Simple Moving Average Crossover Strategy

• 02/02/2022 at 9:04 AM #187308
  deletedaccount051022

  Have added a volatility filter to the original 15 min version, which was optimized over the last 50k bars.  Reduces draw down and increases performance so net happy with this minor addition.  Will rerun the Walk Forward process but expect little change.

  Am also testing the 5 min version which nonetheless kindly posted as this too looks very promising.

  

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  02/02/2022 at 1:23 PM #187341
  ZeroCafeine

  ZeroCafeine wrote:

  I advice you don’t surprise yourself with backtest, or maybe to be sure of the robustness of your code, test Long on some sample down trends and see how it reacts or maybe try with Walk Forward strategy, and I totally agree with you the simpler the better

  this answer is for phoentzs, sorry

  

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  02/02/2022 at 1:26 PM #187343
  ZeroCafeine

  nonetheless wrote:

  ZeroCafeine wrote:

  on the Backtest you only buy half a point ?

  I do backtests at the minimum position size, in this case 0.5 pp

  This is partly because the M0ney Management is based on the max drawdown @ min position size (line 26)

  As for your further comments, my basic attitude is that no matter how good a backtest might look, I assume that it’s completely wrong and totally unreliable, will probably crash and burn.

  Run it for months in demo, study the entries and exits – see if it behave the way you expected.

  This one got off to a good start yesterday, 4 winning trades, ~400 pts.

  maybe you can try to optimise with the Walk Forward method, it’s maybe will help you, I will study if in the future deeply maybe, now I’m not at this level

  

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  02/02/2022 at 7:25 PM #187395
  nonetheless

  @samsampop

  I haven’t a chance to run your new version but one thing you should change is line 69, should be:

  PriceDistance = 4 * pipsize

  this is the IG minimum stop distance, so it will change from one instrument to the next.

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  nonetheless

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  02/24/2022 at 6:10 PM #188786
  deletedaccount051022

  Quick update – strategy has stayed out of the market since Jan 20th and good job too for a long only strategy.

  

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  03/01/2022 at 6:30 PM #189149
  nonetheless

  here’s a revised 5m version – better long term performance with lower drawdown, positionsize = 1

  altered the 4h filter and added StochasticRSI

  took one loss in Feb, but otherwise managed the Ukraine mess fairly well (so far)

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  Fabiano, NordicAlgos, Roger, GraHal

  

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  03/03/2022 at 1:56 PM #189251
  deletedaccount051022

  Hi nonetheless

  Quick question if I may – how often would you re-optimize the variables for this latest strategy that you have kindly posted?

  Thanks very much

  

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  03/03/2022 at 2:58 PM #189257
  nonetheless

  I don’t have a fixed policy on that. I rework things as and when I have an idea that might improve some aspect. Obviously, if you’re optimizing on max data on a 12 year backtest you’d hope that those numbers would be worth keeping. Someone else might keep the basic structure of the algo but optimize for maybe 6 years where most of the profit has been made –  I guess then you’d want to refresh it more often. Who knows … 🤔

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  03/04/2022 at 6:46 AM #189295
  SnorreDK

  thank you very much for your contribution nonetheless. I quickly looked at the code and tested to remove all code after trailing. was basically the same result.

  

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  03/04/2022 at 10:26 AM #189303
  nonetheless

  the 3 functions after the trail are standard bits of code that i add to most algos, the effect varies from one to the next. In this case they collectively add about 3%

  If you’d rather not have an extra 3% then I suggest you switch them off immediately 😁

  Attached are the results with a constant exposure value of €10k, gives a better visual on the histogram and the curve.

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  Souhail Sam, NordicAlgos, monkeys nuts

  

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  03/26/2022 at 1:32 AM #190505
  Souhail Sam

  Hello @nonetheless, than you for your work. I am really confused, i’am not having same backtest as you, I am using V4.1 L, and i have add 1h at h1 and h2 because i’m in France. Can you share with us the last itf you have. Thank you very much.

  

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  03/26/2022 at 10:29 AM #190511
  nonetheless

  I haven’t done any other work on that one, so v4.1L is the only itf I have. How much discrepancy are you seeing?

