Seasonality or just the ultimate curve fit?
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I got to thinking about seasonality again and this got me thinking that I should test to see if there are any sections of a year that if you had been long or short in every year would have returned good results and a nice equity curve. So I coded two very simple strategies that count week numbers and and buy on one week number and sell on another week number. Optimise the two strategies with the variables startweek and endweek with values between 1 and 53 and it will tell you which blocks of weeks have given the best return during the historical data.
Then I created a third strategy that you can enter the best returned values as startweeklong, endweeklong, startweekshort and endweekshort so as to see what the equity curve would have looked like had you been short during the best weeks and long during the best weeks. On my tests I found that the best long weeks rarely clashed with the best short weeks but if you find an instrument where they do then you can’t put those values in the ‘Both’ strategy.
The strategies only work on the weekly chart.
The question up for general discussion is….. is this seasonality or is it just the ultimate curve fit?
I have attached images of Live Cattle and Soybeans. No spread was used in the tests.
defparam cumulateorders = false if openyear <> openyear[1] then wn = 0 endif wn = wn + 1 if wn = startweek then buy 1 contract at market endif if onmarket and wn = endweek then sell at market endifdefparam cumulateorders = false if openyear <> openyear[1] then wn = 0 endif wn = wn + 1 if wn = startweek then sellshort 1 contract at market endif if onmarket and wn = endweek then exitshort at market endifdefparam cumulateorders = false startweekshort = 17 endweekshort = 39 startweeklong = 39 endweeklong = 17 if openyear <> openyear[1] then wn = 0 endif wn = wn + 1 if wn = startweeklong then buy 1 contract at market endif if onmarket and wn = endweeklong then sell at market endif if wn = startweekshort then sellshort 1 contract at market endif if onmarket and wn = endweekshort then exitshort at market endifHere is another example. This time it is Heating Oil.
interesting. I put it also on a few.
maybe a month is interesting too and you can expand parameters to enter again long after short i.e. more easily. Not sure yet if usefull.
Here are a few pics with use long&short
It’s is just more curvefitting and defeats the goal of the code. This is a bit what I had in mind.
now i.e. 4 turnarounds a year are possible, or long only twice a year certain periods.
monthy bars, 25 units
defparam cumulateorders = false //batchtype=1 then set a3 & a4 not to optimise //batchtype=2 can comment out the buy/sellshort rows as variation in batch2? //optimise a1 t/m a4 range 1-12 once tradetype=1 //1 both, 2 long, 3 short once batchtype=2 //batchtyp 1 solo with only parameters a1,a2 //first batch startweeklong = a1 endweeklong = a2 startweekshort = a2 endweekshort = a1 // second batch startweeklong2 = a3 endweeklong2 = a4 startweekshort2 = a4 endweekshort2 = a3 if openyear <> openyear[1] then wn = 0 wn2 =0 endif wn = wn + 1 wn2= wn2+ 1 // BATCH1 if batchtype=1 or batchtype=2 then if tradetype=1 or tradetype=2 then if wn = startweeklong then buy 1 contract at market endif if onmarket and wn = endweeklong then sell at market endif endif if tradetype=1 or tradetype=3 then if wn = startweekshort then sellshort 1 contract at market endif if onmarket and wn = endweekshort then exitshort at market endif endif endif // BATCH2 if batchtype=2 then if tradetype=1 or tradetype=2 then if wn2 = startweeklong2 then buy 1 contract at market endif if onmarket and wn2 = endweeklong2 then sell at market endif endif if tradetype=1 or tradetype=3 then if wn2 = startweekshort2 then sellshort 1 contract at market endif if onmarket and wn2 = endweekshort2 then exitshort at market endif endif endifVonasi thanked this postYes, but even with a nice equitycurve as you describe in you lowest part, there are not many trades to have it rely on. Long one part of the year, short the other had me make this variation because sometimes it just holds to a position while the market is trending against it, perhaps eventually becoming winning.
I took another approach. I changed it to a daily reset, mainly to have more trades.
Now the focus is 2-3-4 hour charts and optimising starts now in range at 0 if i’am correct.
As example I took the nasdaq. Added spread 2 & tickbytick.
There are always dips in the market and here’s a way to minimise the effect it seems.
I.e. buys if the high>high[1] next bar at market, else it exit’s shorts, which is still a buy but not holding a new position against the trend.
Results are pretty good.
here’s eurusd with spread
defparam cumulateorders = false //defparam flatbefore =080000 //defparam flatafter =200000 //batchtype=1 then set a3 & a4 not to optimise //batchtype=2 can comment out the buy/sellshort rows as variation? //optimise a1 t/m a4 range 1-12 once tradetype=1 //1 both, 2 long, 3 short once batchtype=2 //batchtyp 1 solo with only parameters a1,a2 //first batch startweeklong = a1 endweeklong = a2 startweekshort = a2 endweekshort = a1 // second batch startweeklong2 = a3 endweeklong2 = a4 startweekshort2 = a4 endweekshort2 = a3 //if openyear <> openyear[1] then if openday<>openday[1] then wn = 0 wn2 =0 endif wn = wn + 1 wn2= wn2+ 1 // BATCH 1 if batchtype=1 or batchtype=2 then if tradetype=1 or tradetype=2 then if wn = startweeklong then if high>high[1] then buy 1 contract at market else exitshort at market endif endif if onmarket and wn = endweeklong then sell at market endif endif if tradetype=1 or tradetype=3 then if wn = startweekshort then if low<low[1] then sellshort 1 contract at market else sell at market endif endif if onmarket and wn = endweekshort then exitshort at market endif endif endif // BATCH2 if batchtype=2 then if tradetype=1 or tradetype=2 then if wn2 = startweeklong2 then if high>high[1] then buy 1 contract at market else exitshort at market endif endif if onmarket and wn2 = endweeklong2 then sell at market endif endif if tradetype=1 or tradetype=3 then if wn2 = startweekshort2 then if low<low[1] then sellshort 1 contract at market else sell at market endif endif if onmarket and wn2 = endweekshort2 then exitshort at market endif endif endif //set stop %loss 10 //set target pprofit 250haha, yeah seasonality is not longer the target. One thing let to another.
This code analyses the market and decides based on a lot of data if it’s best to go long, short or both.
Having 1-2k trades and a curve like that on different markets with spread is intriguing. It’s also on the dow, nikkei btw in lesser extend.
Here’s eur/zar. Spread 1. Don’t know if that’s correct spread
Al what we try is curvefitting. you can have 2 parameters for 50 trades in say 8 years, or 4 parameters for 2000 trades in 8 years. I’am leaning then to 4 parameters.
I’ve to look into it a bit more. Thnx for posting the original idea. It gives a lot of new options!
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Topic Details
| Forum: | General Trading: Market Analysis & Manual Trading |
| Language: | English |
| Started: | 03/07/2021 |
| Status: | Active |
| Attachments: | 19 files |
