Popular Rule Based Model

• 04/12/2018 at 6:23 PM #68202
  odin

  Dear Forum Members,
  Dear Nicolas,

  a lot of institutional banking firms work with “rule bases investments”. the most popular in our bank is
  the 200sma/38sma rule based strategy with a 3 % filter for noise.

  i wanna have this code for my own to use ist in pro realtime.
  i wanna code this in weekly form, because i check the markets on weekends.

  description:

  if the 8 week sma is over the upper band it is a long signal until the
  the 8 week sma is under the lower band
  a new long signal is formed when the 8 week sma is over the upper band again.

  my problem:
  i cannot code the description until ….
  please can you do this for me – in my indicator not i have no very time a histogramm
  and the value is 0. that´s false – the logic is green or red and not 0.
  do you understand what i mean.
  please recode my code – that its correct 🙂

  thank you so much 🙂

  here is my code:

   

  popular rule based model

  // orginial 200 day sma c1 = average[40](close) // the 3 % up band c2 = c1*1.03 // the 3 % low band c3 = c1*0.97 // the original 38 day sma c4 = average[8](close) //histogramm building // result1 is green // result2 is red if c4 > c2 then result1 = 1 else result1 = 0 endif if c4 < c3 then result2 = 1 else result = 0 endif return result1, result2, 0

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  // orginial 200 day sma c1 = average[40](close) // the 3 % up band c2 = c1*1.03 // the 3 % low band c3 = c1*0.97 // the original 38 day sma c4 = average[8](close)   //histogramm building // result1 is green // result2 is red   if c4 > c2 then result1 = 1 else result1 = 0 endif   if c4 < c3 then result2 = 1 else result = 0 endif   return result1, result2, 0

   

  

  odin

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  04/12/2018 at 6:24 PM #68204
  odin

  i hope you can help me, because i have no secrets.

  afterwards i have the code, i wanna tell yoau

   

  1.  strategy for long term investments

  2. use ist for position trades…

  

  odin

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  04/12/2018 at 8:11 PM #68215
  TempusFugit

  Is this it?

  // orginial 200 day sma c1 = average[40](close) // the 3 % up band c2 = c1*1.03 // the 3 % low band c3 = c1*0.97 // the original 38 day sma c4 = average[8](close) if c4 > c2 then result = 1 elsif c4 < c3 then result = -1 endif return result, 0

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  // orginial 200 day sma c1 = average[40](close) // the 3 % up band c2 = c1*1.03 // the 3 % low band c3 = c1*0.97 // the original 38 day sma c4 = average[8](close)     if c4 > c2 then result = 1 elsif c4 < c3 then result = -1 endif   return result, 0

   

  1 user thanked author for this post.

  Nicolas

  

  TempusFugit

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  04/12/2018 at 9:19 PM #68222
  Nicolas

  Thanks Tempusfugit. I think you have solved Odin’s problem. I noticed that the moving average is a simple one while it’s an exponential one plotted on the chart.

  So the strategy is as easy than looking for upper/ lower bands crossing with the 8 period MA?

  

  Nicolas

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  04/13/2018 at 7:05 AM #68233
  odin

  Good morning! Ist ist really so easy ?? Wow i wanna Test ist is Home . So little Code and it Work.

  I thougt i have to use the function once or until.

  At Nicolas sorry you are tight i have plotted an ema on chart

   

  

  odin

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  04/13/2018 at 7:10 AM #68234
  odin

  So an easy Long Term system is

  Buy 100 % when indicator value is one

  And sell If the value is minus 1

  No short Trades its only for long only Stock bias.

  Ist should Work Well on sp500, nasdaq100 , stoxx600 and other really Big etfs Indexes to crate lazy wealth.

  How should the Code Designed

  A) Invest 100 %

  B) invest 10.000 USD fix Dollar amount

  Thx for Help

  

  odin

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  04/13/2018 at 7:12 AM #68235
  odin

  This model ist popular used in insurances to Work long Term with costumer Money and should avoid massive bear time losses.

