how to automate a successful manual system

nonetheless · Sun, 01 Nov 2020 11:35:32 +0000

I have been day trading for about 10 years and in that time I have tried and dismissed countless systems, some of them ridiculously complicated. Since the beginning of this year I have settled on a system that is simplicity itself and, day after day, week after week, it literally never fails. I am posting it here with 2 purposes; one is to share it with anyone who might find it useful – but also to set a challenge to anyone who can successfully automate it. I live in London and trade the FTSE 100 but there’s no reason this shouldn’t work on other indices if you prefer. I use a 2 minute chart with 2 indicators: HULL 13 and HULL 34 (Fibonacci magic). In a nutshell, when the 13 turns up I go long, and short when it turns down. Simple as that. The HULL 34 is there as an approximation of what is happening at the 5 minute level and it plays a much lesser role in my decision making. For example, if the 13 reversed but the 34 maintained a strong trend I would close but not reverse my position, just wait for them both to be moving the same way again. But if the 34 were still falling but gradually flattening out, and the 13 turned up, then I would enter long even if the 2 MAs were not in agreement. I think this ambiguity in how I interpret the HULL 34 is what makes it so hard to code. I know that I also watch for how many bars close above or below the HULL 13 in anticipation of a change. This is also hard to specify in code. So as a manual system there is some interpretation going on, but very little. Even if I ignored the HULL 34, the 13 on its own would make money. You can easily check this by counting the number of points to be gained by following this method on any given day. The key for me was developing the discipline to always do what the chart was telling me to do. We are not here to predict the future, so forget about what what you think it’s about to do – forget about trendlines, forget about support and resistance, forget about job reports or war in the middle east, the ECB or all that macro-economic stuff that makes your head hurt. The chart already knows everything, so don’t agonize about it, don’t even think – just look at what the MA is truly actually doing right now – and do that. This is perhaps harder than it sounds and it takes some practice, but what you have in front of you is a graphic distillation of the collective opinions of thousands of traders from all over the world. If you just go with their consensus in real time then, by definition, you can never go wrong. I don’t mean that you will never place a losing trade, but the losses will be small. At the end of the day you will be well ahead, I promise. I hope that people find this useful. If you can master it, it’s a license to print money (yes, it truly is). If it could be successfully automated, that would be even better. I’ve made a number of attempts and it baffles me how well it works manually and how poorly this on its own works as an algo: //HULL 13 Period= 13 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULL = weightedaverage[round(sqrt(Period))](inner) c1 = HULL > HULL[1] and HULL[1]<HULL[2] c2 = HULL < HULL[1] and HULL[1]>HULL[2] This I is what I think I am doing, but maybe there’s more interpretation going on than I am aware of ?? visual clues I’m picking up on from experience that lead me to click a bar or 2 in advance of what the algo would do ?? I honestly don’t know, but hey, there’s a challenge for you. Best of luck! (although frankly, if you just do the above, luck is irrelevant)

This topic has 57 replies, 16 voices, and was last updated 3 years ago by Jan.

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11/04/2020 at 8:48 PM #149486

Zigo

@ nonetheless

I wrote your method in backtest

Defparam cumulateorders = false
once p=13
Hull= Weightedaverage[round(SQRT(p))]( 2*Weightedaverage[round(p/2)](close)-Weightedaverage[p](close))

c1 = HULL > HULL[1] and HULL[1]<HULL[2]
c2 = HULL < HULL[1] and HULL[1]>HULL[2]
if c1 and not longonmarket then
buy 1 share at market
endif
if c2 then
sell at market
endif

if c2 and not onmarket then
sellshort 1 share at market
endif
if shortonmarket and c1 then
exitshort at market
endif
set stop ploss 75
set target pprofit 50

Defparam cumulateorders = false

once p=13

Hull= Weightedaverage[round(SQRT(p))]( 2*Weightedaverage[round(p/2)](close)-Weightedaverage[p](close))

c1 = HULL > HULL[1] and HULL[1]<HULL[2]

c2 = HULL < HULL[1] and HULL[1]>HULL[2]

if c1 and not longonmarket then

buy 1 share at market

endif

if c2 then

sell at market

endif

if c2 and not onmarket then

sellshort 1 share at market

endif

if shortonmarket and c1 then

exitshort at market

endif

set stop ploss 75

set target pprofit 50

Zigo

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11/04/2020 at 10:12 PM #149489

nonetheless

yes, but why 144 seconds, and why only 1 day of backtest?

nonetheless

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11/04/2020 at 10:13 PM #149490

GraHal

Looks good, but 144 seconds … very non-standard Time Frame?

