Optimising the Period on a Standard Deviation Indicator

• 03/23/2019 at 4:13 PM #94500
  Bard

  I have an Average Filter Regression indicator (using #43 “Reference Fast Trend Line” from the list of 66 filters) that is part of the rules for entry of an auto system I’m testing. The price must cross over the 30 period filter for a buy/sell signal.

  https://www.prorealcode.com/prorealtime-indicators/average-filter-regression/

  When I optimised the period (30) and changed it to “a” and added it as a variable I get the same results? (Pls see screenshot).
  This reminds me of the initial problems optimising the Kase Dev Stop but for the life of me I can’t figure out what the reason is in this case.
  For example if I optimise the period for the std deviation indicator (also a condition of entry, in that the std dev must be > the 30 period exponential mov average applied to the std dev indicator), there is no problem and lots of different profits produced.

  indicator1 = CALL "Average Filter Regression"[43, a](close)

  1	indicator1 = CALL "Average Filter Regression"[43, a](close)

  Any ideas what I’m doing wrong? (I always assume “user error” with PRT because it’s far more versatile than I am!)

  

  Bard

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  03/24/2019 at 8:31 AM #94528
  Bard

  Ps/ The indicators’ Period setting is already striked out: Pls see screenshot.

   

  

  Bard

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  03/24/2019 at 10:03 AM #94542
  GraHal

  You shared the code in a screen shot, if you post the .itf file also then I would run it on my Platform to see if I replicate your Issue and maybe spot a reason / fix?

  And / or post the code on the screen (to enable copy, paste, run ) then others may spot the Issue by checking the code (easier than a screen shot of the code)?

  1 user thanked author for this post.

  Bard

  

  GraHal

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  03/25/2019 at 4:41 PM #94679
  Bard

  Cheers @GraHal, Here it is:

  Ave Filt Reg-43 Fast Trend OPT

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = CALL "Average Filter Regression"[43, a](close) c1 = (close CROSSES OVER indicator1) indicator2 = 25*BollingerBandWidth[21](close) indicator3 = CALL "Average Filter Regression"[9, 30](25*BollingerBandWidth[21](close)) c2 = (indicator2 > indicator3) IF c1 AND c2 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to exit long positions ignored, indicator4, ignored, ignored, ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c3 = (close CROSSES UNDER indicator4) IF c3 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = CALL "Average Filter Regression"[43, a](close) c4 = (close CROSSES UNDER indicator5) indicator6 = 25*BollingerBandWidth[21](close) indicator7 = CALL "Average Filter Regression"[9, 30](25*BollingerBandWidth[21](close)) c5 = (indicator6 > indicator7) IF c4 AND c5 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Conditions to exit short positions ignored, indicator8, ignored, ignored, ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c6 = (close CROSSES OVER indicator8) IF c6 THEN EXITSHORT AT MARKET ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = CALL "Average Filter Regression"[43, a](close) c1 = (close CROSSES OVER indicator1) indicator2 = 25*BollingerBandWidth[21](close) indicator3 = CALL "Average Filter Regression"[9, 30](25*BollingerBandWidth[21](close)) c2 = (indicator2 > indicator3)   IF c1 AND c2 THEN BUY 10 PERPOINT AT MARKET ENDIF   // Conditions to exit long positions ignored, indicator4, ignored, ignored, ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c3 = (close CROSSES UNDER indicator4)   IF c3 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions indicator5 = CALL "Average Filter Regression"[43, a](close) c4 = (close CROSSES UNDER indicator5) indicator6 = 25*BollingerBandWidth[21](close) indicator7 = CALL "Average Filter Regression"[9, 30](25*BollingerBandWidth[21](close)) c5 = (indicator6 > indicator7)   IF c4 AND c5 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions ignored, indicator8, ignored, ignored, ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c6 = (close CROSSES OVER indicator8)   IF c6 THEN EXITSHORT AT MARKET ENDIF

