
Participant

Master

Hi, you can use 10 as spread

01/16/2019 at 1:45 PM #88799 quote

Nicolas
Keymaster

Legend

Strategy is now in the library: Hang seng automatic trend following strategy with volatility filter

Francesco78 thanked this post
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