Hello all, I stumbled upon this more or less by accident and can’t understand why it seems that it ‘might’ actually work.

It enters long when a) the slow MA is above the fast MA (normally short conditions) and b) when the slow MA changes direction. How is this possible? By the time a slow MA can change direction surely it would be below the fast MA?

Attached are backtests for 4min and 3min versions, both of which appear to be profitable over the past year. Position size = €1

If anyone could enlighten me as to what is going on here, I’d be most grateful.

// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions deactivated
DEFPARAM preloadbars = 5000
//Money Management NAS
MM = 0 // = 0 for optimization
if MM = 0 then
positionsize=1
ENDIF
if MM = 1 then
ONCE startpositionsize = 1
ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE tier1 = 200 //  IG first tier margin limit
ONCE maxpositionsize = 2000 // IG tier 2 margin limit
ONCE minpositionsize = 1 // enter minimum position allowed
IF Not OnMarket THEN
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF Not OnMarket THEN
IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then
positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin
ENDIF
IF Not OnMarket THEN
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize //keeps positionsize from going below allowed minimum
ENDIF
IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit
ENDIF
ENDIF
ENDIF
ENDIF


Ctime = time >=080000 and time <210000

TIMEFRAME(default)
Period= 5
inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)
HULLa = weightedaverage[round(sqrt(Period))](inner)

Periodb= 24
innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice)
HULLb = weightedaverage[round(sqrt(Periodb))](innerb)

Periodc= 90
innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice)
HULLc = weightedaverage[round(sqrt(Periodc))](innerc)

c1 = HULLb > HULLa
c2 = HULLb < HULLa
c3 = HULLb > HULLb[1]and HULLb[1]<HULLb[2]
c4 = HULLb < HULLb[1]and HULLb[1]>HULLb[2]
c5 = HULLc > HULLc[1]
c6 = HULLc < HULLc[1]

// Conditions to enter long positions
IF Ctime and c1 AND C3 AND C5 THEN
BUY positionsize CONTRACT AT MARKET
ENDIF

// Conditions to enter short positions
IF Ctime and c2 AND C4 AND C6 THEN
SELLSHORT positionsize CONTRACT AT MARKET
ENDIF

//SET STOP %LOSS sl
//SET TARGET %PROFIT tp

NAS-HxH.jpg