Instead of fitting Conditions to a TF, fit a TF to the Conditions … why not? 🙂

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11/04/2020 at 10:15 PM #149491

GraHal

nonetheless wrote:

why only 1 day of backtest?

We have to fit to another TF for the next day!? 🙂

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11/05/2020 at 5:51 AM #149500

Dow Jones

@nonetheless, tried to incorporate also your HULL 34 idea using bollinger%

I simply pick 10s (no reason, just any small TF to handle quick decision like manual trade), result seems ok, however just 1 week of data, for sure need forward test. But maybe you can see if the trade quality is close to your expectation.

Many variables are just simply out of heart, only the gap is optimized.

// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions deactivated
DEFPARAM preloadbars = 5000

Ctime = time >= 080000 and time <= 163000

//HULL 13
TIMEFRAME(2 minutes)
Period13 = 13
inner13 = 2*weightedaverage[round( Period13/2)](close)-weightedaverage[Period13](close)
HULL13 = weightedaverage[round(sqrt(Period13))](inner13)

C1 = HULL13 > HULL13[1] and HULL13[1] < HULL13[2]
C2 = HULL13 < HULL13[1] and HULL13[1] > HULL13[2]

//ATR 13
atr13 = AverageTrueRange[Period13](close)
//HULL13min = MIN(HULL13, HULL13[1])
//HULL13min = MIN(HULL13min, HULL13[2])
//HULL13max = MAX(HULL13, HULL13[1])
//HULL13max = MAX(HULL13max, HULL13[2])
gap = 1.2
C3 = close > HULL13 + gap * atr13
C4 = close < HULL13 - gap * atr13

//HULL 34
Period34 = 34
strend = 2
inner34 = 2*weightedaverage[round( Period34/2)](typicalprice)-weightedaverage[Period34](typicalprice)
HULL34 = weightedaverage[round(sqrt(Period34))](inner34)

STDDEVtrend = STD[Period34]
bollstrend = strend * STDDEVtrend
bolltrendUP = HULL34 + bollstrend
bolltrendDOWN = HULL34 - bollstrend
IF bolltrendUP = bolltrendDOWN THEN
bolltrendPercent = 50
ELSE
bolltrendPercent = 100 * (close - bolltrendDOWN) / (bolltrendUP - bolltrendDOWN)
ENDIF

C5 = bolltrendPercent > 55 AND bolltrendPercent > bolltrendPercent[1] AND bolltrendPercent[1] > bolltrendPercent[2]
C6 = bolltrendPercent < 45 AND bolltrendPercent < bolltrendPercent[1] AND bolltrendPercent[1] < bolltrendPercent[2]

C7 = 1 //bolltrendPercent > 45 OR bolltrendPercent > bolltrendPercent[1]
C8 = 1 //bolltrendPercent < 55 OR bolltrendPercent < bolltrendPercent[1]

TIMEFRAME(default)
SL = 0.5

// Conditions to enter long position
IF NOT OnMarket AND Ctime AND close > open AND C1 AND C3 AND NOT C6 AND C7 THEN
BUY 1 CONTRACTS AT MARKET
SET STOP %LOSS SL
//SET TARGET %PROFIT SL
ENDIF

// Conditions to exit long positions
If LongOnMarket AND C2 AND C6 AND close > POSITIONPRICE THEN
SELL AT MARKET
ENDIF

//If LongOnMarket AND C2 AND C6 AND close < POSITIONPRICE THEN
//SELL AT MARKET
//ENDIF

// Conditions to enter short positions
IF NOT OnMarket AND Ctime AND close < open AND C2 AND C4 AND NOT C5 AND C8 THEN
SELLSHORT 1 CONTRACTS AT MARKET
SET STOP %LOSS SL
//SET TARGET %PROFIT SL
ENDIF

