NAS 2m HULL-SAR trading system

• 04/23/2021 at 3:35 PM #167903
  Chrisinobi

  Hello, this week was very bad for 5.5l in the short market in live mode. One should perhaps stick to a long and short variant. I am testing the 1min NAS 7.5 again, in any case 5.5l does not work if the market turns short in the long term, which is starting soon or is already there. nice weekend

  

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  04/26/2021 at 10:19 AM #168042
  LaurentBZH35

  Chrisinobi wrote:

  this week was very bad for 5.5l

  Hi, the “L” of V5.5L is for “Long” trade. So it means it’s a good code for long trade only. You can backtest it to observe the results for short and long rates.

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  LaurentBZH35

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  04/26/2021 at 3:53 PM #168079
  Chrisinobi

  Hello, yes i know it’s very good code. I just wanted to say that when the market goes short, what I think will happen soon, the code shouldn’t be used anymore. If you switch the code to long and short, short runs at a loss. Maybe someone has an idea how to get this under control?

  

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  05/01/2021 at 9:09 AM #168502
  LaurentBZH35

  nonetheless wrote:

  Here’s the itf

  Hello Noetheless,

   

  I would like to know how you manage the optimization of a code. I mean you can’t walk forward all variable same time with large min / max variable so i would like to know how you manage it.

  Thanks

  

  LaurentBZH35

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  05/01/2021 at 11:36 AM #168504
  nonetheless

  I optimize 2 or 3 variables at a time, at first with large steps for a rough cut, then finer steps once I know what the range is going to be. Or I’ll do 4 – 6 at once, around 3000 iterations and let it run overnight.

  I would usually do a rough cut on 100% of data so I can see and compare the results, but I don’t always take the top line (highest gain). If profit is similar I’d rather have a higher % win of more trades, or lower drawdown. Then I run a 70/30 WF with finer steps.

  Hope this helps!

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  nonetheless

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  05/03/2021 at 11:26 AM #168664
  LaurentBZH35

  Thanks for your answer,

   

  What about when there are MTF ? Do you test lower TF and add higher TF step by step ? There are often too much variables with these sorts of code.

   

  What is “WF” in : Then I run a 70/30 WF with finer steps.

   

  You use 100% data so you mean 1M barres ?

   

  Thanks, it helps a lot in the way to test codes

  

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  05/03/2021 at 12:51 PM #168669
  nonetheless

  LaurentBZH35 wrote:

  What about when there are MTF ? Do you test lower TF and add higher TF step by step ?

  ———When I first developed it I optimized the higher TFs separately to get a longer backtest, but now that I’m fairly confident that it works I do everything on the 2min TF, about 6 years backtest.

  What is “WF” in : Then I run a 70/30 WF with finer steps.   You use 100% data so you mean 1M barres ?

  ———WF meaning Walk Forward, but just using one repetition, about 18 months out of sample. Yes, 100% means 1m bars.

   

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  05/03/2021 at 5:15 PM #168705
  LaurentBZH35

  Thanks for your answers 🙂

  

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  05/10/2021 at 9:17 AM #169230
  Ryugin

  Good morning everyone,

   

  I am running  NAS Hull SAR v5.5L in demo and I’ve noticed that it opened positions on may 5th and 6th, but when the positions became positive enough to activate de TS, it did not trigger so I stopped the orders manually, did someone have the same issue?

  Moreover, I also tried to BT and it does not return any operation since april 6th (see image attached), does someone have an explanation for that? I also try to BT 10k bars and PRT says its out of date and does not perform the BT.

   

  Thanks everyone in advance!

   

   

  

  Ryugin

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  05/10/2021 at 9:42 AM #169238
  abraxas

  Same here, somehow it changed some variables values when going from backtest into preparation for auto trading. Look at “tss”, mine was set at 3.2 instead of 0.2

   

  

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  05/10/2021 at 9:48 AM #169242
  Ryugin

  In my case tss variable was correctly set at 0.2. Do you also have the same issue with the BT since april 6th?

  

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  05/10/2021 at 10:17 AM #169247
  abraxas

  No, bt running ok..

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  abraxas

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  05/10/2021 at 1:32 PM #169281
  nonetheless

  tss = trailingpercentshort

  as this is running long only, it’s irrelevant.

