Optimization moving average crossing strategy

• 03/24/2020 at 3:51 PM #123152
  nonetheless

  Thanks Jan for the clarification. I’m mostly using OTD now with these so no need for other exit rules. 👍

  

  nonetheless

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  03/24/2020 at 3:53 PM #123153
  Jan

   

  I managed to code double crossing in two time frames, with different variables in the two time frames, see attached for the itf file with the code.

  Main issue here is that the combinations possible are way too high, 70 x 70 x 70 x 70, so optimizing with all variables needs several simulations with each limited variables.

   

  The trading concept below generates too few trades (no very reliable, risky to say it would be a robust trading system), as thought and mentioned above by Nonetheless.

  if AvType (short time frame) crosses above AvTypeV2 (short time frame)  and AvTypeV3 (long time frame) crosses above AvTypeV4 (long time frame), go long

  Vice versa if AvType (short time frame) crosses under AvTypeV2 (short time frame)  and AvTypeV3 (long time frame) crosses under AvTypeV4 (long time frame), go short

   

  An alternative trading concept below can be tried as well:

  if AvType (short time frame) crosses above AvTypeV2 (short time frame)  and AvTypeV3 (long time frame) is higher as the previous and  AvTypeV4 (long time frame) is higher as the previous, go long

  Vice versa if AvType (short time frame) crosses under AvTypeV2 (short time frame)  and AvTypeV3 (long time frame) is smaller as the previous, and  AvTypeV4 (long time frame) is smaller as the previous, go short

  Endless variations possible !!!

   

  At the bottom of the code, I arbitrary add the code below, to stop trading after 120 bars, when the position is not positive (regardless the stoploss, which was not triggered sofar)

  Killing non performing trades (arbitrary)

  if barindex - tradeindex > 120 and positionperf < 0 then //kill non performing long lasting trades sell at market exitshort at market endif

  1 2 3 4

  if barindex - tradeindex > 120 and positionperf < 0 then  //kill non performing long lasting trades sell at market exitshort at market endif

   

  If you have trading concepts, please let me know !!

   

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  CMM

  

  Jan

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  03/29/2020 at 4:05 AM #123771
  gm74

  Thank you both and every other attributer for this. Its great to look at and expirement with. I am sure I speak for a few when I say, this is proving very enlightening and helpful.

  

  gm74

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  04/01/2020 at 7:15 PM #124277
  GraHal

  I share attached, settings at the top by me, but the clever work / coding was done by Jan. Nonetheless split out part of that code (I think?).

  It’s difficult to keep track of it all, but we’re not complaining! 🙂

  Spread = 10 set in backtester to achieve attached.

  

  GraHal

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  04/02/2020 at 4:00 AM #124299
  gm74

  This looks really good GraHal. Although I have a question. The original code is quite time specific (as it only trades a few hours in the morning). I tested your code as is. But as I am in mainland Europe at the moment, the results differed massively ( I only ended up with 13k profit instead of 21k). However, adjusting to the UK time zone by adding a single hour (I am assuming by looking at the flag /nationality linked to your avatar on your post) our results matched. So this leads me to my question, did you at all consider running the system at US market open hours, as it is a US index after all?

  I adjusted the code to trade in US mornings and doing so would actually yield a loss. Also, as the US changes their clocks on a different date compared to Europe and the UK, the backtest would not be consistent, as there would be a few weeks, twice a year, where the timing is out by an additional hour.
  I get that these results are good and thats all that matters, but it just feels wrong to me to run a system on an index when it’s underlying market is technically closed.

  Kind of hoping you have an answer for this that puts my mind at ease, and we can carry on getting to that yacht life.
  Hashtag – If youre not working remotely, are you even remotely working

  

  gm74

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  04/02/2020 at 6:53 AM #124301
  dnystrom

  Hi,

  I´m using this code on a algo but with MA 12 and 34 i get an “division by 0” error when market is inactive. Can I prevent this by any meen?

  //This is the MA used: //---------------------------------// // FATL - Fast Adaptive Trend Line // //---------------------------------// IF MAType = 12 THEN AFR = 0.4360409450*Series[0]+0.3658689069*Series[1]+0.2460452079*Series[2]+0.1104506886*Series[3]-0.0054034585*Series[4]-0.0760367731*Series[5]-0.0933058722*Series[6]-0.0670110374*Series[7]-0.0190795053*Series[8]+0.0259609206*Series[9]+0.0502044896*Series[10]+0.0477818607*Series[11]+0.0249252327*Series[12]-0.0047706151*Series[13]-0.0272432537*Series[14]-0.0338917071*Series[15]-0.0244141482*Series[16]-0.0055774838*Series[17]+0.0128149838*Series[18]+0.0226522218*Series[19]+0.0208778257*Series[20]+0.0100299086*Series[21]-0.0036771622*Series[22]-0.0136744850*Series[23]-0.0160483392*Series[24]-0.0108597376*Series[25]-0.0016060704*Series[26]+0.0069480557*Series[27]+0.0110573605*Series[28]+0.0095711419*Series[29]+0.0040444064*Series[30]-0.0023824623*Series[31]-0.0067093714*Series[32]-0.0072003400*Series[33]-0.0047717710*Series[34]+0.0005541115*Series[35]+0.0007860160*Series[36]+0.0130129076*Series[37]+0.0040364019*Series[38] ENDIF //AND //----------------------------------------------// // MHLMA - Middle High Low Range Moving Average // //----------------------------------------------// IF MATypev2 = 34 THEN Period2 = MAX(Period2, 1) // HLRange = 3 HLRange = 3 HH = highest[HLRange](High) LL = lowest[HLRange](Low) AFRV2 = Average[Period2]((HH + LL) / 2) ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32