// Conditions to exit short positions
IF ShortOnMarket AND C1 AND C5 AND close < POSITIONPRICE THEN
EXITSHORT AT MARKET
ENDIF

//IF ShortOnMarket AND C1 AND C5 AND close > POSITIONPRICE THEN
//EXITSHORT AT MARKET
//ENDIF
//
// Stops and targets : Enter your protection stops and profit targets here
//====== Trailing Stop mechanism - start =====

stepfactor1 = 0.5
stepfactor2 = 0.05

trailingstart = (stepfactor1 * SL/100 * tradeprice(1) ) / pointsize
trailingstep = (stepfactor2 * SL/100 * tradeprice(1) ) / pointsize

//resetting variables when no trades are on market
if not onmarket then
priceexit = 0
endif

//case LONG order
if longonmarket then
//first move (breakeven)
IF priceexit=0 AND close-tradeprice(1) >= trailingstart*pointsize THEN
priceexit = tradeprice(1) + trailingstep*pointsize
ENDIF
//next moves
IF priceexit>0 THEN
priceexit = priceexit + trailingstep*pointsize
ENDIF
endif

//case SHORT order
if shortonmarket then
//first move (breakeven)
IF priceexit=0 AND tradeprice(1)-close >= trailingstart*pointsize THEN
priceexit = tradeprice(1) - trailingstep*pointsize
ENDIF
//next moves
IF priceexit>0 THEN
priceexit = priceexit - trailingstep*pointsize
ENDIF
endif

if longonmarket and priceexit>0 then
sell at priceexit stop
if low crosses under priceexit then
sell at market
endif
endif
if shortonmarket and priceexit>0 then
exitshort at priceexit stop
if high crosses over priceexit then
exitshort at market
endif
endif
//====== Trailing Stop mechanism - end =====

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// Definition of code parameters

DEFPARAM CumulateOrders = false // Cumulating positions deactivated

DEFPARAM preloadbars = 5000

Ctime = time >= 080000 and time <= 163000

//HULL 13

TIMEFRAME(2 minutes)

Period13 = 13

inner13 = 2*weightedaverage[round( Period13/2)](close)-weightedaverage[Period13](close)

HULL13 = weightedaverage[round(sqrt(Period13))](inner13)

C1 = HULL13 > HULL13[1] and HULL13[1] < HULL13[2]

C2 = HULL13 < HULL13[1] and HULL13[1] > HULL13[2]

//ATR 13

atr13 = AverageTrueRange[Period13](close)

//HULL13min = MIN(HULL13, HULL13[1])

//HULL13min = MIN(HULL13min, HULL13[2])

//HULL13max = MAX(HULL13, HULL13[1])

//HULL13max = MAX(HULL13max, HULL13[2])

gap = 1.2

C3 = close > HULL13 + gap * atr13

C4 = close < HULL13 - gap * atr13

//HULL 34

Period34 = 34

strend = 2

inner34 = 2*weightedaverage[round( Period34/2)](typicalprice)-weightedaverage[Period34](typicalprice)

HULL34 = weightedaverage[round(sqrt(Period34))](inner34)

STDDEVtrend = STD[Period34]

bollstrend = strend * STDDEVtrend

bolltrendUP = HULL34 + bollstrend

bolltrendDOWN = HULL34 - bollstrend

IF bolltrendUP = bolltrendDOWN THEN

bolltrendPercent = 50

ELSE

bolltrendPercent = 100 * (close - bolltrendDOWN) / (bolltrendUP - bolltrendDOWN)

ENDIF

C5 = bolltrendPercent > 55 AND bolltrendPercent > bolltrendPercent[1] AND bolltrendPercent[1] > bolltrendPercent[2]

C6 = bolltrendPercent < 45 AND bolltrendPercent < bolltrendPercent[1] AND bolltrendPercent[1] < bolltrendPercent[2]

C7 = 1 //bolltrendPercent > 45 OR bolltrendPercent > bolltrendPercent[1]

C8 = 1 //bolltrendPercent < 55 OR bolltrendPercent < bolltrendPercent[1]

TIMEFRAME(default)

