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NAS 2m HULL-SAR trading system
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NIK 1m Hull-SAR
Hello everyone
Thank you very much for this good basic strategy. I ask for your indulgence and understanding, because I am still a beginner, do not speak English and work with a translator!
I do a test and optimization with Nikkei, with good results (see appendix). It doesn’t run live for very long and keeps getting error messages (see appendix). During the American trading hours it runs for 4 to 5 hours and a profit trade has already been achieved, but I need your help. How to get the algorithm stable, without error message and shutdown. On Nasdaq, things are going better but not perfect either, with 2 to 3 errors a week (always live).
– Error 1: Division by zero – what protections are there? That’s why I use MTF 5min over 7min to 22min total runs on 1min.
– Error 2: Historical data is not sufficient?
Ask for your help. I think the algorithm has potential. What is your opinion on this?
One more general question at the end. Can algorithms, after hundreds of hours of invested work, win in the long run? When will the marketplace come? ( I have at the moment 10 Algo live, of which 5 for rent )
Once again, pay tribute to your work!
Here are the .itf and pictures.
Thank you for your comment and help.
// Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 10000 //Money Management NAS MM = 0 // = 0 for optimization if MM = 0 then positionsize=0.5 ENDIF if MM = 1 then ONCE startpositionsize = 0.5 ONCE factor = 6 // 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 = .5 // enter minimum position allowed IF StrategyProfit <> StrategyProfit[1] THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF StrategyProfit <> StrategyProfit[1] 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 StrategyProfit <> StrategyProfit[1] 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 >=103000 and time <211400 TIMEFRAME(22 minutes) Period= 80 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] or HULLb > HULLa c2 = HULLa < HULLa[1] or HULLb < HULLa ST1 = SAR[0.02,0.015,0.025] c1a = (close > ST1) c2a = (close < ST1) TIMEFRAME(7 minutes) Periodb= 17 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c3 = HULLb > HULLb[1] c4 = HULLb < HULLb[1] c3b = HULLb > HULLb[1] and HULLb[1] < HULLb[2] c4b = HULLb < HULLb[1] and HULLb[1] > HULLb[2] ST2 = SAR[0.015,0.015,0.02] c3a = (close > ST2) c4a = (close < ST2) //Stochastic RSI | indicator lengthRSI = 3 //RSI period lengthStoch = 3 //Stochastic period smoothK = 6 //Smooth signal of stochastic RSI smoothD = 4 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c3c = K>D c4c = K<D TIMEFRAME(5 minutes) 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] c5b = HULLc > HULLc[1] c6b = HULLc < HULLc[1] ST3 = SAR[0.005,0.015,0.015] c5a = (close > ST3) c6a = (close < ST3) TIMEFRAME(default) Once MaxPositionsAllowed = 5*positionsize // Conditions to enter long positions IF not longonmarket and Ctime and c1 and c1a AND C3a and c3b and c3c AND C5a and c5b THEN BUY positionsize CONTRACT AT MARKET elsif longonmarket and Ctime and c1 and c1a and c3 and c3a and c5 and COUNTOFLONGSHARES < MaxPositionsAllowed then BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.6 SET TARGET %PROFIT 1.4 ENDIF // Conditions to enter short positions IF not shortonmarket and Ctime and c2 and c2a AND C4a and c4b and c4c AND C6a and c6b THEN sellshort positionsize CONTRACT AT MARKET elsif shortonmarket and Ctime and c2 and c2a and c4 and c4a and c6 and COUNTOFSHORTSHARES < MaxPositionsAllowed then sellshort positionsize CONTRACT AT MARKET SET STOP %LOSS 1.2 SET TARGET %PROFIT 1.7 ENDIF // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== once trailingpercentlong = 0.47 // % once trailingpercentshort = 0.56 // % once accelerator = 0.095 // 1 = default; always > 0 (i.e. 0.5-3) once accelerator2 = 0.31 // 1 = default; always > 0 (i.e. 0.5-3) once ts2sensitivity = 0 // [0]close;[1]high/low;[2]low;high //==================== once steppercentlong = (trailingpercentlong/10)*accelerator once steppercentshort = (trailingpercentshort/10)*accelerator2 if onmarket then trailingstartlong = positionprice[1]*(trailingpercentlong/100) trailingstartshort = positionprice[1]*(trailingpercentshort/100) trailingsteplong = positionprice[1]*(steppercentlong/100) trailingstepshort = positionprice[1]*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=2 then ts2sensitivitylong=low ts2sensitivityshort=high else ts2sensitivitylong=close ts2sensitivityshort=close endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endifBoris thanked this postHello Nevertheless, thank you for your response and I appreciate her excellent work. I have 2 variants Live, NAS 1m Hull-SAR v.7.5 is very good for Long and Short ( see appendix ), but unfortunately brings bugs every now and then, Division Zero, which was also template for Nikkei, where it doesn’t work at all and then I still have NAS 2m Hull-SAR v5.5L Live, runs first without errors but unfortunately only Long good and Short rather bad (see appendix) . Is it possible to optimize, as the short also runs? That would be perfect! There are other times that the whole market short goes. Have version v5.5 also tested on Nikkei looks perfect ( see appendix ) it would pay off to get the short under control. I think you should have other values in your portfolio than DOW, DAX and so on. I’m happy to hear from them again and maybe you’re going to get to the short problem. Unfortunately, I am only a user and not a programmer, because I lack too many connections.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 10/09/2020 |
| Status: | Active |
| Attachments: | 129 files |