[ZachSwann]

Since I started trading have found out cash accounts and more orders than the account balance won’t let you place the orders. So for now I have halved position size till I get a margin account sorted

[ZachSwann]

AUS Market Sector Based Index Filter if have both US and AUS data

_SECTION_BEGIN(“AUS Sector Index Filter”);

SectorIndextog = ParamToggle(“Sector Index Filter”,”On|Off”,1);
sectorIndexCode = SectorIndexAUS = IIf(InGics(“10”),Foreign(“$XEJ.au”,”C”),
IIf(InGics(“15”),Foreign(“$XMJ.au”,”C”),
IIf(InGics(“20”),Foreign(“$XNJ.au”,”C”),
IIf(InGics(“25”),Foreign(“$XDJ.au”,”C”),
IIf(InGics(“30”),Foreign(“$XSJ.au”,”C”),
IIf(InGics(“35”),Foreign(“$XHJ.au”,”C”),
IIf(InGics(“40”),Foreign(“$XFJ.au”,”C”),
IIf(InGics(“45”),Foreign(“$XIJ.au”,”C”),
IIf(InGics(“50”),Foreign(“$XTJ.au”,”C”),
IIf(InGics(“55”),Foreign(“$XUJ.au”,”C”),Foreign(“$XPJ.au”,”C”)))))))))));

SectorIndmaper = param(“Sector Index Filter MA Periods”,200,40,400,20);
sectorIndexfilterup = sectorindexcode > MA(sectorindexcode,sectorindmaper);
sectorIndexupfilt = IIf(sectorindextog,1,sectorindexfilterup);
_SECTION_END();

[ZachSwann]

It didn’t make a great deal of difference but I like Said idea of changing the close.

[ZachSwann]

I had a bit of a play when I designed my MR and just did one market condition at a time.

Here is what I used
//=======================================================================================================
//Market Enviroment Conditions
//=========================================================================================================
//Parameters

_SECTION_BEGIN(“Market Conditions”);
SetForeign(“$XAO”);//Note if have US data $XAO.au
//Market
slopedays = Param(“Time Period of System in Days”,100,1,300,1);//Days should match average bars of all profits
bullslopelimit = Param(“Slope Bull Market as a Gradient”,0.08748866352,0,400,.01);//Angle of MA Set to 5 degrees
Bearslopelimit = Param(“Slope Bear Market as a Gradient”,-0.08748866352,-400,0,.01);//Angle of MA Set to -5 degrees
//Volitility
voliper = Param(“Volitility Atr Period”,20,1,100,1);//Volitility Days
voliperbb=Param(“Volitility Period BBands”,180,20,300,1);//Volitility Period BBands
volisdbbtop = Param(“Volitility SD BBands Top”,1,0,5,.01); //Volitility SD BBands Top
volisdbbbot = Param(“Volitility SD BBands Bottom”,1,0,5,.01);//Volitility SD BBands Bottom
//

---

Slopeenviro = (Close- Ref(Close,-slopedays))/slopedays;//Gradient of MA
voli = ATR(voliper);//Market Volitility
//Market Type

---

bullmarketenviro = slopeenviro > (bullslopelimit);// MA Gradient greater than 5 degrees
Neutralmarketenviro = (bearslopelimit) <= slopeenviro and slopeenviro <= (bullslopelimit); // MA Gradient between -5 to 5 degrees
bearmarketenviro = slopeenviro < (bearslopelimit);// MA Gradient less than -5 degrees
//Volitility