  Kase Dev Stop

  //Voici le code en version SAR : plus WITH DEV STOP 4.5 + 6.0 //Settings n=30 p1=1.0 p2=2.2 p3=3.6 p4=4.5 p5=6.0 difference=0 Hg=highest[2](high) Lw=lowest[2](low) DTR=max(max(Hg-Lw,abs(Hg-close[2])),abs(Lw-close[2])) aDTR=average[n](DTR) for i=0 to n-1 do difference=difference+square(DTR[i]-aDTR) next difference=difference/n sdev=sqrt(difference) dev0=close-aDTR dev1=close-aDTR-p1*sdev dev2=close-aDTR-p2*sdev dev3=close-aDTR-p3*sdev dev4=close-aDTR-p4*sdev dev5=close-aDTR-p5*sdev if dev0<dev0[1] and close>dev5[1] then dev0=dev0[1] endif if dev1<dev1[1] and close>dev5[1] then dev1=dev1[1] endif if dev2<dev2[1] and close>dev5[1] then dev2=dev2[1] endif if dev3<dev3[1] and close>dev5[1] then dev3=dev3[1] endif if dev4<dev4[1] and close>dev5[1] then dev4=dev4[1] endif if dev5<dev5[1] and close>dev5[1] then dev5=dev5[1] endif dev6=close+aDTR dev7=close+aDTR+p1*sdev dev8=close+aDTR+p2*sdev dev9=close+aDTR+p3*sdev dev10=close+aDTR+p4*sdev dev11=close+aDTR+p5*sdev if dev6>dev6[1] and close<dev11[1] then dev6=dev6[1] endif if dev7>dev7[1] and close<dev11[1] then dev7=dev7[1] endif if dev8>dev8[1] and close<dev11[1] then dev8=dev8[1] endif if dev9>dev9[1] and close<dev11[1] then dev9=dev9[1] endif if dev10>dev10[1] and close<dev11[1] then dev10=dev10[1] endif if dev11>dev11[1] and close<dev11[1] then dev11=dev11[1] endif if close>dev11[1] then flag=-1 else if close<dev5[1] then flag=1 endif endif if flag=-1 then ind0=dev0 ind1=dev1 ind2=dev2 ind3=dev3 ind4=dev4 ind5=dev5 //k=1 Blue r=0 g=191 b=255 else ind0=dev6 ind1=dev7 ind2=dev8 ind3=dev9 ind4=dev10 ind5=dev11 //k=-1 Orange r=255 g=128 b=0 endif //ORIG return ind0 COLOURED BY k,ind1 coloured by k,ind2 coloured by k,ind3 coloured by k// //ORANGE AND LIGHT BLUE return ind0 coloured(r,g,b) style(dottedline,2) as "Warning Line", ind1 coloured(r,g,b) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(r,g,b) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(r,g,b) style(line,2) as "Dev Stop 3.6", ind4 coloured(r,g,b) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(r,g,b) style(line,2) as "Dev Stop 6.0" //NO CHANGE OF COLOUR FOR TREND CHANGE return ind0 coloured(2, 118, 253) style(dottedline,2) as "Warning Line" ,ind1 coloured(2, 118, 253) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(2, 118, 253) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(2, 118, 253) style(line,2) as "Dev Stop 3.6", ind4 coloured(2, 118, 253) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(2, 118, 253) style(line,2) as "Dev Stop 6.0"

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  //Voici le code en version SAR : plus WITH DEV STOP 4.5 + 6.0   //Settings n=30   p1=1.0 p2=2.2 p3=3.6 p4=4.5 p5=6.0   difference=0 Hg=highest[2](high) Lw=lowest[2](low) DTR=max(max(Hg-Lw,abs(Hg-close[2])),abs(Lw-close[2])) aDTR=average[n](DTR) for i=0 to n-1 do difference=difference+square(DTR[i]-aDTR) next difference=difference/n sdev=sqrt(difference)   dev0=close-aDTR dev1=close-aDTR-p1*sdev dev2=close-aDTR-p2*sdev dev3=close-aDTR-p3*sdev dev4=close-aDTR-p4*sdev dev5=close-aDTR-p5*sdev   if dev0<dev0[1] and close>dev5[1] then dev0=dev0[1] endif if dev1<dev1[1] and close>dev5[1] then dev1=dev1[1] endif if dev2<dev2[1] and close>dev5[1] then dev2=dev2[1] endif if dev3<dev3[1] and close>dev5[1] then dev3=dev3[1] endif if dev4<dev4[1] and close>dev5[1] then dev4=dev4[1] endif if dev5<dev5[1] and close>dev5[1] then dev5=dev5[1] endif   dev6=close+aDTR dev7=close+aDTR+p1*sdev dev8=close+aDTR+p2*sdev dev9=close+aDTR+p3*sdev dev10=close+aDTR+p4*sdev dev11=close+aDTR+p5*sdev   if dev6>dev6[1] and close<dev11[1] then dev6=dev6[1] endif if dev7>dev7[1] and close<dev11[1] then dev7=dev7[1] endif if dev8>dev8[1] and close<dev11[1] then dev8=dev8[1] endif if dev9>dev9[1] and close<dev11[1] then dev9=dev9[1] endif if dev10>dev10[1] and close<dev11[1] then dev10=dev10[1] endif if dev11>dev11[1] and close<dev11[1] then dev11=dev11[1] endif   if close>dev11[1] then flag=-1 else if close<dev5[1] then flag=1 endif endif   if flag=-1 then ind0=dev0 ind1=dev1 ind2=dev2 ind3=dev3 ind4=dev4 ind5=dev5 //k=1 Blue r=0 g=191 b=255 else ind0=dev6 ind1=dev7 ind2=dev8 ind3=dev9 ind4=dev10 ind5=dev11 //k=-1 Orange r=255 g=128 b=0 endif   //ORIG return ind0 COLOURED BY k,ind1 coloured by k,ind2 coloured by k,ind3 coloured by k//   //ORANGE AND LIGHT BLUE return ind0 coloured(r,g,b) style(dottedline,2) as "Warning Line", ind1 coloured(r,g,b) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(r,g,b) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(r,g,b) style(line,2) as "Dev Stop 3.6", ind4 coloured(r,g,b) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(r,g,b) style(line,2) as "Dev Stop 6.0"     //NO CHANGE OF COLOUR FOR TREND CHANGE return ind0 coloured(2, 118, 253) style(dottedline,2) as "Warning Line" ,ind1 coloured(2, 118, 253) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(2, 118, 253) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(2, 118, 253) style(line,2) as "Dev Stop 3.6", ind4 coloured(2, 118, 253) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(2, 118, 253) style(line,2) as "Dev Stop 6.0"

  I was using filter #43 from here: https://www.prorealcode.com/prorealtime-indicators/average-filter-regression/

  for first part of the Buy signal rules. The other part is the std deviation condition:
  Indicator 2 is a 21 period Std Dev indicator. Buy signal if the std dev is > than a 30 period average (#9 from the list of 66 filters) to avoid flat markets.

  Ps/ You should check out how the Kase Dev Stop rides some of those trends without stopping you out (regardless of entry type). 👌

  

  Bard

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