  

  odin

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  04/13/2018 at 7:13 AM #68236
  odin

  Next step you can use it as Trend Filter for your own Swing Trading ideas

  Later i Post my Idea 🙂

  

  odin

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  04/13/2018 at 8:56 AM #68249
  Nicolas

  Sweet Bull Market, where are you now? 😆

  So is that 200/38 or 40/8 SMA periods?

  

  Nicolas

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  04/13/2018 at 11:17 AM #68258
  odin

  Its 200 and 38 Sma on daily and 40 and 8 on week

  I prefer week for lower noise

  

  odin

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  04/13/2018 at 5:37 PM #68291
  odin

  here you see, the rule bases modul is really powerful, for example for german tec dax etf.

  now optimization and stop loss is required.

  The Indicator of TempusFugit works well….

   

  rule based trading system 40/8

  // Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert // Bedingungen zum Einstieg in Long-Positionen indicator1, ignored = CALL "rule based modul" c1 = (indicator1 = 1) IF c1 THEN BUY 10000 CASH AT MARKET ENDIF // Bedingungen zum Ausstieg von Long-Positionen indicator2, ignored = CALL "rule based modul" c2 = (indicator2 = -1) IF c2 THEN SELL AT MARKET ENDIF

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  // Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert   // Bedingungen zum Einstieg in Long-Positionen indicator1, ignored = CALL "rule based modul" c1 = (indicator1 = 1)   IF c1 THEN BUY 10000 CASH AT MARKET ENDIF   // Bedingungen zum Ausstieg von Long-Positionen indicator2, ignored = CALL "rule based modul" c2 = (indicator2 = -1)   IF c2 THEN SELL AT MARKET ENDIF

  can you code this, that the trading system

  everytime buys 100 % of all avaiable cash .. and reinvest 100 % .

  thank you for help

  

  odin

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  04/13/2018 at 5:38 PM #68295
  odin

  and it is only long only.. because in short periods it brings no more performance.

  is should only avoid big bear markets.

  

  odin

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  04/13/2018 at 6:12 PM #68298
  GraHal

  Hi

  odin wrote:

  and it is only long only

  How come you show short trades in the Chart above?
  I take it your Chart is not the result of your code  … which does not show anY sellshorts?

  Seems a shame to not take advantage of the downs as well as the up periods??

  

  GraHal

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  04/13/2018 at 6:35 PM #68299
  odin

  you can use short trades… in bear phase i switch into high yield bonds etfs…

  you can use it also as trend filter:

  here it is a 2rsi trend model, every time buy when rsi2 is under 10

  and sell on 10 % profit stop or wen rule based model would go short.

   

  rbi rsi2 model

  // Festlegen der Code-Parameter// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert // Bedingungen zum Einstieg in Long-Positionen indicator1, ignored = CALL "rule based modul" c1 = (indicator1 = 1) indicator2 = RSI[2](close) c2 = (indicator2 < 10) IF c1 AND c2 THEN BUY 10000 CASH AT MARKET ENDIF // Bedingungen zum Ausstieg von Long-Positionen indicator3, ignored = CALL "rule based modul" c3 = (indicator3 = -1) IF c3 THEN SELL AT MARKET ENDIF // Stops und Targets SET TARGET %PROFIT 10

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  // Festlegen der Code-Parameter// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert   // Bedingungen zum Einstieg in Long-Positionen indicator1, ignored = CALL "rule based modul" c1 = (indicator1 = 1) indicator2 = RSI[2](close) c2 = (indicator2 < 10)   IF c1 AND c2 THEN BUY 10000 CASH AT MARKET ENDIF   // Bedingungen zum Ausstieg von Long-Positionen indicator3, ignored = CALL "rule based modul" c3 = (indicator3 = -1)   IF c3 THEN SELL AT MARKET ENDIF   // Stops und Targets SET TARGET %PROFIT 10

   

   

   

  

  odin

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  04/13/2018 at 6:38 PM #68302
  odin

  buy everytme all you have

  IF c1 THEN BUY 10000 CASH AT MARKET ENDIF

  1 2 3

  IF c1 THEN BUY 10000 CASH AT MARKET ENDIF

  how sould the code like be, if i wanna

  buy 100 % of my capital on every trade.

  please help me.

  thanks

  

  odin

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