NAS 2m HULL-SAR trading system

nonetheless · Fri, 09 Oct 2020 07:49:05 +0000

This is a new 2m strategy I’ve been working on, uses Hull MA and Parabolic SAR in 3 time frames with cumulative orders. Short back test so may be a curve fit but the VRT is good. I think it can still be improved but I’ve run out of ideas so any suggestions are welcome, maybe a limit to the number of positions? Cumulative orders are not to everyone’s taste, and the drawdown is huge – you’d need a lot of capital to run it – but as a % of the runup it’s not that bad. Could be worth playing with… Ctime = time >=143000 and time <210000 TIMEFRAME(18 minutes) Period= 155 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1] ST1 = SAR[.005,.005,.02] c1a = (close > ST1) c2a = (close < ST1) TIMEFRAME(6 minutes) Periodb= 29 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c3 = HULLb > HULLb[1] c4 = HULLb < HULLb[1] ST2 = SAR[.005,.005,.02] c3a = (close > ST2) c4a = (close < ST2) TIMEFRAME(default) Periodc= 4 innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice) HULLc = weightedaverage[round(sqrt(Periodc))](innerc) c5 = HULLc > HULLc[1] and HULLc[1] < HULLc[2] c6 = HULLc < HULLc[1] and HULLc[1] > HULLc[2] ST3 = SAR[.01,.01,.005] c5a = (close > ST3) c6a = (close < ST3) // Conditions to enter long positions IF Ctime and c1 and c1a AND C3 and c3a AND C5 and c5a THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS .7 SET TARGET %PROFIT 1.7 ENDIF // Conditions to enter short positions IF Ctime and c2 and c2a AND C4 and c4a AND C6 and c6a THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 1.1 SET TARGET %PROFIT 1.3 ENDIF //%trailing stop function trailingstop = 1 if trailingstop =1 then once trailingPercent = 0.38 once stepPercent = 0.006 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF endif

This topic has 343 replies, 42 voices, and was last updated 1 year ago by bege.

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02/04/2021 at 11:20 AM #160330

Ryugin

nonetheless wrote:

see above:

#154220

I mean on 1 minute timeframe 1 million bars, sorry didn’t explain it properly 🙂

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02/04/2021 at 11:42 AM #160332

nonetheless

why would you want to run it on 1min? it would need to be completely rebuilt on a backtest half the size.

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Ryugin

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02/04/2021 at 3:25 PM #160349

cgassfr67

DAX Hull SAR 2m Long only

Hello,

I make an test, and optimization with DAX 2m, and 200Kbars

I take the NAS 2m Hull SAR V5.3L from Nonetheless (take you again)

I make the optimization,from the 12min parameter, after from the 6min parameter, after, the 2min parameter, and SL and TP.

I don’t modify the trailling stop and trailling percent.

Here are the itf and picture

Thank you for your comment

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02/04/2021 at 5:28 PM #160364

nonetheless

Hey, thanks for that – nice thought, but not so pretty on 1m bars. I also tried a few things to make it work on the DAX but 2018 was always disastrous so I gave up.

A couple of things that aren’t helping is that you didn’t change the hours for Germany (the NAS runs on Wall St hours) so can probably be better optimized if 090000 – 173000

Spread should be 1.2

Also, you changed the Maxpositionsallowed to 1, which is the same as Cumulative orders = false … not sure if you meant to do that.

nonetheless
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02/04/2021 at 8:53 PM #160392

cgassfr67

I test with Time 09 to 17, and is was worse. So i let 15h30 22h. Many times the Dax follow the US.

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02/04/2021 at 8:55 PM #160393

cgassfr67

I test all ae with 1 lot, so it is easier to compare. Thanks for your comment.

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02/14/2021 at 3:07 PM #161406

reb

Hi all

First of all, thanks for this strategy

@nonetheless, I try to use DJ 1m HULL-SAR v7.5 but it is quickly blocked by PRT.

The reason is : stop loss is nearer than the 10 points allowed by IG. The programm is stopped, even if there is an open position.

In which part of the code do I have to introduce this IG restriction (Stop>10pts)

Thanks in advance

Reb

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02/14/2021 at 4:10 PM #161407

nonetheless

You get that error because the minimum stop level changes at different times of the day. To fix it, tick the box that says ‘Readjust stops’ when you launch the strategy.

Please note that that system was optimized on a very short back test (v10.3) so I can’t really recommend it. None of the DJ versions work especially well over 1m bars.

nonetheless
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02/14/2021 at 4:30 PM #161409

reb

Thanks,

I didn’t this tip on the 11th version

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02/14/2021 at 5:18 PM #161413

bege

It would be nice to see a 1M backtest of DJ 1m HULL-SAR v7.5 since it looked promising on 100K. Any plans on a new DJ version optimised on 1M?

bege
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02/14/2021 at 5:54 PM #161416

nonetheless

As you can see, it’s fairly disastrous in the OOS walk back. I have tried to rework this for the DJ but it’s not nearly as good as the NAS version.

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bege

nonetheless
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02/15/2021 at 10:08 AM #161451

reb

I don’t have this report on the DJ version

More trades et more profitable

something wrong ?

reb
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02/15/2021 at 11:20 AM #161471

nonetheless

No idea why yours is different to mine, but it’s still a disaster! ☹

NAS 2m 5.3L is the only one I’m running, attached is the forward testing since Dec 21 with MM

nonetheless
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02/15/2021 at 12:23 PM #161475

reb

the single difference in the code, is the GMT+1 hour

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02/16/2021 at 11:45 AM #161624

VinzentVega

In 2 min timeframe on DJ the algo is working a little bit better then in 1min. Attached two versions.

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NAS 2m HULL-SAR trading system

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