Optimization moving average crossing strategy

nonetheless · Thu, 19 Mar 2020 23:13:36 +0000

I wanted to open a thread to share some results from Jan’s excellent algo which has recently been added to the library. This is a sort of strategy creation tool that scans 4900 combinations of moving averages and returns the crossing pair that gives the best results for your chosen instrument and TF. Needless to say, the possibilities are endless. One thing I like about it is that you can chose certain parameters in advance. For example, if you only wanted strategies with a certain risk/reward ratio you could enter a stop loss of 1% and target profit of 3% and it would find you a strategy that had historically returned those kind of results. Anyway, big thanks to Jan for this amazing piece of work. I made some modifications to his original and came up with these 3. All have passed WF and have been running on forward testing for a few days with good results. They’re optimized at 25k and results below represent an OOS walk back to 100k. MM is optional.

This topic has 185 replies, 11 voices, and was last updated 2 years ago by slevinkelevra.

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05/20/2020 at 4:07 PM #132443

nonetheless

It’s because you’re only back testing for 8 days! there weren’t any trades for anyone in that period, conditions weren’t met.

Set the chart to the max units you have, 100k or 200k – then you’ll see a result.

nonetheless
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05/20/2020 at 4:19 PM #132445

Vonasi

The PRT real and PRT demo use different engines. IG give greater importance to real trading than they do demo trading and so sometimes you will find differences such as minimum position size being incorrect in demo live trading. It is usually best to stick with a position size of 1 (or more if the minimum is bigger) in all back and forward demo testing and just increase your starting capital so that your strategy can cope with the increased position size. If the real minimum position size is 0.25 and not 1 then just divided all the results by 4 to see if your smaller real life starting capital could have coped.

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Gubben, nonetheless

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05/20/2020 at 4:59 PM #132455

Glums

That works, many thanks for your responsiveness nonetheless!!

@Vonasi, yes I have indeed noticed that. My minimum is at 1 so I’ll keep it that way.

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06/08/2020 at 11:30 AM #135156

Franro

Ive been running latest versions of 5min and 2min for 1 month now. 2min is up by estimated 150euro and 5min is down 500euro.

Best regards,, Franro

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06/10/2020 at 7:48 PM #135500

Franro

Great work on this algo. Has anyone worked on any optimization last month?

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07/19/2020 at 7:51 PM #139635

Jan

As on request of Roi Aglipa, at webpage https://www.prorealcode.com/prorealtime-trading-strategies/optimization-ma-cross-machine-learning/

Please find attached the ITF file of the indicator for 2 MA types to be projected in the graph.

Have a look at the code after you have imported it, you may want to change/ reduce the 30 period average attached to smooth the noise for the crossing (stated at the last lines of code)

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Zigo, MAKSIDE

Jan
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09/28/2020 at 11:00 AM #145651

eckaw

Hi all,

Thanks Jan for putting together this amazing strategy. Is anyone using this live at the moment and what are the results? I’m working on some versions and will share here once I think it’s worth sharing.

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GraHal

eckaw
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10/20/2020 at 7:29 PM #147957

LaurentBZH35

Hello,

I test the a to d version but i don’t find same results. It’s curious. Do you have any idea where the problem come from.

Problem is similar for all version

Thanks

LaurentBZH35
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10/21/2020 at 10:16 AM #147983

GraHal

Time has moved on … results will have changed due to change in market dynamics etc.

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11/30/2020 at 12:44 PM #152218

Eric

Jan wrote:

As on request of Roi Aglipa, at webpage https://www.prorealcode.com/prorealtime-trading-strategies/optimization-ma-cross-machine-learning/

Please find attached the ITF file of the indicator for 2 MA types to be projected in the graph.

Have a look at the code after you have imported it, you may want to change/ reduce the 30 period average attached to smooth the noise for the crossing (stated at the last lines of code)

Does this one work on V11.1?

Eric
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11/30/2020 at 4:08 PM #152237

Eric

Eric wrote:

Does this one work on V11.1?

Confirmed, yes

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12/02/2020 at 10:12 AM #152388

Vonasi

Eric – Please only quote text that is needed in your reply (by highlighting it before clicking quote) and try to avoid quoting whole posts otherwise the topics become massive and difficult to read…. and everyone knows how we like to keep a tidy forum! 🙂

I have edited your post to remove the unnecessary quoting.

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03/26/2021 at 2:08 PM #165411

nunzio78

@Jan

~~scusa l’intrusione….ma vorrei capire.~~

~~(non sono pratico di programmazione)~~

~~ho scelto la combiazione (0-43) del 200308 average crossing per il dj30 10min.~~

~~successivamente ho inserito sul grafico l’indicatore 2movingaverage settato (0-43) per verificare le entrate/uscite ma trovo errate delle entrate.~~

~~potresti spiegarmi?~~

~~ci sono problemi o sono io che non ho capito come usare questo strumento?~~

~~grazie in anticipo~~

sorry for the intrusion …. but I would like to understand.

(I’m not familiar with programming)

I chose the combination (0-43) of the 200308 average crossing for the dj30 10min.

subsequently I inserted on the graph the 2movingaverage indicator set (0-43) to check the income / expenses but I find incorrect income.

could you explain to me?

are there any problems or am I not understanding how to use this tool?

Thanks in advance

nunzio78
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03/26/2021 at 10:18 PM #165461

Vonasi

nunzio78 – Please follow the forum rules and only post in the language of the forum that you are posting in. That is English only in this English language forum.

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03/29/2021 at 9:28 AM #165604

nunzio78

sorry …… I have automated translator and I haven’t noticed ….

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