Hull average cross over strategy – where I am going wrong?

• 04/21/2021 at 4:49 PM #167721
  8ficusst

  Could someone please advise me here?

  I am developing a crossover type of trading system using aligning (< < or >>) HullAverage indicators for long and short triggers. The system performs well in BT, but I need to convert it for testing on the AUTO demo system. (It either triggers on every candle, or not at all)

  This system is designed to trade intraday swings on the EUR/USD 1-Min bars.  At each new bar, I press BT and only follow the direction of the two HullAverage indicators when they both align with each other – either up (long trigger) or down (short trigger).

  I have attached a very shortened version of this system here, because it contains a few hundred lines of code due to its multiple variables. I inserted both the BT version and the corresponding AUTO format on the same page to make it easier for you to compare the two systems.

  I would greatly appreciate someone having a look at this code in case you can see something wrong with it.

  Thanking you!

   

   

   

   

   

  

  8ficusst

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  04/21/2021 at 5:16 PM #167723
  robertogozzi

  Can you post the code?

   

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  8ficusst

  

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  04/22/2021 at 8:42 AM #167755
  Vonasi

  8ficusst – One place you are going wrong is by not giving your topic a meaningful title!

  • Give your topic a meaningful title. Describe your question or your subject in your title. Do not use meaningless titles such as ‘Coding Help Needed’.

   

  I changed your title to something that describes your topic.

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  8ficusst

  

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  04/22/2021 at 9:06 AM #167760
  8ficusst

  Point taken, thanks.

  

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  04/22/2021 at 9:26 AM #167766
  GraHal

  I posted the code as Roberto asked so then the coding wizards can readily spot any problems without having to download the .itf file.

  defparam cumulateorders = false defparam preloadbars = 1000 // a and b variables: 300-350-50 // c and d variables: 180-200-20 MA1=HullAverage[c](momentum[a](close)) MA2=HullAverage[d](momentum[a](close)) S = MA1 < MA2 MA3=HullAverage[c](momentum[b](close)) MA4=HullAverage[d](momentum[b](close)) L = MA3 > MA4 if S and NOT L then sellshort at close stop endif if L and NOT S then buy at close stop endif GRAPH MA1 COLOURED (255,195,77) AS "Hullone"// orange GRAPH MA2 COLOURED (102,179,255) AS "Hulltwo"// blue GRAPH MA3 COLOURED (255,195,77) AS "Hullthree"// orange GRAPH MA4 COLOURED (102,179,255) AS "Hullfour"// blue // Below is my AUTO TRADING coding attempt for the above //////// SHORTS /////////////////////// AnyOfTheShorts = S1 or S2 or S3 or S4 OpposingShorts = (h1 > h2) or (h3 > h4) or (h5 > h6) or (h7 > h8) h1=HullAverage[900](momentum[300](close)) h2=HullAverage[950](momentum[300](close)) S1 = (h1 < h2) h3=HullAverage[950](momentum[300](close)) h4=HullAverage[900](momentum[300](close)) S2 = (h3 < h4) h5=HullAverage[900](momentum[350](close)) h6=HullAverage[950](momentum[350](close)) S3 = (h5 < h6) h7=HullAverage[950](momentum[350](close)) h8=HullAverage[900](momentum[350](close)) S4 = (h7 < h8) //////// LONGS /////////////////////// AnyOfTheLongs = L1 or L2 or L3 or L4 OpposingLongs = (k1 < k2) or (k3 < k4) or (k5 < k6) or (k7 < k8) k1=HullAverage[900](momentum[300](close)) k2=HullAverage[950](momentum[300](close)) L1 = (k1 > k2) k3=HullAverage[950](momentum[300](close)) k4=HullAverage[900](momentum[300](close)) L2 = (k3 > k4) k5=HullAverage[900](momentum[350](close)) k6=HullAverage[950](momentum[350](close)) L3 = (k5 > k6) k7=HullAverage[950](momentum[350](close)) k8=HullAverage[900](momentum[350](close)) L4 = (k7 > k8) //////// SHORTS /////////////////////// if AnyOfTheShorts and OpposingLongs then sellshort at close stop endif //////// LONGS /////////////////////// if AnyOfTheLongs and OpposingShorts then buy at close stop 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 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84

