Smoothed Bollinger% Strategy Daily_Topic

• 01/28/2018 at 6:49 PM #60752
  Alberto

  Thank you very much. Here I attach an AUD/USD optimised cross (tick by tick).
  I’m from Italy too, not from Sweden.

  

  Alberto

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  01/29/2018 at 3:48 PM #60864
  Tedvin

  Hi and thanks for this strategy ALE. Nice and solid foundation to keep working from and adapt to more markets etc.

  Just a though regarding the minstop, correct me if wrong. I guess the variable minstop is supposed to be set in pips, but there is no pointsize multiplier in the row “if MAXPRICE–tradeprice(1)>=MINSTOP then“. Makes no difference in the indexes since pipsize is 1, but if used on currency pairs this might distort the results. I see that in the posted eurusd version of the strategy this error has not been detected, so the if condition above is never true, which makes the trailing stop consistently being set to minimum according to row “PREZZOUSCITA = MAXPRICE – MINSTOP*pointsize“.

  Above comment applies to short as well as long part of the trailing stop.

  Best Regards, Tedvin

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  Nicolas

  

  Tedvin

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  01/30/2018 at 12:56 PM #60961
  ALE

  Hello Tedvin,

  Yes I’m agree!

  Thanks

  ALe

  

  ALE

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  01/30/2018 at 1:12 PM #60966
  ALE

  @Alberto,

  also if I’ll never use on real account the following optimization I’ve attached anothe version for AUD/USD

  

  ALE

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  01/30/2018 at 10:39 PM #61027
  Alberto

  Thank you for your optimised AUD/USD. I’ll try to search a better version, but I think this cross is a hard one. I don’t like the declining curve at the end.

  Are you running this automated strategy live with any asset?

  

  Alberto

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  01/31/2018 at 6:39 PM #61131
  ALE

  Hello Alberto,
  I’m busy with others but I could consider major market like Nasdaq, Dax  etc. in real

   

  

  ALE

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  02/01/2018 at 9:18 PM #61236
  T-rader

  Hello

  I´ve been testing this code on some different fx pairs and some other markets and have gotten some amazing results. Is this code really legit? I see that many of the trades are closed within the first bar (0 bar). But tested with t-b-t this shouldn´t be a problem.

  Can´t see anything that looks non legit except for the result… What do you think?

  You can see some of my backtest down below. I´ve optimized on the latest 5-10 years and the rest is OOS.

   

   

   

  

  T-rader

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  02/02/2018 at 12:28 AM #61244
  Alberto

  Are you sure you were testing them tick by tick? In ProRealTime the tick-by-tick test starts from 2010, whereas your screenshots start previously.

  

  Alberto

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  02/02/2018 at 9:50 AM #61250
  T-rader

  I´m getting the same result in tick by tick.

  

  T-rader

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  02/02/2018 at 10:43 AM #61254
  T-rader

  Sorry for dubbel posting but here´s the code for aud/Usd for example. Optimized from 2010-07-20 to 2018-02-01 (see the line in the picture). 1988-2010 is all oss.

  DEFPARAM CumulateOrders = FALSE ONCE avgEnterEnabled = 2 //Moving Average Entry Filter - 0 OFF, 1 ON ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE takeprofit = 1.2 // Take Profit % ONCE stoploss = 0.9 // Stop Loss % ONCE trailingstoplong = 23 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 9 // Trailing Stop Atr Relative Distance ONCE barlong = 1 // Exit Time Long ONCE barshort = 3 // Exit Time Short ONCE atrtrailingperiod = 380 // Atr parameter Value ONCE minstop = 3 // Minimum Trailing Stop Distance // MOVING AVERAGE - Parameter ONCE avgLongPeriod = 200 // 100 // Smoothed Bollinger %b indicator - Parameters ONCE period = 3 ONCE TeAv = 1 ONCE SveEnterLongThreshold = 35 ONCE SveEnterShortThreshold = 65 // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize) trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF //-------------------------------------------------------------------------------------------------- // FILTER SETTINGS //-------------------------------------------------------------------------------------------------- //MOVING AVERAGE longAvg = Average[avgLongPeriod] (close) avgFilterEnterLong = (close>longAvg OR NOT avgEnterEnabled) avgFilterEnterShort = (close<longAvg OR NOT avgEnterEnabled) //Smoothed Bollinger %b indicator haOpen = ((Open[1]+High[1]+Low[1]+Close[1])/4 + (Open[2]+High[2]+Low[2]+Close[2]))/2 haC = ((Open+High+Low+Close)/4 + haOpen + Max(high,haOpen) + Min(low,haOpen)) /4 TMA1 = tema[TeAv](haC) TMA2 = tema[TeAv](TMA1) Diff = TMA1-TMA2 ZlHA = TMA1+Diff percb = (tema[TeAv](ZLHA)+2*STD[period](tema[TeAv](ZLHA))-weightedaverage[period](tema[TeAv](ZLHA))) / (4*STD[period](tema[TeAv](ZLHA)))*100 SveFilterEnterLong = (percb < SveEnterLongThreshold ) SveFilterEnterShort = (percb > SveEnterShortThreshold ) // STRATEGY //-------------------------------------------------------------------------------------------------- IF NOT LongOnMarket AND avgFilterEnterLong AND SvEFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF IF NOT ShortOnMarket AND avgFilterEnterShort AND SveFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF SET STOP %LOSS stoploss SET TARGET %PROFIT Takeprofit ///GRAPH TGL