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  Souhail Sam

  

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  03/26/2022 at 3:08 PM #190518
  Souhail Sam

  @nonetheless Here is my backtest for the same period and Position size 1 MM off so you can see the huge difference :’D . I added also the parametres. Thanks for you help.

  

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  03/26/2022 at 4:08 PM #190523
  nonetheless

  the only thing i can think of is the time settings in the DSD section. Try it like this, allowing for the Euro time difference

  DSD = 1 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 120000 or time >= 170000) then // 070000, 100000 openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = rok // 30 once tradeMin = tm // 1000 IF (time >= 120500) AND (time <= 120500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF

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  DSD = 1 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 120000 or time >= 170000) then // 070000, 100000 openStrongLong = 0 openStrongShort = 0 endif   //detect strong direction for market open once rangeOK = rok // 30 once tradeMin = tm  // 1000 IF (time >= 120500) AND (time <= 120500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF

   

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  03/26/2022 at 5:07 PM #190525
  Souhail Sam

  Thank you, it ads a bit of amelioration but still not that great performance that you have.
  This is my code, no spread for this backtest, no MM, parametres are the same.
  I’m ready to change the time zone for PRT if it will improve my results.

  If you can’t see any solution. I will not be a problem. I am already grateful for your contribution.
  Thanks

   

  NAS 5m MACross v4.1 L(1)

  // opt: 01/03/2022 //======================================================================= DEFPARAM CUMULATEORDERS = FALSE DEFPARAM preloadbars = 10000 positionsize = 1 //Tradetime //adjustment for American Daylight Savings time ADLS =1 if ADLS then DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=h1-10000 and time <h2-10000 elsif not DLS then Tradetime = time >=h1 and time <h2 endif endif if not ADLS then Tradetime = time >=h1 and time <h2 endif //Long Entry Filter Timeframe(4 hours) FMA1 = average[p,t](typicalprice) //FMA2 = average[p1,t](typicalprice) cb1 = FMA1 > FMA1[1] //cs1 = FMA1 < FMA2 Timeframe(15 minutes) M15 = average[p2,t2](typicalprice) cb2 = (close>m15) //cs2 = close<average[p2,t2](typicalprice) Timeframe(Default) //Long Entry Criteria MA1=average[p3,t3](typicalprice) MA2=average[p4,t3](typicalprice) cb3 = MA1 crosses over MA2 //cs3 = MA1 crosses under MA2 //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) cb4 = K>D // Conditions to enter long positions If Tradetime and cb1 and cb2 and cb3 and cb4 Then Buy PositionSize CONTRACTS AT MARKET ENDIF SET STOP %LOSS sl SET TARGET %PROFIT tp // Break even and trailing stop RTS IF Not OnMarket THEN // when NOT OnMarket reset values to default values ts = (tradeprice*pc)/100 // % trailing start TrailStart = ts //30 Start trailing profits from this point BasePerCent = base // 0.200 20.0% Profit percentage to keep when setting BerakEven StepSize = ss //10 Pip chunks to increase Percentage PerCentInc = pci // 0.100 10.0% PerCent increment after each StepSize chunk BarNumber = bn //10 Add further % so that trades don't keep running too long BarPerCent = bpc // 0.100 10% Add this additional percentage every BarNumber bars RoundTO = 0 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = 4 * pipsize //IG minimun distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value TradeBar = BarIndex ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN // go ahead only if N+ pips Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions) ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF //---------------------------------------------------------------------------- //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF (longonmarket and barindex-tradeindex(1)>= b1 and positionperf>0) or (longonmarket and barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF (shortonmarket and barindex-tradeindex(1)>= 4000 and positionperf>0) or (shortonmarket and barindex-tradeindex(1)>= 4000 and positionperf<0) then exitshort at market endif endif //---------------------------------------------------------------------------- RSIexit = 1 // in profit if RSIexit then myrsi2=rsi[r](close) if myrsi2<rl and barindex-tradeindex>1 and longonmarket and positionperf>0 then sell at market endif if myrsi2>70 and barindex-tradeindex>1 and shortonmarket and positionperf>0 then exitshort at market endif endif //---------------------------------------------------------------------------- DSD = 1 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 120000 or time >= 170000) then // 070000, 100000 openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = rok // 30 once tradeMin = tm // 1000 IF (time >= 120500) AND (time <= 120500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF ENDIF