  //This is the MA used:   //---------------------------------// // FATL - Fast Adaptive Trend Line // //---------------------------------// IF MAType = 12 THEN AFR = 0.4360409450*Series[0]+0.3658689069*Series[1]+0.2460452079*Series[2]+0.1104506886*Series[3]-0.0054034585*Series[4]-0.0760367731*Series[5]-0.0933058722*Series[6]-0.0670110374*Series[7]-0.0190795053*Series[8]+0.0259609206*Series[9]+0.0502044896*Series[10]+0.0477818607*Series[11]+0.0249252327*Series[12]-0.0047706151*Series[13]-0.0272432537*Series[14]-0.0338917071*Series[15]-0.0244141482*Series[16]-0.0055774838*Series[17]+0.0128149838*Series[18]+0.0226522218*Series[19]+0.0208778257*Series[20]+0.0100299086*Series[21]-0.0036771622*Series[22]-0.0136744850*Series[23]-0.0160483392*Series[24]-0.0108597376*Series[25]-0.0016060704*Series[26]+0.0069480557*Series[27]+0.0110573605*Series[28]+0.0095711419*Series[29]+0.0040444064*Series[30]-0.0023824623*Series[31]-0.0067093714*Series[32]-0.0072003400*Series[33]-0.0047717710*Series[34]+0.0005541115*Series[35]+0.0007860160*Series[36]+0.0130129076*Series[37]+0.0040364019*Series[38] ENDIF   //AND   //----------------------------------------------// // MHLMA - Middle High Low Range Moving Average // //----------------------------------------------// IF MATypev2 = 34 THEN Period2 = MAX(Period2, 1) // HLRange = 3 HLRange = 3 HH = highest[HLRange](High) LL = lowest[HLRange](Low) AFRV2  = Average[Period2]((HH + LL) / 2) ENDIF

  My guesses is that it is the 34 MA that is the problem. I’ve seen someone else have the same Division 0 error on another algo and put in like: <>0 or something like that, but how do i code it on this one?

  Thank you for great coding.

  

  dnystrom

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  04/02/2020 at 9:42 AM #124318
  GraHal

  gm74 wrote:

  I adjusted the code to trade in US mornings and doing so would actually yield a loss.

  I guess you proved that the System does not suit the volatility during DJI market hours?

  The DJI during the first few market hours is a different beast than later on in the USA working day  and outside market hours.

  It be good if you optimised the settings to suit  DJI market hours … let us know how you get on?

   

   

  

  GraHal

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  04/02/2020 at 9:45 AM #124319
  GraHal

  dnystrom wrote:

  AFR = 0.4360409450*Series[0]+0.3658689069*Series[1]+0.2460452079*Series[2]+0.1104506886*Series[3]-0.0054

  Love to know where the above numbers come from … they look crazy values??

  

  GraHal

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  04/02/2020 at 9:49 AM #124320
  dnystrom

  GraHal wrote:

  dnystrom wrote:

  AFR = 0.4360409450*Series[0]+0.3658689069*Series[1]+0.2460452079*Series[2]+0.1104506886*Series[3]-0.0054

  Love to know where the above numbers come from … they look crazy values??

  They come from the code, ask Jan =)

  

  dnystrom

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  04/10/2020 at 3:33 PM #125592
  deleted2104

  hello, I tried his sp1HV1 in 25KE but frankly it does not give the same curve as you is weird, what exact setting do you use?
  thank you

  

  deleted2104

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  04/10/2020 at 3:51 PM #125601
  deleted2104

  hello, would it be possible please have the .itf file of your MAX US500 H1V1 version to test it in 200,000 candles, thank you
  ——————————-

  

  deleted2104

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  04/10/2020 at 4:05 PM #125606
  robertogozzi

  
  @thebigdeal
  I highlighted the broken rule,

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  04/13/2020 at 11:20 AM #125893
  nelkael1

  Thank you Jan for this code.

  It gives so much opportunities to test.

  I also begin to work on period at 15, and period 2 as a variable, testing every crossing between 10 and 20 period. It seems to improve %winning

  

  nelkael1

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  04/13/2020 at 9:49 PM #125996
  Jan

  Just be aware that you do not over-optimise with the found optimum mix.  I try not to over optimise, running this strategy to find a optimum set without out of sample  (lets say it give AFR 3 and 45 and more AFR3 combis are second, third etc best), and then I do an In Sample/Out of Sample test (with IS 66% and OOS 34%) with limited value setting of AFR = 3, and AFRv2 is lets say 0-15, then see of the outcome with the IS/OOS varies a lot from the non IS/OOS test, to be a bit more secure about robustness of the algo.

  1 user thanked author for this post.

  nonetheless

  

  Jan

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  04/13/2020 at 9:59 PM #125998
  Jan

  As on request, please find attached the two averages as an indicator (with two averages, to be selected by the user),

  This indicator shows you 2 lines of average, so you can compare the lines in the graph, with the optimized crossings, from your findings when running the strategy  (as on request of   nilsla1981 )

   

  

  Jan

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