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  abraxas

  

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  05/13/2021 at 5:59 PM #169602
  abraxas

  Hiya everyone, today the system opened a position without setting stop loss/take profit. I’m trying to figure out why but am quite clueless.

   

  / Main code : NAS 2m HULL-SAR v5.5 L //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions activated DEFPARAM preloadbars = 5000 //Money Management NAS MM = 1 // = 0 for optimization if MM = 0 then positionsize= 1 ENDIF ONCE acc = 0.028 ONCE acc2 = 0.022 ONCE e = 0.025 ONCE e1 = 0.02 ONCE e2 = 0.02 ONCE f = 8 ONCE lr = 5.0 ONCE ls = 4.0 ONCE mp = 5.0 ONCE p1 = 170.0 ONCE p2 = 17.0 ONCE p3 = 5.0 ONCE pm = 2.0 ONCE q = 0.01 ONCE q1 = 0.025 ONCE q2 = 0.005 ONCE sd = 2.0 ONCE sk = 8.0 ONCE sl = 1.6 ONCE tp = 2.3 ONCE tss = 0.2 ONCE tst = 0.29 ONCE w = 0.015 ONCE w1 = 0.005 ONCE w2 = 0.005 if MM = 1 then ONCE startpositionsize = 0.5 ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.05)// 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 = 0.5 // 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 once tradetype = 2 // [1] long/short [2]long [3]short once closeonreversal = 0 // active when tradetype=2 or tradetype=3 MaxPos = (pm*positionsize) MaxPos2 = (mp*positionsize) Ctime = time >=143000 and time <210000//UK time //Ctime = time >=153000 and time <220000//Euro time TIMEFRAME(12 minutes) Perioda= p1 innera = 2*weightedaverage[round( Perioda/2)](typicalprice)-weightedaverage[Perioda](typicalprice) HULLa = weightedaverage[round(sqrt(Perioda))](innera) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1] ST1 = SAR[q,w,e] c1a = (close > ST1) c2a = (close < ST1) TIMEFRAME(6 minutes) Periodb= p2 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[q1,w1,e1] c3a = (close > ST2) c4a = (close < ST2) //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //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(default) Periodc= p3 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[q2,w2,e2] c5a = (close > ST3) c6a = (close < ST3) CB = Ctime and c1 and c1a AND C3a and c3b and c3c AND C5a and c5b CB2 = c1 and c1a and c3 and c3a and c5 AND C5a CS = Ctime and c2 and c2a AND C4a and c4b and c4c AND C6a and c6 CS2 = c2 and c2a and c4 and c4a and c6 AND C6a IF Not OnMarket THEN Flag = 1 Flag1 = 1 Flag2 = 1 Flag3 = 1 ENDIF // Conditions to enter long positions if tradetype=1 or tradetype=2 then IF not longonmarket and CB and Flag THEN BUY positionsize CONTRACT AT MARKET elsif Ctime and longonmarket and CB2 and COUNTOFLONGSHARES < MaxPos and Flag then BUY positionsize CONTRACT AT MARKET Flag = 0 elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag1 then BUY positionsize CONTRACT AT MARKET Flag1 = 0 elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag2 then BUY positionsize CONTRACT AT MARKET Flag2 = 0 elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag3 then BUY positionsize CONTRACT AT MARKET Flag3 = 0 SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF ENDIF if closeonreversal and tradetype=2 and CS then sell at market endif // Conditions to enter short positions if tradetype=1 or tradetype=3 then IF not shortonmarket and CS THEN sellshort positionsize CONTRACT AT MARKET elsif Ctime and shortonmarket and CS2 and COUNTOFSHORTSHARES < MaxPos then sellshort positionsize CONTRACT AT MARKET SET STOP %LOSS 0.6 SET TARGET %PROFIT 2.3 ENDIF ENDIF // %trailing stop function incl. cumulative positions once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong = tst // % trailingpercentshort = tss // % once acceleratorlong = acc // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= acc2 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(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=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice 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 endif