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  // opt: 01/03/2022 //======================================================================= DEFPARAM CUMULATEORDERS = FALSE DEFPARAM preloadbars = 10000   positionsize = 1   //Tradetime //adjustment for American Daylight Savings time ADLS =1 if ADLS then DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=h1-10000 and time <h2-10000 elsif not DLS then Tradetime = time >=h1 and time <h2 endif endif   if not ADLS then Tradetime = time >=h1 and time <h2 endif   //Long Entry Filter Timeframe(4 hours) FMA1 = average[p,t](typicalprice) //FMA2 = average[p1,t](typicalprice) cb1 = FMA1 > FMA1[1] //cs1 = FMA1 < FMA2   Timeframe(15 minutes) M15 = average[p2,t2](typicalprice) cb2 = (close>m15) //cs2 = close<average[p2,t2](typicalprice)   Timeframe(Default) //Long Entry Criteria MA1=average[p3,t3](typicalprice) MA2=average[p4,t3](typicalprice) cb3 = MA1 crosses over MA2 //cs3 = MA1 crosses under MA2   //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) cb4 = K>D   // Conditions to enter long positions If Tradetime and cb1 and cb2 and cb3 and cb4 Then Buy PositionSize CONTRACTS AT MARKET ENDIF   SET STOP %LOSS sl SET TARGET %PROFIT tp   //  Break even and trailing stop RTS IF Not OnMarket THEN // when NOT OnMarket reset values to default values ts = (tradeprice*pc)/100   // % trailing start TrailStart    = ts         //30     Start trailing profits from this point BasePerCent   = base       //  0.200  20.0%  Profit percentage to keep when setting BerakEven StepSize      = ss           //10     Pip chunks to increase Percentage PerCentInc    = pci        // 0.100  10.0%  PerCent increment after each StepSize chunk BarNumber     = bn           //10     Add further % so that trades don't keep running too long BarPerCent    = bpc       // 0.100 10%    Add this additional percentage every BarNumber bars RoundTO       = 0        //-0.5   rounds always to Lower integer,   +0.4 rounds always to Higher integer,     0 defaults PRT behaviour PriceDistance = 4 * pipsize //IG  minimun distance from current price y1            = 0           //reset to 0 y2            = 0           //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value TradeBar      = BarIndex ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (close - tradeprice) / pipsize                                     //convert price to pips IF x1 >= TrailStart THEN                                                //    go ahead only if N+ pips Diff1         = abs(TrailStart - x1)                                 //difference from current profit and TrailStart Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))           //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount      = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1)                                     //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (tradeprice - close) / pipsize                                     //convert price to pips IF x2 >= TrailStart THEN                                                //      go ahead only if N+ pips Diff2         = abs(TrailStart - x2)                                 //difference from current profit and TrailStart Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))           //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount      = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2)                                     //y2 = % of max profit ENDIF ENDIF   IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions) SellPrice = Tradeprice + (y1 * pipsize)                                 //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN                                                                 //Place pending STOP order when y2 > 0   (SHORT positions) ExitPrice = Tradeprice - (y2 * pipsize)                                 //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF   //----------------------------------------------------------------------------   //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF (longonmarket and barindex-tradeindex(1)>= b1 and positionperf>0) or (longonmarket and barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF (shortonmarket and barindex-tradeindex(1)>= 4000 and positionperf>0) or (shortonmarket and barindex-tradeindex(1)>= 4000 and positionperf<0) then exitshort at market endif endif   //----------------------------------------------------------------------------   RSIexit = 1 // in profit if RSIexit then myrsi2=rsi[r](close) if myrsi2<rl and barindex-tradeindex>1 and longonmarket and positionperf>0 then sell at market endif if myrsi2>70 and barindex-tradeindex>1 and shortonmarket and positionperf>0 then exitshort at market endif endif   //---------------------------------------------------------------------------- DSD = 1 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 120000 or time >= 170000) then // 070000, 100000 openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = rok // 30 once tradeMin = tm  // 1000 IF (time >= 120500) AND (time <= 120500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF ENDIF

  

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