Linear Regression Universal Strategy, how to improve it?

• 08/26/2022 at 1:49 PM #199676
  GraHal

  I tried below, didnt affect results (attached) but still got Rejected!

  //https://www.prorealcode.com/topic/linear-regression-universal-strategy-how-to-improve-it/#post-199478//Linear Regression Universal Strategy // instrument: CNHJPY // timezone : europetime, berlin // timeframe : Daily // Spread: 0.7 // created and coded by davidelaferla //————————————————————————- defparam cumulateorders=false DEFPARAM PRELOADBARS = 10000 //*********************************************************************************************************** N = 1 //------------------ VARIABILI DEL SISTEMA--------------------------------------- //CNHJPY Values: -------------------------------------------- Ottimization info Volatilityperiod=A15 //15// different fixed value for each currency pair: range=3-20, with step=1 Regression1period=A16 //18// Linear Regression Imput Signal: range=6-100 with step=1 Regression2period=A17 //1.3//Linear Regression Output Signal: range=1-2, with step=0.01 //*********************************************************************************************** //------------------ INDICATOR --------------------------------------- if barindex>=10000 then hv=Max(0.1,HistoricVolatility[VolatilityPeriod](close)) hv2=Max(0.1,HistoricVolatility[VolatilityPeriod](typicalprice)) endif if barindex>=10000 then lr=linearregression[max(1,ROUND(Regression1Period*Regression2Period*hv2))](typicalprice) st=linearregression[max(1,ROUND(Regression1Period*hv))](close) endif //st=linearregression[ROUND(Regression1Period*hv)](close) //lr=linearregression[ROUND(Regression1Period*Regression2Period*hv2)](typicalprice) // Condizioni per uscire da posizioni short e entrare su posizioni long IF st<lr THEN BUY n contract AT lr stop ENDIF // Condizioni per uscire da posizioni long e entrare su posizioni short IF st>lr THEN SELLshort n contract At st stop ENDIF GRAPH HV GRAPH HV2

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  //https://www.prorealcode.com/topic/linear-regression-universal-strategy-how-to-improve-it/#post-199478//Linear Regression Universal Strategy // instrument: CNHJPY // timezone : europetime, berlin // timeframe : Daily // Spread: 0.7 // created and coded by davidelaferla //————————————————————————- defparam cumulateorders=false DEFPARAM PRELOADBARS = 10000 //*********************************************************************************************************** N = 1 //------------------ VARIABILI DEL SISTEMA--------------------------------------- //CNHJPY Values:      -------------------------------------------- Ottimization info Volatilityperiod=A15 //15// different fixed value for each currency pair: range=3-20, with step=1 Regression1period=A16 //18// Linear Regression Imput Signal:              range=6-100 with step=1 Regression2period=A17 //1.3//Linear Regression Output Signal:             range=1-2, with step=0.01 //*********************************************************************************************** //------------------ INDICATOR --------------------------------------- if barindex>=10000 then hv=Max(0.1,HistoricVolatility[VolatilityPeriod](close)) hv2=Max(0.1,HistoricVolatility[VolatilityPeriod](typicalprice)) endif if barindex>=10000 then lr=linearregression[max(1,ROUND(Regression1Period*Regression2Period*hv2))](typicalprice) st=linearregression[max(1,ROUND(Regression1Period*hv))](close) endif //st=linearregression[ROUND(Regression1Period*hv)](close) //lr=linearregression[ROUND(Regression1Period*Regression2Period*hv2)](typicalprice) // Condizioni per uscire da posizioni short e entrare su posizioni long IF st<lr THEN BUY n contract AT lr stop ENDIF // Condizioni per uscire da posizioni long e entrare su posizioni short IF st>lr THEN SELLshort n contract At st stop ENDIF   GRAPH HV GRAPH HV2

   

  

  GraHal

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  08/26/2022 at 2:20 PM #199682
  JC_Bywan

  Maybe Linearregression doesn’t like the easy job of having just 1 point to look at, and wants 2 points at least before deeming it acceptable to play with us pleb…

  so: max(2,ROUND(…  (to modify twice)  (worked without rejection this time)

  defparam cumulateorders=false DEFPARAM PRELOADBARS = 10000 //*********************************************************************************************************** ONCE A15 = 25.0 ONCE A16 = 10.0 ONCE A17 = 0.8 N = 1 //------------------ VARIABILI DEL SISTEMA--------------------------------------- //CNHJPY Values: -------------------------------------------- Ottimization info Volatilityperiod=A15 //15// different fixed value for each currency pair: range=3-20, with step=1 Regression1period=A16 //18// Linear Regression Imput Signal: range=6-100 with step=1 Regression2period=A17 //1.3//Linear Regression Output Signal: range=1-2, with step=0.01 //*********************************************************************************************** //------------------ INDICATOR --------------------------------------- hv=HistoricVolatility[VolatilityPeriod](close) hv2=HistoricVolatility[VolatilityPeriod](typicalprice) if barindex>=VolatilityPeriod then lr=linearregression[max(2,ROUND(Regression1Period*Regression2Period*hv2))](typicalprice) st=linearregression[max(2,ROUND(Regression1Period*hv))](close) endif // IF st<lr THEN if close<lr then BUY n contract AT lr stop elsif close>lr then BUY n contract AT lr limit ENDIF // IF st>lr THEN if close>st then SELLshort n contract At st stop elsif close<st then SELLshort n contract At st limit endif ENDIF

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  defparam cumulateorders=false DEFPARAM PRELOADBARS = 10000   //*********************************************************************************************************** ONCE A15 = 25.0 ONCE A16 = 10.0 ONCE A17 = 0.8 N = 1 //------------------ VARIABILI DEL SISTEMA--------------------------------------- //CNHJPY Values: -------------------------------------------- Ottimization info Volatilityperiod=A15 //15// different fixed value for each currency pair: range=3-20, with step=1 Regression1period=A16 //18// Linear Regression Imput Signal: range=6-100 with step=1 Regression2period=A17 //1.3//Linear Regression Output Signal: range=1-2, with step=0.01 //*********************************************************************************************** //------------------ INDICATOR ---------------------------------------   hv=HistoricVolatility[VolatilityPeriod](close) hv2=HistoricVolatility[VolatilityPeriod](typicalprice)   if barindex>=VolatilityPeriod then lr=linearregression[max(2,ROUND(Regression1Period*Regression2Period*hv2))](typicalprice) st=linearregression[max(2,ROUND(Regression1Period*hv))](close) endif   // IF st<lr THEN if close<lr then BUY n contract AT lr stop elsif close>lr then BUY n contract AT lr limit ENDIF // IF st>lr THEN if close>st then SELLshort n contract At st stop elsif close<st then SELLshort n contract At st limit endif ENDIF

   

   

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  JC_Bywan

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  08/26/2022 at 5:29 PM #199691
  GraHal

  Genius JC! Thank You!

  I have a 1 hour TF and 12 min TF version running, both have run through a ‘first full bar’ and neither have been rejected!

  

  GraHal

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