  defparam cumulateorders = false defparam preloadbars = 1000   // a and b variables: 300-350-50 // c and d variables: 180-200-20   MA1=HullAverage[c](momentum[a](close)) MA2=HullAverage[d](momentum[a](close)) S = MA1 < MA2   MA3=HullAverage[c](momentum[b](close)) MA4=HullAverage[d](momentum[b](close)) L = MA3 > MA4   if S and NOT L then sellshort at close stop endif   if L and NOT S then buy at close stop endif   GRAPH MA1 COLOURED (255,195,77) AS "Hullone"// orange GRAPH MA2 COLOURED (102,179,255) AS "Hulltwo"// blue   GRAPH MA3 COLOURED (255,195,77) AS "Hullthree"// orange GRAPH MA4 COLOURED (102,179,255) AS "Hullfour"// blue     // Below is my AUTO TRADING coding attempt for the above   ////////  SHORTS   ///////////////////////   AnyOfTheShorts = S1 or S2 or S3 or S4 OpposingShorts =  (h1 > h2) or (h3 > h4) or (h5 > h6) or (h7 > h8)   h1=HullAverage[900](momentum[300](close)) h2=HullAverage[950](momentum[300](close)) S1 = (h1 < h2)   h3=HullAverage[950](momentum[300](close)) h4=HullAverage[900](momentum[300](close)) S2 = (h3 < h4)   h5=HullAverage[900](momentum[350](close)) h6=HullAverage[950](momentum[350](close)) S3 = (h5 < h6)   h7=HullAverage[950](momentum[350](close)) h8=HullAverage[900](momentum[350](close)) S4 = (h7 < h8)   ////////  LONGS   ///////////////////////   AnyOfTheLongs = L1 or L2 or L3 or L4 OpposingLongs =  (k1 < k2) or (k3 < k4) or (k5 < k6) or (k7 < k8)   k1=HullAverage[900](momentum[300](close)) k2=HullAverage[950](momentum[300](close)) L1 = (k1 > k2)   k3=HullAverage[950](momentum[300](close)) k4=HullAverage[900](momentum[300](close)) L2 = (k3 > k4)   k5=HullAverage[900](momentum[350](close)) k6=HullAverage[950](momentum[350](close)) L3 = (k5 > k6)   k7=HullAverage[950](momentum[350](close)) k8=HullAverage[900](momentum[350](close)) L4 = (k7 > k8)   ////////  SHORTS   ///////////////////////   if AnyOfTheShorts and OpposingLongs then sellshort at close stop endif   ////////  LONGS   ///////////////////////   if AnyOfTheLongs and OpposingShorts then buy at close stop endif

   

  

  GraHal

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  04/22/2021 at 9:27 AM #167767
  8ficusst

  Hi Robertogozzi

  Thanks for your reply – please find the code attached here.

   

  

  8ficusst

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  04/22/2021 at 9:28 AM #167769
  8ficusst

  Thanks Gra

  My apologies. I was not sure.

  

  8ficusst

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  04/22/2021 at 9:32 AM #167770
  8ficusst

  Correction

  Line 5 note should read: // c and d variables: 900-950-50

  Apologies.

  

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  04/22/2021 at 11:41 AM #167777
  GraHal

  Does adding not onmarket as below sort your problem?

  //////// SHORTS /////////////////////// if not onmarket and AnyOfTheShorts and OpposingLongs then sellshort at close stop endif //////// LONGS /////////////////////// if not onmarket and AnyOfTheLongs and OpposingShorts then buy at close stop endif

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  ////////  SHORTS   ///////////////////////   if not onmarket and AnyOfTheShorts and OpposingLongs then sellshort at close stop endif   ////////  LONGS   ///////////////////////   if not onmarket and AnyOfTheLongs and OpposingShorts then buy at close stop endif

   

   

  

  GraHal

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  04/22/2021 at 12:20 PM #167783
  8ficusst

  GraHa – the “if NOT ONMARKET” instruction would be OK for the first trade when it is not yet onmarket, but thereafter the code itself keeps it always on market (it never exits – it just changes from shorts to longs, or vice versa), therefore the “if NOT ONMARKET” instruction would surely prevent it from being able to trigger another trade? Please correct me if my thinking is wrong about this?

  

  8ficusst

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  04/22/2021 at 12:27 PM #167785
  8ficusst

  Thanks, I am trying it out with NOT ONMARKET just in case it will solve the problem.

  Will let you know the outcome.

  

  8ficusst

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  04/22/2021 at 5:37 PM #167809
  8ficusst

  Gra, no luck with NOT ONMARKET……. it only allows one trade and wont trigger after that.

  Maybe someone else has an idea to get it operating like the BT does?

  

  8ficusst

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  04/22/2021 at 7:07 PM #167810
  GraHal

  Did you try below …

  if not shortonmarket and AnyOfTheShorts and OpposingLongs then sellshort at close stop endif //////// LONGS /////////////////////// if not longonmarket and AnyOfTheLongs and OpposingShorts then buy at close stop endif

  1 2 3 4 5 6 7 8 9

  if not shortonmarket and AnyOfTheShorts and OpposingLongs then sellshort at close stop endif ////////  LONGS   /////////////////////// if not longonmarket and AnyOfTheLongs and OpposingShorts then buy at close stop endif

   

  

  GraHal

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  04/22/2021 at 7:11 PM #167811
  GraHal

  Anyway, why can’t / don’t you trade your backtest version … it contains Buy and Sellshort and you say it is the same as the Auto version??

   

  

  GraHal

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  04/22/2021 at 7:21 PM #167812
  GraHal

  In fact why don’t you throw it all in together and get attached!? 🙂

  Weird … PRT isn’t even stopping it working in ProOrder due to GRAPH in the code … I inadvertently left it in??

  

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