Experiments in Technical Analysis

[karthikmarar]

Hello

I got about 50% win/Loss and not 80/85% (10 wins out of 12) as you have stated.

Maybe the SR lines flipping visually gave you that impression .

Backtest from 1st April 2008 till yeaterday on hourly timeframe gave Gains of 2287 points after brokerage, but the maximum system drawdown was of 1400 points and max trade DD is 651 points.

Will try this on still smaller timeframe for a smoother equity curve.

Regards
PK

PK

I suggest that you optimize for "K" and "ATR" values before backtesting. Also try a longer period. The backtest data should ideally contain both a bull and bear market. Hence data from aprol 2008 may be insufficient. If time permits I will also try some backtesting on nifty and post the results.

Like any other system sideways this too is prone to whipsaws during ranging markets.

regards

 

[FlowTrader]

I have experimented with both normal and HA candles. HA provides better results. HA candles normally reflect the trends better reducing noise.

regards

Hello

Thanks for the quick response.

If I am looking for optimizing the above system (or any other for that matter) and I want to optimize with the aspect of having a smoother equity curve, what should be the approach I take?

I can think of selecting a shorter timeframe, for e.g. shifting to 15 minutes using the above system (with params 4,8) the Max drawdown was reduced to about 600 points (not carrying overnight position) with almost same Gains (aprox 2000 points, after brokerage) for the same period, however as expected we had n times more trades.

Regards
PK

 

[FlowTrader]

PK

I suggest that you optimize for "K" and "ATR" values before backtesting. Also try a longer period. The backtest data should ideally contain both a bull and bear market. Hence data from aprol 2008 may be insufficient. If time permits I will also try some backtesting on nifty and post the results.

Like any other system sideways this too is prone to whipsaws during ranging markets.

regards

Hello

My current database holds intraday data from feb/march, thats why ristricted to april'08 onwards. Did try out various optimization runs.

I will try out with daily tf for few years of data. Thanks for your help.

Regards
Prashant

 

[dnana]

Dnana

It is nice to know that you would like to understand the logic behind the system before implementing the system instead of going with it blindly.

The system is based on a moving average proposed by a Russian Trader. Hats off to them, they have come up with some real nice stuff. But most of it is on Metatrader platform targeting Forex Trading.


In simple terms there is trailing stop reverse line which always remains a fixed distance or delta away from the recent peak price.

In an uptrend TS= Highest(Close,period) Delta
In a downtrend TS= Lowest(Close,period)+Delta

In our system the delta value is always a multiple (K) of a weighted moving average (Period: atr) of the spread. Hence by adjusting the K and atr values the delta can be adjusted.

I have tried to make it very simple. In case you need more information please inform.

Regards

thank u very much for ur explanation

 

[uasish]

Karthik,

Thks,for the fresh Air,once again we students are eager to Learn from the Teacher.

Asish

N.B. (Disclaimer i dont have any monetary gain plan neither with my Teacher Karthik or Saint).

 

[FlowTrader]

Karthik,

Thks,for the fresh Air,once again we students are eager to Learn from the Teacher.

Asish

N.B. (Disclaimer i dont have any monetary gain plan neither with my Teacher Karthik or Saint).

Hello uasish


I have posed a question above to karthik sir, can you also give an sugestion for the query.

regards
PK

If I am looking for optimizing the above system and I want to optimize with the aspect of having a smoother equity curve, what should be the approach I take?

I can think of selecting a shorter timeframe, for e.g. shifting to 15 minutes using the above system (with params 4,8) the Max drawdown was reduced to about 600 points (not carrying overnight position) with almost same Gains (aprox 2000 points, after brokerage) for the same period, however as expected we had n times more trades.

Regards
PK

 

[rotoline]

hello
karthikmarar

cant this code be modified for metastock

rotoline

 

[rotoline]

u asish

is it possible for u to put this code into metastock language

rotoline

 

[TFL]

hi all,

This post might be little irrelevant to this thread but this software is very good near to freeware on demo having real time NSE , BSE index charting with multinational stocks and indices + Forex and commodities in one simple pack

It also have backtesting and autotrading, custom indicator features


masterji,

Go for Paid advertisement rather than spamming here and there in the forum.

Haribird.

 

[casoni]

Vikram

Your formula for average volume is wrong. Try this code


_SECTION_BEGIN("AVG VOL");

V1 = TimeFrameGetPrice("V", inDaily, -1);
Avgvol = MA(V,30);
Plot(V," VOLUME",ParamColor("Color", colorBlueGrey ), styleHistogram| styleThick );
PlotOHLC( Avgvol, Avgvol, 0, 0, "", 31,styleCloud );

_SECTION_END();

hello sir,
so nice to see you back in action,
...whats the use of V1 = TimeFrameGetPrice("V", inDaily, -1);
as its not been used ?? please guide
thank you