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  / Main code : NAS 2m HULL-SAR v5.5 L //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions activated DEFPARAM preloadbars = 5000 //Money Management NAS MM = 1 // = 0 for optimization if MM = 0 then positionsize= 1 ENDIF ONCE acc = 0.028 ONCE acc2 = 0.022 ONCE e = 0.025 ONCE e1 = 0.02 ONCE e2 = 0.02 ONCE f = 8 ONCE lr = 5.0 ONCE ls = 4.0 ONCE mp = 5.0 ONCE p1 = 170.0 ONCE p2 = 17.0 ONCE p3 = 5.0 ONCE pm = 2.0 ONCE q = 0.01 ONCE q1 = 0.025 ONCE q2 = 0.005 ONCE sd = 2.0 ONCE sk = 8.0 ONCE sl = 1.6 ONCE tp = 2.3 ONCE tss = 0.2 ONCE tst = 0.29 ONCE w = 0.015 ONCE w1 = 0.005 ONCE w2 = 0.005 if MM = 1 then ONCE startpositionsize = 0.5 ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.05)// 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 = 0.5 // 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   once tradetype = 2 // [1] long/short [2]long [3]short once closeonreversal = 0 // active when tradetype=2 or tradetype=3 MaxPos = (pm*positionsize) MaxPos2 = (mp*positionsize)   Ctime = time >=143000 and time <210000//UK time //Ctime = time >=153000 and time <220000//Euro time   TIMEFRAME(12 minutes) Perioda= p1 innera = 2*weightedaverage[round( Perioda/2)](typicalprice)-weightedaverage[Perioda](typicalprice) HULLa = weightedaverage[round(sqrt(Perioda))](innera) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1]   ST1 = SAR[q,w,e] c1a = (close > ST1) c2a = (close < ST1)   TIMEFRAME(6 minutes) Periodb= p2 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[q1,w1,e1] c3a = (close > ST2) c4a = (close < ST2)   //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //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(default) Periodc= p3 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[q2,w2,e2] c5a = (close > ST3) c6a = (close < ST3)   CB = Ctime and c1 and c1a AND C3a and c3b and c3c AND C5a and c5b CB2 = c1 and c1a and c3 and c3a and c5 AND C5a   CS = Ctime and c2 and c2a AND C4a and c4b and c4c AND C6a and c6 CS2 = c2 and c2a and c4 and c4a and c6 AND C6a   IF Not OnMarket THEN Flag = 1 Flag1 = 1 Flag2 = 1 Flag3 = 1 ENDIF // Conditions to enter long positions if tradetype=1 or tradetype=2 then IF not longonmarket and CB and Flag THEN BUY positionsize CONTRACT AT MARKET elsif Ctime and longonmarket and CB2 and COUNTOFLONGSHARES < MaxPos and Flag then BUY positionsize CONTRACT AT MARKET Flag = 0 elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag1 then BUY positionsize CONTRACT AT MARKET Flag1 = 0 elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag2 then BUY positionsize CONTRACT AT MARKET Flag2 = 0 elsif longonmarket and CB2 and positionperf <0 and COUNTOFLONGSHARES < MaxPos2 and Flag3 then BUY positionsize CONTRACT AT MARKET Flag3 = 0 SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF ENDIF     if closeonreversal and tradetype=2 and CS then sell at market endif   // Conditions to enter short positions if tradetype=1 or tradetype=3 then IF not shortonmarket and CS  THEN sellshort positionsize CONTRACT AT MARKET elsif Ctime and shortonmarket and CS2 and COUNTOFSHORTSHARES < MaxPos then sellshort positionsize CONTRACT AT MARKET SET STOP %LOSS 0.6 SET TARGET %PROFIT 2.3 ENDIF ENDIF   // %trailing stop function incl. cumulative positions once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong  = tst // % trailingpercentshort = tss // % once acceleratorlong = acc // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= acc2 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity  = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(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=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice 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 endif

  

  abraxas

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  05/13/2021 at 8:48 PM #169629
  robertogozzi

  Try commenting out lines 150-151, then adding these lines at line 154:

  If not OnMarket then SET STOP %LOSS sl SET TARGET %PROFIT tp Endif

  1 2 3 4

  If not OnMarket then    SET STOP   %LOSS   sl    SET TARGET %PROFIT tp Endif

   

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  OboeOpt, Midlanddave, nonetheless, abraxas

  

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