HULL MA

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12/12/2019 at 7:49 PM #114770 quote

Participant

Master

Hi, I’ve been playing around with a simple trend-following code using TEMA but would prefer to have it work with the HULL MA, which is what I use for manual trading. I understand that v11 supports HullAverage[period](price) but I’m still working with v10.3 and it doesn’t recognise that syntax. How would I go about modifying the code below for Hull instead of Tema?

Hugely grateful for any help!

// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Prevents the system from placing new orders on specified days of the week
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

// Conditions to enter long positions
indicator1 = TEMA[21](typicalPrice)
indicator2 = TEMA[21](typicalPrice)
c1 = (indicator1 > indicator2[1])

IF c1 AND not daysForbiddenEntry THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Conditions to exit long positions
indicator3 = TEMA[21](typicalPrice)
indicator4 = TEMA[21](typicalPrice)
c2 = (indicator3 < indicator4[1])

IF c2 THEN
SELL AT MARKET
ENDIF

// Conditions to enter short positions
indicator5 = TEMA[21](typicalPrice)
indicator6 = TEMA[21](typicalPrice)
c3 = (indicator5 < indicator6[1])

IF c3 AND not daysForbiddenEntry THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// Conditions to exit short positions
indicator7 = TEMA[21](typicalPrice)
indicator8 = TEMA[21](typicalPrice)
c4 = (indicator7 > indicator8[1])

IF c4 THEN
EXITSHORT AT MARKET
ENDIF

12/12/2019 at 8:09 PM #114771 quote

GraHal

Participant

Legend

indicator1 = Average[21,8](typicalPrice)

Try above, I’ve had a few of my Systems use above successfully, but others say v10.3 doesn’t recognise Hull??

Let us know how you go on?

nonetheless thanked this post

12/12/2019 at 9:14 PM #114777 quote

Vonasi

Moderator

Master

You can hard code the Hull average calculation into your strategy. Try this which has 21 period hull average based on typical price (not tested).

// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Prevents the system from placing new orders on specified days of the week
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

Period=21
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
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
ENDIF

// Conditions to exit short positions

IF c1 THEN
EXITSHORT AT MARKET
ENDIF

nonetheless thanked this post

12/12/2019 at 9:18 PM #114778 quote

robertogozzi

Moderator

Legend

If GraHal’s suggestion doesn’t work you can use the HULL indicator in the library https://www.prorealcode.com/prorealtime-indicators/hull-moving-average/.

12/12/2019 at 9:23 PM #114779 quote

nonetheless

Participant

Master

Hey, thanks for that, I’ll try it as an option. What I was really looking for though is how to hardcode a definition of the Hull MA, which I believe is something like this. I just don’t know how to make it work!

Period=20
inner = 2*weightedaverage[ round( Period/2 ) ](close)-weightedaverage[Period](close)
 
MMHULL=weightedaverage[ round( sqrt(Period) ) ]( inner )
 
return MMHULL

12/12/2019 at 9:36 PM #114780 quote

robertogozzi

Moderator

Legend

Vonasi did show!

Vonasi and nonetheless thanked this post

12/12/2019 at 10:16 PM #114782 quote

nonetheless

Participant

Master

Vonasi, you are a megastar – thanks, exactly what I wanted!

Thanks too to all others, very much appreciated!