Strategy MAEX – experiment with MFE & MAE

• 10/26/2020 at 7:13 PM #148568
  Paul

  This strategy Maex (Maximum Excursion) tries to find a good opportunity to buy the lows.

  So I experimented with MFE & MAE. I ‘ve some doubt if it’s programmed right, but it gives interesting results.

  The algo is based on the dow 1 minute, no position overnight and a stoploss of 0.5%.

  As basis, I wanted to minimise the optimisation of parameters sl/pt/ts/be and all are based in a rough ratio on the stoploss (except the atr trailingstop).

  The goal is to improve on this preferably without changing the ratio’s but through new methods which could replace the current one or add to it.

   

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  Paul

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  10/27/2020 at 2:47 PM #148660
  Roger

  Intersting! Maybe im wrong but i would write it :

   

  maerec=0 mferec=0 maerec2=0 mferec2=0 for i=1 to n maerec=maerec+(high[i]-open[i]) mferec=mferec+(open[i]-low[i]) next for j=1 to nn maerec2=maerec2+(open[j]-low[j]) mferec2=mferec2+(high[j]-open[j]) next averecentmael=close-(maerec2/nn) averecentmfel=close+(mferec2/nn) avgl=(averecentmael+averecentmfel)/2 averecentmaes=close+(maerec/n) averecentmfes=close-(mferec/n) avgs=(averecentmaes+averecentmfes)/2 avgmfemaes=average[25](avgs)/2 avgmfemael=average[25](avgl)/2

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  maerec=0 mferec=0 maerec2=0 mferec2=0   for i=1 to n maerec=maerec+(high[i]-open[i]) mferec=mferec+(open[i]-low[i]) next   for j=1 to nn maerec2=maerec2+(open[j]-low[j]) mferec2=mferec2+(high[j]-open[j]) next   averecentmael=close-(maerec2/nn) averecentmfel=close+(mferec2/nn) avgl=(averecentmael+averecentmfel)/2   averecentmaes=close+(maerec/n) averecentmfes=close-(mferec/n) avgs=(averecentmaes+averecentmfes)/2   avgmfemaes=average[25](avgs)/2 avgmfemael=average[25](avgl)/2

   

  

  Roger

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  10/27/2020 at 3:07 PM #148664
  Paul

  Yes your right and that’s the part I had doubts about! I did write it like above but then there too many signals and the strategy breaks. But looking where the signals come, it’s in general very good but needs more work.

  I prefer it the way you wrote it, but how to make it better and outperform the way I wrote it?

   

  

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  10/27/2020 at 5:51 PM #148705
  Roger

  I have tried to optimize my version but all results are very bad… I dont know why but your version performs far better than mine

  

  Roger

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  11/12/2020 at 2:42 PM #150293
  nonetheless

  Hi, just looking at this part of your breakeven code

  if besensitivity=1 then besensitivity=close besensitivity=close elsif besensitivity=2 then besensitivity=high besensitivity=low elsif besensitivity=3 then besensitivity=low besensitivity=high endif if longonmarket then if besensitivity-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivity>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif

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  if besensitivity=1 then besensitivity=close besensitivity=close elsif besensitivity=2 then besensitivity=high besensitivity=low elsif besensitivity=3 then besensitivity=low besensitivity=high endif if longonmarket then if besensitivity-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivity>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif

  shouldn’t it be ?

  if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif

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  if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif

   

  

  nonetheless

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  11/12/2020 at 3:09 PM #150302
  GraHal

  Attached shows the differences (green being None’s proposed version).

   

  

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  11/12/2020 at 3:24 PM #150304
  Paul

  Thnx GraHal, that made it easy, had to blink twice first 🙂 Nonetheless y’re right. Thnx for pointing it out.

  

  Paul

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  11/13/2020 at 10:04 AM #150358
  nonetheless

  Your sensitivity options are such a great innovation for TS if you get it right.

  2 seems to work best for scalping algos where you want to lock it up as quick as poss. 3 (or typicalprice) works better if you’re playing a longer game.

  I want to have another look at this MAEX algo – could have potential. I know you wanted to keep everything related to the sl but I’m not entirely convinced. Freeing that up made an immediate improvement, but I’m sure you looked at that already.

  Also think it could be suited to a longer TF – will try that over the weekend.

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  nonetheless

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  11/14/2020 at 10:57 AM #150464
  ullle73

  interesting, following 🙂

  

  ullle73

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  11/14/2020 at 2:15 PM #150475
  Paul

  Looking foward to your tests nonetheless. I can’t find good ways to improve on this. Maybe define a bigger trend with hull average, i.e. weekly, and use that to buy in the trend the lows? It maybe works for selling the highs too. I will give it a try later.

  

  Paul

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  11/14/2020 at 5:38 PM #150498
  snucke

  Applied a simple filter for trend

   

  see line 74-76

   

  can only test on 100 k bars though

  

  snucke

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  11/14/2020 at 9:38 PM #150521
  Paul

  Thnx snucke

  here are both 200k 1m.

  I also have struggled to get good OOS results with WF

  Included a WF test of 50k bars

   

  

  Paul

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  11/14/2020 at 10:09 PM #150525
  snucke

  looks decent i like it more with the filter i used.

  and it gave similar results prior to the dates i tested it at

  

  snucke

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  11/14/2020 at 11:15 PM #150531
  Paul

  Yeah the equitycurve is indeed better. I included it in the new version but removed vectorial for now, focussed on the 2 methods and added short.

  For testing probably it’s best to use reenter=1 as that’s normally used.

  If optimising for long or short, you can exit on opposite signal but not reversing.

  The parameters aren’t optimised for any timeframe so it looks bad.

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  nonetheless, GraHal

  

  Paul

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  11/16/2020 at 1:23 AM #150585
  nonetheless

  Here’s a version of the 1m long. My additions are optimized at 70/30

  I also tried to rework your v3 on a 5m TF, it sort of worked but not so profitable

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  nonetheless

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