---

HighVoli = voli > BBandTop(voli,voliperbb,volisdbbtop); //Volitility greater the 1 StdDev
MediumVoli = voli >=BBandBot(voli,voliperbb,volisdbbbot) and voli <= BBandTop(voli,voliperbb,volisdbbtop); //Volitility between bottom and top BBand
LowVoli = voli < BBandBot(voli,voliperbb,volisdbbbot); //Volitility greater the -1 StdDev
RestorePriceArrays();
//Filter=bullmarketenviro OR Neutralmarketenviro OR bearmarketenviro;
//AddColumn(slopeenviro,”slope”,1.5,colorDefault,colorDefault,80);
//AddColumn(bullmarketenviro,”Bull”,1,colorDefault,colorDefault,80);
//AddColumn(Neutralmarketenviro,”Neutral”,1,colorDefault,colorDefault,80);
//AddColumn(bearmarketenviro,”Bear”,1,colorDefault,colorDefault,80);
//Filter =HighVoli OR MediumVoli OR LowVoli OR voli;
//AddColumn(voli,”Voli”,1.4,colorDefault,colorDefault,80);
//AddColumn(highvoli,”H Voli”,1,colorDefault,colorDefault,80);
//AddColumn(mediumvoli,”M Voli”,1,colorDefault,colorDefault,80);
//AddColumn(lowvoli,”L Voli”,1,colorDefault,colorDefault,80);
//AddColumn(BarCount,”BAR Count”,1,colorDefault,colorDefault,80);

Plot(BBandTop(voli,voliperbb,volisdbbtop),”bbtop”,colorBlue,styleLine);
Plot(BBandbot(voli,voliperbb,volisdbbtop),”bbtop”,colorBlue,styleLine);

Marketcond=ParamList(“Market Conditions”,”No Market Conditions|Bull Market High Volitility|Bull Market Medium Volitility|Bull Market Low Volitility|Neutral Market High Volitility|Neutral Market Medium Volitility|Neutral Market Low Volitility|Bear Market High Volitility|Bear Market Medium Volitility|Bear Market Low Volitility”,0);
marketcondition=0;
if(marketcond==”No Market Conditions”) marketcondition= 1;
if(marketcond==”Bull Market High Volitility”) marketcondition=bullmarketenviro AND HighVoli;
if(marketcond==”Bull Market Medium Volitility”) marketcondition=bullmarketenviro AND MediumVoli;
if(marketcond==”Bull Market Low Volitility”) marketcondition=bullmarketenviro AND LowVoli;
if(marketcond==”Neutral Market High Volitility”) marketcondition=Neutralmarketenviro AND HighVoli;
if(marketcond==”Neutral Market Medium Volitility”) marketcondition=Neutralmarketenviro AND MediumVoli;
if(marketcond==”Neutral Market Low Volitility”) marketcondition=Neutralmarketenviro AND LowVoli;
if(marketcond==”Bear Market High Volitility”) marketcondition=bearmarketenviro AND HighVoli;
if(marketcond==”Bear Market Medium Volitility”) marketcondition=bearmarketenviro AND MediumVoli;
if(marketcond==”Bear Market Low Volitility”) marketcondition=bearmarketenviro AND LowVoli;

[ZachSwann]

MR System Orders placed with a VPS and API running.
One thing I did find was with .csv file you import to the API the name couldn’t have any dots other than the one before the csv

[ZachSwann]

Have been Said’s some pretty good ideas, now for Brent’s.

[ZachSwann]

MR system so far at about carg 15-16 and mdd about 11-12

Chasing some ideas on MOC systems

Last idea I had with MOC was ref(rsi(2),-1)-rsi(2) > lvl with a Ma
Results carg 4% mdd >20% terrible but

[ZachSwann]

Have figure out my roc based system is only good for a small account balance.

Have started playing with couple of different mean reversion systems one short rsi based and the other with lower averages

Had a thought while doing this a trend following system with hold(buycondition) and a short term rsi entry idea for testing another day

[ZachSwann]

Currently building a short term roc based system.
In the process of reducing selection bias.
I have successfully blown up my first system with Monte Carlo awesome. Now I know MCS actually works excellent.
I think I have found myself the everlasting puzzle good fun.

Also am building a Longer term Rsi system in the background.

[ZachSwann]

Fishing Phuket not sure but the only place I have been fishing in Thailand is Koh Larn island just off Pattaya fishing for squid under lights in the night 4 hour trip about $20 they cook them up on the boat if you go a like a beer just remember to take them with you on the boat

[Author]

Posts