MFI CROSS strategy to test and improve on Wall Street 6 minutes

DEIO · 2018-03-12T08:29:35+00:00

HI, Here an idea to use MFI that I consider very interesting. The strategy (ONLY LONG) waits for a cross of a MFI fast and slow. Moreover the average must always go up in the last period. The system perform well on wall street (6 minutes) and has a little DD. It would be nice if anyone can tests it on a frame of time greater than one year (as I can only do). Let me know…. bye //----------------------------------------------------------------------------------------------- //WALL STREET // 6 MIN. DEFPARAM cumulateorders = FALSE CONDAVG = 1 AVG = Average[S](close) FOR C = 1 TO F IF AVG[C-1] > AVG[C] THEN IF CONDAVG = 1 THEN CONDAVG = 1 ENDIF ELSE CONDAVG = 0 ENDIF NEXT TIMEWORK = 000000 TIMESTOP = 240000 F = 20 S = 200 MFIFAST = MoneyFlowIndex[F] MFISLOW = MoneyFlowIndex[S] BASEMFI = MFISLOW[0] > MFISLOW[F] AND MFISLOW[0] > MFISLOW[ROUND(F/2)] AND MFISLOW[0] > MFISLOW[ROUND(F/8)] CONDMFIL = MFIFAST[0] CROSSES OVER MFISLOW[0] //TRAILINGSTART = 50 * PIPSIZE TRAILINGSTART = (close/((S*2)+(F*2))) * PIPSIZE AMNT = TRAILINGSTART * POINTVALUE * COUNTOFPOSITION //GRAPH AMNT SIZEBUY = 1 IF CURRENTTIME >= TIMEWORK AND TIME TRAILINGSTART THEN SET STOP $TRAILING TRAIL ELSE SET STOP $TRAILING AMNT ENDIF IF OPENTIME > 213000 AND DayOfWeek = 5 THEN SELL AT MARKET ENDIF ENDIF

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03/20/2018 at 6:24 AM #65789 quote

DEIO
Participant

Veteran

HI Gertrade,

Thx a lot for improving my strategy even on short.

I made some test on it some days ago but I noticed, and you too I think, that the most of trades are anyway LONG and that’s why

I didn’t use the SHORT code.

Anyway your result is good and now I am going to see better the code you writed (these days I have some family troubles and I have not much time).

Thx a lot for cooperatio.

bye

Gertrade and GraHal thanked this post

10/17/2018 at 11:13 PM #83011 quote

Gianluca
Participant

Master

Ciao. I’ve applied a filter in MTF and a multiplier sistem to begin with only 0.20 cfd.

Nicolas thanked this post

WALL-6M-LS-Filtro-MTF.itf

10/18/2018 at 1:08 PM #83091 quote

Nicolas
Keymaster

Legend

@Gianluca

and how does it performs with the last OOS period?

10/18/2018 at 2:58 PM #83111 quote

Gianluca
Participant

Master

I think very good.

[attachment file=”83112″]

Cattura-1.jpg

10/18/2018 at 3:49 PM #83122 quote

Nicolas
Keymaster

Legend

Good to know it performs good. Thanks for the update! 😉

10/18/2018 at 3:55 PM #83123 quote

DEIO
Participant

Veteran

hi all,

thx to Gialuca for his work….. I’m going to take a look as soon as possible..

bye

10/21/2018 at 6:47 PM #83286 quote

Gianluca
Participant

Master

The Oos is from a demo test 🙂 since march

[attachment file=”83287″]

OOS.jpg

10/21/2018 at 8:36 PM #83291 quote

DEIO
Participant

Veteran

Hi Gianluca,

I did a test on demo for some weeks using the original code I wrote and results were quite good on long trades, but with more drawdown….

Your version seems to keep the drawdown lower with less trades.

Anyway i am very happy to see such results.

At the moment i can t found other instruments on which Apply this code with similar risults.

Thx

Bye

Great work.

10/22/2018 at 8:58 AM #83307 quote

DEIO
Participant

Veteran

Hi again,

I’d tryed some test varying the two parameters of Trend Checker Graph (I didn’t know it …)

here paramters used :

timeframe(36 mn, updateonclose)
Trend = CALL “Trend Checker Graph”[1, 5, 15, 30, 60, 120, 240, 480, 0]
timeframe(6 mn, updateonclose)
Trend2 = CALL “Trend Checker Graph”[1, 5, 15, 30, 60, 120, 240, 480, 0]
timeframe (default)

timeframe(2 day, updateonclose)
Trend = CALL “Trend Checker Graph”[1, 5, 15, 30, 60, 120, 240, 480, 0]
timeframe(2 h, updateonclose)
Trend2 = CALL “Trend Checker Graph”[1, 5, 15, 30, 60, 120, 240, 480, 0]
timeframe (default)

bye

ws_test_mix_r.jpg ws_test_mix.jpg
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