  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 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105

  DEFPARAM CumulateOrders =  FALSE ONCE avgEnterEnabled      = 2   //Moving Average Entry Filter - 0 OFF, 1 ON ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON ONCE takeprofit           = 1.2  // Take Profit % ONCE stoploss             = 0.9  // Stop Loss % ONCE trailingstoplong     = 23    // Trailing Stop Atr Relative Distance ONCE trailingstopshort    = 9    // Trailing Stop Atr Relative Distance ONCE barlong              = 1    // Exit Time Long ONCE barshort             = 3    // Exit Time Short ONCE atrtrailingperiod    = 380  // Atr parameter Value ONCE minstop              = 3 // Minimum Trailing Stop Distance   // MOVING AVERAGE - Parameter ONCE avgLongPeriod          = 200 // 100 // Smoothed Bollinger %b indicator - Parameters ONCE period                 = 3 ONCE TeAv                   = 1 ONCE SveEnterLongThreshold  = 35 ONCE SveEnterShortThreshold = 65   // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize) trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF //-------------------------------------------------------------------------------------------------- // FILTER SETTINGS //-------------------------------------------------------------------------------------------------- //MOVING AVERAGE longAvg  = Average[avgLongPeriod] (close) avgFilterEnterLong  = (close>longAvg OR NOT avgEnterEnabled) avgFilterEnterShort = (close<longAvg OR NOT avgEnterEnabled)   //Smoothed Bollinger %b indicator haOpen = ((Open[1]+High[1]+Low[1]+Close[1])/4 + (Open[2]+High[2]+Low[2]+Close[2]))/2 haC = ((Open+High+Low+Close)/4 + haOpen + Max(high,haOpen) + Min(low,haOpen)) /4 TMA1 = tema[TeAv](haC) TMA2 = tema[TeAv](TMA1) Diff = TMA1-TMA2 ZlHA = TMA1+Diff percb = (tema[TeAv](ZLHA)+2*STD[period](tema[TeAv](ZLHA))-weightedaverage[period](tema[TeAv](ZLHA))) / (4*STD[period](tema[TeAv](ZLHA)))*100 SveFilterEnterLong  = (percb < SveEnterLongThreshold  ) SveFilterEnterShort = (percb > SveEnterShortThreshold )   // STRATEGY //--------------------------------------------------------------------------------------------------   IF NOT LongOnMarket AND avgFilterEnterLong AND SvEFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF     IF NOT ShortOnMarket AND avgFilterEnterShort AND SveFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   IF  POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF   IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort  THEN EXITSHORT AT MARKET ENDIF ENDIF   SET STOP %LOSS stoploss SET TARGET %PROFIT Takeprofit ///GRAPH TGL

  

  T-rader

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  02/02/2018 at 8:53 PM #61304
  Alberto

  Compliments for your optimisation. Much better than mine. I’ve tried it and I get more or less the same results.

  I’m optimising other assets, but it’s a little difficult. There are a lot of variables to set in advance.

  

  Alberto

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  02/02/2018 at 9:41 PM #61306
  Nicolas

  Good job guys! Nice to see you are using OOS validation for your optimized variables settings.

  
  @ale congratulations for the strategy

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  ALE

  

  Nicolas

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  02/03/2018 at 7:24 PM #61369
  T-rader

  Thanks Alberto and Nicolas.

  The only problem I´ve noticed so far is that the code dosen´t seem to like to have a open position over the weekend. As you can see in the picture below the code is turning it self off.

  Does anyone have an idea of what the problem could be?

   

  Cheers

  

  T-rader

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  02/03/2018 at 9:14 PM #61372
  ALE

  This problem is over  this strategy, i’d like to know why

  

  ALE

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  02/04/2018 at 10:44 AM #61401
  Nicolas

  @T-rader

  First time it does that?

  

  Nicolas

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