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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02/16/2021 at 11:52 AM #161629

nonetheless

Thanks for that Vinzent, it does look good for those 8 months. Which itf are you using?

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02/16/2021 at 11:57 AM #161632

VinzentVega

I changend some variables in that algo. Pls see itf attached.

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Midlanddave, LaurentBZH35, nonetheless

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02/16/2021 at 12:59 PM #161647

nonetheless

not too bad on 1m bars (positionsize 0.4, maxpositionsallowed =3, to make it more comparable to the NAS version)

Thanks for that, I’ll have a closer look at it later.

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02/16/2021 at 1:16 PM #161652

VinzentVega

Looks good for the first view. Maybe this have potenzial. The second version is TP optimized (points instead of %)

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02/16/2021 at 10:12 PM #161720

bege

Both DOW versions look great, but I see that they are long only? Have you tried to optimize a bidirectional version? Are they optimised on 1M?

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02/16/2021 at 10:13 PM #161721

josef1604

hello, this can be put to operate in real or demo? How could it be if the answer to the previous question is no? Thank you

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02/17/2021 at 9:31 AM #161762

nonetheless

begetrader wrote:

Have you tried to optimize a bidirectional version?

Might work for the DOW, going long/short on the NAS didn’t seem to be worth it.

josef1604 wrote:

this can be put to operate in real or demo?

I think that’s a question only you can answer!

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josef1604

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02/17/2021 at 5:45 PM #161835

LaurentBZH35

It looks quite good in 200k and 1M bars. It’s with one contract.

Congratulations

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02/18/2021 at 8:44 AM #161883

Pinou39400

Unable to launch in real time, prorealtime asks to put fixed values.

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02/18/2021 at 9:13 AM #161891

nonetheless

Pinou39400 wrote:

prorealtime asks to put fixed values.

that means you have to take the values from the optimization window and insert them in the code, in place of the variable.

eg. in DOW-SAR-2m-Test replace ‘hull12’ with 85 etc, then delete everything in the opt window.

In v11 this is not necessary, so I presume you are running v10.3?

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02/18/2021 at 9:33 AM #161894

LaurentBZH35

Here are the variables in 1 M bars

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02/18/2021 at 12:59 PM #161914

OboeOpt

nonetheless wrote:

In v11 this is not necessary

What? Can I just start algos variables in the code with v11?

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02/18/2021 at 1:56 PM #161918

nonetheless

yes, it automatically writes them into the code.

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02/18/2021 at 4:36 PM #161932

bege

While scanning through older itf-files I saw that NAS 1m HULL-SAR v4.5 is performing quite good the last couple of weeks. I guess that the strategy was developed with 200K it would be interesting to see how it performs on 1M. Since I only have 100k on my swedish IG account, my sight is quite narrow. Tell me if I am wrong but I have experienced that december was tough for trend following algos so that can explain the lesser good result during this period.

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02/18/2021 at 6:31 PM #161946

Pinou39400

Thank you very much for your work. it works with v11

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NAS 2m HULL-SAR trading system

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