SL = 0.5

// Conditions to enter long position

IF NOT OnMarket AND Ctime AND close > open AND C1 AND C3 AND NOT C6 AND C7 THEN

BUY 1 CONTRACTS AT MARKET

SET STOP %LOSS SL

//SET TARGET %PROFIT SL

ENDIF

// Conditions to exit long positions

If LongOnMarket AND C2 AND C6 AND close > POSITIONPRICE THEN

SELL AT MARKET

ENDIF

//If LongOnMarket AND C2 AND C6 AND close < POSITIONPRICE THEN

//SELL AT MARKET

//ENDIF

// Conditions to enter short positions

IF NOT OnMarket AND Ctime AND close < open AND C2 AND C4 AND NOT C5 AND C8 THEN

SELLSHORT 1 CONTRACTS AT MARKET

SET STOP %LOSS SL

//SET TARGET %PROFIT SL

ENDIF

// Conditions to exit short positions

IF ShortOnMarket AND C1 AND C5 AND close < POSITIONPRICE THEN

EXITSHORT AT MARKET

ENDIF

//IF ShortOnMarket AND C1 AND C5 AND close > POSITIONPRICE THEN

//EXITSHORT AT MARKET

//ENDIF

// Stops and targets : Enter your protection stops and profit targets here

//====== Trailing Stop mechanism - start =====

stepfactor1 = 0.5

stepfactor2 = 0.05

trailingstart = (stepfactor1 * SL/100 * tradeprice(1) ) / pointsize

trailingstep = (stepfactor2 * SL/100 * tradeprice(1) ) / pointsize

//resetting variables when no trades are on market

if not onmarket then

priceexit = 0

endif

//case LONG order

if longonmarket then

//first move (breakeven)

IF priceexit=0 AND close-tradeprice(1) >= trailingstart*pointsize THEN

priceexit = tradeprice(1) + trailingstep*pointsize

ENDIF

//next moves

IF priceexit>0 THEN

priceexit = priceexit + trailingstep*pointsize

ENDIF

endif

//case SHORT order

if shortonmarket then

//first move (breakeven)

IF priceexit=0 AND tradeprice(1)-close >= trailingstart*pointsize THEN

priceexit = tradeprice(1) - trailingstep*pointsize

ENDIF

//next moves

IF priceexit>0 THEN

priceexit = priceexit - trailingstep*pointsize

ENDIF

endif

if longonmarket and priceexit>0 then

sell at priceexit stop

if low crosses under priceexit then

sell at market

endif

if shortonmarket and priceexit>0 then

exitshort at priceexit stop

if high crosses over priceexit then

exitshort at market

endif

//====== Trailing Stop mechanism - end =====

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GraHal

Dow Jones

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11/05/2020 at 9:39 AM #149512

nonetheless

looks interesting, but 10 seconds is too short for me. Not enough backtest to run on auto and manually there’d be too many false signals, chopping and changing.

Decent result for those few days though…

nonetheless

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11/05/2020 at 10:04 AM #149514

Dow Jones

Actually it is multiple time frame, signal is at 2 minutes TF. 10s is execution time frame…

Dow Jones

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11/05/2020 at 10:09 AM #149515

Zigo

The unity of time is the second. I intended to work with 3 different TF .

144 sec is the only Fibonacci number when multiplier with 5 that gives round numbers:

144*5 (720 sec or 12 min)

144* 5², (3600 sec or 60 min or 1 hour)

144*5³ (18000 sec or 300 min or exactly 5 hours)

……..

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GraHal

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11/05/2020 at 11:06 AM #149520

GraHal

Dow Jones wrote:

signal is at 2 minutes TF. 10s is execution time frame…

Works good on DJI at signal 1 min TF and 5 sec execution over 100k bars.

Thank you for sharing Dow Jones.

GraHal

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11/05/2020 at 11:35 AM #149522

GraHal

You should work on yours some more Zigo … I added a MA Filter and got attached!

Spread = 5 and SL and TP // out.

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josef1604

GraHal

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11/05/2020 at 12:20 PM #149528

josef1604

Hello @GraHal, can you pass the bot with the change, please?

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11/05/2020 at 12:26 PM #149529

TraderGlyn

I tried to set up the net and reverse simultaneously trade and can’t see how to do it. I tested it in a live trade set to net off, and clicked to place a reverse order and it closed the existing position but didn’t open a new one.

