NAS 3 x HULL MA trading system

• 09/22/2020 at 12:33 AM #144929
  robertogozzi

  Being always ON MARKET the MM part will never run as it is now, but you can replace IF NOT ON MARKET THEN with:

  IF StrategyProfit <> StrategyProfit[1] THEN

  1	IF StrategyProfit <> StrategyProfit[1] THEN

  because each time a trade is closed (no matter whether a new one is started at the same time), STRATEGYPROFIT is updated, so it will be different than it was the previous candle.

  Another solution would be replacing IF NOT ONMARKET THEN with:

  IF (LongOnmarket AND ShortOnMarket[1]) OR (LongOnmarket[1] AND ShortOnMarket)

  1	IF (LongOnmarket AND ShortOnMarket[1]) OR (LongOnmarket[1] AND ShortOnMarket)

  which checks whenever a different positions has been entered (and the previous one closed).

  I prefer the first solution.

  This way you will be able to execute the MM part to manage the position size.

   

  3 users thanked author for this post.

  swedshare, nonetheless, ichimoku18

  

  robertogozzi

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  09/22/2020 at 12:48 AM #144932
  boonet

  Anyone can run this on 200k?

  DJI-1m

  Could be too curve fitted, but interesting to see how it goes. Thanks in advance.

  Defparam CumulateOrders = false TIMEFRAME(5 minutes, updateonclose) mac = MACD[8,6,4] bull5 = mac > 0 bear5 = mac < 0 TIMEFRAME(2 minutes, updateonclose) bull2 = Average[5] > Average[13] bear2 = Average[5] < Average[13] TIMEFRAME(default) Period= 7 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) Periodb= 42 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) Periodc= 17 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] bull = c1 and c3 and c5 and bull5 and bull2 bear = c2 and c4 and c6 and bear5 and bear2 //Timeframe(default) //Once BB = 20 //Once p = 54 //MaxbbUP = highest[p](BollingerUp[BB](close)) and bull //MinbbDN = lowest[p](BollingerDown[BB](close)) and bear //MyAdx = (summation[p](Adx[14] < 25) = p) //If MyAdx then //Buy 1 contract at MaxbbUP Stop //Sellshort 1 contract at MinbbDN Stop //Endif //// Conditions to enter long positions IF NOT LongOnMarket AND bull THEN BUY 1 CONTRACTS AT MARKET ENDIF // //// Conditions to exit long positions //If LongOnMarket AND YourConditions THEN //SELL AT MARKET //ENDIF // //// Conditions to enter short positions IF NOT ShortOnMarket AND bear THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF // //// Conditions to exit short positions //IF ShortOnMarket AND YourConditions THEN //EXITSHORT AT MARKET //ENDIF // Stops and targets : Enter your protection stops and profit targets here //SET STOP %LOSS 1 SET STOP pLoss 300 //SET TARGET pProfit 100 // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once tsincrements = .03//.05 // set to 0 to ignore tsincrements once tsminatrdist = 1//3 once tsatrperiod = 14 // ts atr parameter once tsminstop = 12 // ts minimum stop distance once tssensitivity = 1 // [0]close;[1]high/low if trailingstoptype then if barindex=tradeindex then trailingstoplong = 2 // ts atr distance trailingstopshort = 2 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10)*pipsize)/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)*pipsize) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 endif if tssensitivity then tssensitivitylong=high tssensitivityshort=low else tssensitivitylong=close tssensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-tradeprice(1)>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif endif

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  Defparam CumulateOrders = false   TIMEFRAME(5 minutes, updateonclose) mac = MACD[8,6,4] bull5 = mac > 0 bear5 = mac < 0   TIMEFRAME(2 minutes, updateonclose)   bull2 = Average[5] > Average[13] bear2 = Average[5] < Average[13]     TIMEFRAME(default) Period= 7 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) Periodb= 42 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) Periodc= 17 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]   bull = c1 and c3 and c5 and bull5 and bull2 bear = c2 and c4 and c6 and bear5 and bear2 //Timeframe(default) //Once BB = 20 //Once p  = 54 //MaxbbUP = highest[p](BollingerUp[BB](close)) and bull //MinbbDN = lowest[p](BollingerDown[BB](close)) and bear //MyAdx   = (summation[p](Adx[14]  < 25) = p) //If MyAdx then //Buy       1 contract at MaxbbUP Stop //Sellshort 1 contract at MinbbDN Stop //Endif   //// Conditions to enter long positions IF NOT LongOnMarket AND bull THEN BUY 1 CONTRACTS AT MARKET ENDIF // //// Conditions to exit long positions //If LongOnMarket AND YourConditions THEN //SELL AT MARKET //ENDIF // //// Conditions to enter short positions IF NOT ShortOnMarket AND bear  THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF // //// Conditions to exit short positions //IF ShortOnMarket AND YourConditions THEN //EXITSHORT AT MARKET //ENDIF   // Stops and targets : Enter your protection stops and profit targets here   //SET STOP %LOSS 1   SET STOP pLoss 300 //SET TARGET pProfit 100   // trailing atr stop once trailingstoptype     = 1    // trailing stop - 0 off, 1 on   once tsincrements = .03//.05         // set to 0 to ignore tsincrements once tsminatrdist = 1//3   once tsatrperiod    = 14         // ts atr parameter once tsminstop      = 12         // ts minimum stop distance   once tssensitivity        = 1    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 2   // ts atr distance trailingstopshort    = 2   // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10)*pipsize)/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)*pipsize) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 endif if tssensitivity then tssensitivitylong=high tssensitivityshort=low else tssensitivitylong=close tssensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-tradeprice(1)>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif endif

   

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  ichimoku18

  

  boonet

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  09/22/2020 at 8:42 AM #144945
  Nicolas

  That’s indeed overfitted over the last 100k bars.

  

  Nicolas

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  09/22/2020 at 8:54 AM #144953
  boonet

  Thanks @Nicolas.
  I thought so 🙂
  Anyone have any inputs how it can be improved further?
  Prolly optimization expert @nonetheless ?

  

  boonet

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