Momentum-Range Differential Acceleration System
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Issues like you experienced jonjon are partly why I suggest in post #32898 that we leave in the numbers for the variable sets when we attach an .itf file.
The other reason is that unless we can see the range of variables used by an optimiser submitting code and re-optimise a few ourselves then how can we have confidence in the values?
I’m sure we have all re-optimised Systems submitted on the various Threads and in the Library and found variable values that give better results?
Leaving the variable sets / range in the file makes it easier to do a confidence check?
GraHal
1 user thanked author for this post.
Hi guys,
Understanding the code (indicators) before you optimize
Before dumping the code base on a new asset class, you need to fully understand the code, how it’s working and what it does. Pull it apart. Make custom indicators from the indicator section. See how they work graphically on different instruments. This way it will make more sense as to what ranges you need to try.Where to start optimizing for a new asset
Think about price action characteristics on the asset the system works well on – ATR, volatility, etc. Think about how that relates to the asset you want to move onto trying. For example if the new asset is less volatile, you’ll want to try variable ranges that make sense to reflect that. In this case smaller = less volatile.Not a one-size-fits-all
Although the premise is market-agnostic, that PRT code I posted in the library is not a one-size-fits-all. Different asset classes will need different filters so you need to do the research. If you look at the filters I’ve used for the example (EUR/USD) you’ll see they may not make sense out of the box for stocks or for commodities due to the way stocks and commodities move. By filters I mean reasons NOT to take a (potentially weak) setup.3 users thanked author for this post.
Hi Again.
I did some troubleshooting- forked the bc1 into 5 indicators.
What I could see is
12bc2 = (mc >= mcThreshold)bc3= (rc >= rcThreshold)is never gonna be true until I *pipsize the Thresholds.
It looks like this. Question is why do some get trades, and some don’t?
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122// ====================================== \// :: MDif-RDif// Long Name : Momentum Differential and Range Differential Accelleration// Version : v1.11// Author : Maz @ prorealcode.com// Date : 07-04-2017// Contact : prtmaz at gmail dot com// -------------------------------------- //// ====================================== \// :: Optimizations --// -------------------------------------- //once optimization = 1 // 1 = EUR/USD M15// Set to 0 for re-optimization and walk-forwardif optimization = 1 then// Static Optimization for EUR/USD M15// May 2015 - April 2017wintarget = 43 // Clip target to maximum of x pointsminTradeTime = 43 // stay in trade for at least x bars// try also 27mcShortPeriod = 5 // Short period momentumrcShortPeriod = 4 // Short period average rangemcLongPeriod = 100 // Long period momentumrcLongPeriod = 100 // Long period average rangemcThreshold = 2*pipsize // Momentum coefficient thresholdrcThreshold = 8.5*pipsize // Range coefficient thresholdmaShortPeriod = 18 // Short term moving averagemaLongPeriod = 53 // Long term moving average// ( try also 150 / or 53 for 70% hit rate / or 51elsif optimization = 2 then// Insert your optimizations here// wintarget = 43 // Clip target to maximum of x points// minTradeTime = 43 // stay in trade for at least x bars// ...wintarget = 43 // Clip target to maximum of x pointsminTradeTime = 43 // stay in trade for at least x barsmcShortPeriod = 5 // Short period momentumrcShortPeriod = 4 // Short period average rangemcLongPeriod = 100 // Long period momentumrcLongPeriod = 100 // Long period average rangemcThreshold = 0.1*pipsize // Momentum coef or dif thresholdrcThreshold = 0.9*pipsize // Range coef or dif thresholdmaShortPeriod = 18 // Short term moving averagemaLongPeriod = 53 // Long term moving averageendif// ====================================== \// :: Indicators --// xr = max(0, xr) // hide values below zero// -------------------------------------- //// Momentum Differential ============= \mShort = momentum[mcShortPeriod]mLong = momentum[mcLongPeriod]mc = max(abs(mShort) - abs(mLong), 0)// ----------------------------------- //// Range Differential ================= \r = abs(range)arLong = average[max(1, rcLongPeriod)](r)arShort = average[max(1, rcShortPeriod)](r)rc = max(0, arShort - arLong)// ----------------------------------- //// General Indicators ================= \upBar = close > openmaShort = exponentialAverage[maShortPeriod](Close)maLong = exponentialAverage[maLongPeriod](Close)// ----------------------------------- //// ====================================== \// :: Entry Logic// -------------------------------------- //// long entry rules (buy condition)bc1 = not longOnMarketbc2 = (mc >= mcThreshold)bc3= (rc >= rcThreshold)bc4 = upBarbc5 = maShort > maShort[1]// long exit rules (exit long conditions)le1 = longOnMarketle1 = le1 and ( barIndex >= barIndexAtBuy + minTradeTime )le1 = le1 and (maLong < maLong[4])// short entry rule// -- na --// short exit rules// -- na --// ====================================== \// :: Execution Handlers// -------------------------------------- //if bc1 and bc2 and bc4 and bc3 and bc5 thenbuy 1 shares at marketset target pprofit wintargetbarIndexAtBuy = barIndexendifif le1 and longOnMarket thensell at marketendif//graph mc COLOURED(255,0,0) AS "mc"//black//graph mcThreshold COLOURED(0,255,0) AS "mcThreshold"//blackgraph rc COLOURED(255,0,0) AS "rc"//blackgraph rcThreshold COLOURED(0,255,0) AS "rcThreshold"//black//graph bc3 COLOURED(0,0,255) AS "bc3"//black//graph bc4 COLOURED(0,255,255) AS "bc4"//black//graph bc5 COLOURED(255,255,0) AS "bc5"//black1 user thanked author for this post.
$ M-R Dif EURUSD M15 Long works good for me Kasper, attached results.
I cant recall making any changes, but my version is attached.
Site below is well easy to use for checks on code difference if you ever need it.
GraHal
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