I’m with IG and just called support who said it wasn’t possible but agreed it was a valid suggestion and would try to include it at some point. Any ideas welcome, cheers!

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josef1604

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11/05/2020 at 1:02 PM #149530

GraHal

Here you go Josef … a v1 of Zigo’s code (v0) above.

It might be an alternative to use Hull(34) as a Filter then it nearer to Nonetheless manual strategy?

I quickly added simple MA and it worked so I set it going on Demo Forward Test! 🙂

//-------------------------------------------------------------------------
// Main code : ZigoNone DJI S144 v1
//-------------------------------------------------------------------------
Defparam cumulateorders = false
P = 13
A7 = 10
A14 = 70

Hull= Weightedaverage[round(SQRT(p))]( 2*Weightedaverage[round(p/2)](close)-Weightedaverage[p](close))
 
c1 = HULL > HULL[1] and HULL[1]<HULL[2]
c2 = HULL < HULL[1] and HULL[1]>HULL[2]
if c1  and Close > Average[A7](close) then
buy 1 share at market
endif
//if c2 then
//sell at market
//endif
 
if c2 and Close < Average[A14](close) then
sellshort 1 share at market
endif
//if shortonmarket and c1 then
//exitshort at market
//endif
//set stop ploss 75
//set target pprofit 50

//-------------------------------------------------------------------------

// Main code : ZigoNone DJI S144 v1

//-------------------------------------------------------------------------

Defparam cumulateorders = false

P = 13

A7 = 10

A14 = 70

Hull= Weightedaverage[round(SQRT(p))]( 2*Weightedaverage[round(p/2)](close)-Weightedaverage[p](close))

c1 = HULL > HULL[1] and HULL[1]<HULL[2]

c2 = HULL < HULL[1] and HULL[1]>HULL[2]

if c1 and Close > Average[A7](close) then

buy 1 share at market

endif

//if c2 then

//sell at market

//endif

if c2 and Close < Average[A14](close) then

sellshort 1 share at market

endif

//if shortonmarket and c1 then

//exitshort at market

//endif

//set stop ploss 75

//set target pprofit 50

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nonetheless,

josef1604

GraHal

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11/05/2020 at 4:31 PM #149551

nonetheless

Zigo wrote:

144 sec is the only Fibonacci number when multiplier with 5 that gives round numbers:

interesting to use a Fibonacci relation with TFs, hadn’t thought of that.

Shame that, even though 144 secs is longer than 2mins, a 200k backtest is only 5 days as opposed to 13 months. Another weird quirk of PRT .

nonetheless

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11/06/2020 at 2:20 PM #149680

Zigo

The only reason that I use irregular TF is, that the entire world use regular TF.

B.t.w. the code for Hull (13) with arrows (used in the main frame)

once p=13

H13=Weightedaverage[round(SQRT(round(0.89*p)))]( 2*Weightedaverage[round(round(0.89*p)/2)](close)-Weightedaverage[round(0.89*p)](close))
c1 = H13 > H13[1] and H13[1]<H13[2]
c2 = H13 < H13[1] and H13[1]>H13[2]
if c1 then
DRAWARROWUP(barindex, low-AverageTrueRange[14](close))coloured(0,255,0,255)
elsif c2 then
DRAWARROWDOWN(barindex, high +AverageTrueRange[14](close))coloured(255,0,0,255)
endif
return H13 as"Hull 13"

once p=13

H13=Weightedaverage[round(SQRT(round(0.89*p)))]( 2*Weightedaverage[round(round(0.89*p)/2)](close)-Weightedaverage[round(0.89*p)](close))

c1 = H13 > H13[1] and H13[1]<H13[2]

c2 = H13 < H13[1] and H13[1]>H13[2]

if c1 then

DRAWARROWUP(barindex, low-AverageTrueRange[14](close))coloured(0,255,0,255)

elsif c2 then

DRAWARROWDOWN(barindex, high +AverageTrueRange[14](close))coloured(255,0,0,255)

endif

return H13 as"Hull 13"

B.t.w.

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Midlanddave

Zigo

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