ncandle and reversal filtered strategy

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Viewing 15 posts - 1 through 15 (of 27 total)
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  • 05/18/2017 at 11:27 AM #35968
    Francesco78

    Dear all

    I thought it would be worth opening a discussion regarding the strategy I recently posted.

    https://www.prorealcode.com/prorealtime-trading-strategies/usdjpy-3candles-reversal-strategy-adx-vol-filter/

    There has been some issues for the code for some of you which I think could be somehow related to different platform used by different people. I followd the suggestion by Nicolas and mad slighly change in the code that hopefully will make it working for everyone who is interested.

    I have been looking for other currency pairs/other timeframes that can be suitable for the strategy and wanted to share some of the results.

    In particular you find attached :

    • CADJPY time frame 1hr
    • USD CAD time frame 1hr
    • USD JPY time frame 1hr
    • USD JPY timeframe 15 mins.
    3 users thanked author for this post.
    avatar Juan Salas, avatar shephinc, avatar Nicolas
    05/18/2017 at 11:28 AM #35973
    Francesco78

    I also attach the codes

    1 user thanked author for this post.
    avatar shephinc
    06/11/2017 at 4:22 PM #38065
    noisette

    Hi Fancesco78,

    I tried  to backtest 2 USD:JPY strategies but no position is open.

    Did you send the right codes?

    Regards

    06/11/2017 at 6:20 PM #38071
    Francesco78

    Hi Noisette ,this is a problem many have had, I think is because of the condition ATR min

    I think you need to devide by 100 the atrmin because you might have a different quote  or just multiply the atrmin by pointvalue.

    Let me know how it goes

    thanks

    Francesco

    06/11/2017 at 6:22 PM #38072
    Francesco78

    line 11

    atrmin= 10*pointvalue // take poistion only if there is enough vol

     

    same for the others

    06/11/2017 at 9:46 PM #38084
    noisette

    Hi,

    Still doesn’t work. I’ll spend some time to find the solution.

    Regards

    1 user thanked author for this post.
    avatar Francesco78
    06/12/2017 at 11:14 PM #38163
    noisette

    Hi,

    It’s very strange: It sometime works and sometime not!

    But when it works, I don’t good result as your!

    06/13/2017 at 11:46 AM #38214
    Francesco78

    Realy weird, do you mind to send me a screenshot of what you see?

    Thank you

    06/15/2017 at 10:47 PM #38394
    noisette

    Hi,

    As you said, I think that there is a problem with ATR: ATR value is most of the time under 1 so it ATRMIN should be a value around 0,05.

    And also the size of position is very important.

    Regard.

    06/26/2017 at 10:27 PM #39150
    DarioMazza

    Doesn’t work… im so srry

    06/29/2017 at 1:50 PM #39403
    Francesco78

    HI Dario, I’m sure we can make it work. Check carefully the code, check that the order of magnitude of the number are comparable among eachother

    07/04/2017 at 1:02 PM #39781
    kg6450

    Hi @Francesco78, I’ve been looking at a few of your codes and they all work really well, I’m just a bit curious about your position sizing code.

    I understand the logic behind it – open larger positions when volatility is low and vice versa but in practice don’t you find that the system is overall more profitable with a fixed position size?

    For example I have been testing the DAXMNandBK strategies and I found that its far more profitable to just open at £5/point which gives a much, much greater profit and a lower drawdown. What do you think?

    07/04/2017 at 1:25 PM #39786
    Francesco78

    Hi kg6450.

    Thank you for spending your time on my codes.

    Regarding your question, I think you are generally right, I was using that position sizing at the beginning of my experience on coding, I thought it would have made sense but in practice yes, when I put my system live I tend to use fixed sizes now. I changed personally my attitude, at the beginning I was looking for big profits and few strategies, so I was tempted to over optimize them and try to add something “special” on them, like for instance your position sizing. Now I am comforted with the idea that there are really a lot of strategies that you can use live so I tend to keep small and constant size but many strategies at once.

     

    1 user thanked author for this post.
    avatar AlgoAlex
    07/04/2017 at 2:22 PM #39792
    kg6450

    I know what you mean, when you think about the idea of position sizing based on volatility it seems like a solid idea, but when it ran and opened at £10/point I found I would feel uncomfortable and end up closing out early.

    More systems at smaller position sizes I think is definitely the safer method!

    07/04/2017 at 2:31 PM #39793
    Francesco78

    It is not really about the size, you can scale it down even if size is linked to volatility.

    I think is about trying to do logical things vs “artistic” thing. I have the impression a genral rule that might be useful  when building an algorithm is:

    try to come up with a logic idea and then twist it a little bit in an illogical way to make it work

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