Trading Strategies Based On Digital Filters - page 22

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deeforex:
FFL,

Thanks for posting. Glad to see someone else joining us. Question for you. The 2 indies that you used for your screenshot, do they have the same coefficients inside the code?

the part that reads

value1 =

0.216679747671846*Close

+0.211269420463811*Close

...

-0.000413583883278278*Close;[/CODE]

value2=

0.0364298167208155*Close

+0.0553906231378775*Close

...

-0.000218687638971784*Close;

[CODE]

...etc

value3....

value4...

The reason why I ask is because if these values are not the same, that could be the cause of the lag. I checked out the code and besides the coefficients being different from 1 that I have, another noted difference is the number of CountBars used and I don't think that should impact the results. I could be wrong but I changed the bar count and that doesn't seem to change the results.

Thanks for sharing tho.

Makes perfect sense @ more coeffiencients results in smoother but slower indicator. I think it's a fine balance. Should be called MTLM. Chessy, I know. Unfortunately I have no coding abilities and my experience w/ digital signal processing is limited at best. Perhaps one of the board's gurus in this field might be able to shed some light on this puzzling (I'm still trying to figure out how to optimize FTLM/STLM/RBCI-type digital indies.

Attached you will find both indicators. It was an error on my part for not posting both. Mah bad.

I should have prefaced my initial post w/ this disclaimer: I can't code my way out of a digital paper bag at this time. Mah bad again. I can change the colors and parameters. Thats about it for now. lol

Hope I can contribute something of worth. Just a budding trader who's willing to test all that looks worthwhile w/ the time to do it. Anything else I can do, just let me know

Files:
ftlm_kg_hist.mq4  10 kb
ftlm_hist.mq4  7 kb
 

FFL,

if you have an interest in catching up with us, you can easily do so by reading some past threads.

Dvarrin gave this thread a kickstart again on post #117. If you start from there you will get in on Simba, Clahn04 and Dvarrin's dialogue of what to do and why.

I also made a post on #191 that details what I did to build my indicators to reflect the latest market activity.

If you know how to Cut & Paste, and hit a button that says compile, then you pretty much can create your own updated indicators. With that said, you will need to read the previous posts to know what inputs to use and what to cut & paste. Overall it's not too difficult.

Why don't you start. Post pics if you get stuck and I'm sure we'll be able to walk you through. You might want to do what I did and write out why you did what you did and in what order so that someone can see if your thought process is on target.

have fun!

 
deeforex:
was your point 2 this...

if so, yes, I left this the same.

Thanks for your clarification of your intentions for sharing the EA. I threw the EA on for forward testing just to see how it would do with the "fresh" indies that I created last week. I will work on the aspect of optimizing this coming week.

deeforex,I shared the EA with no intentions,just use it for what you want to use it,no strings attached,I would be a very bad negotiator if first I attached an EA then asked for/expected some conditions or intentions to be fulfilled ..;).

I was just asking you if you had used ,as I presumed,the EA with non standard indicators,and I understand that you did..that is all.

 
clahn04:
I would add Hurst to that list...

Sorry i've been MIA...i've been crazy busy at work... i hope to be back contributing to this board tonight....i wanted to throw a question out there thought right now....it somewhat pertains to this line of thinking...

The new Futures magazine (Feb 08 edition) has an article in it by Matt Reynolds entitled "Pinpointing entries accross time frames". In it he gives the basic talk about confirming on MTframes an entry. Now i'm not talking about a MTF stochastic strategy or anything like that, but for our purposes, would something like this make sense?..

Example - RSTL on 1 Hour chart is a postive slope, signaling an uptrend. Go down to a 15 minute chart for your entry and exit, and have another qualifier - perhaps the RSTL on the 15 is positive, or SATL ( which is less delayed). Obviously the essense of digital filters is filtering out noise, making our signals more "accurate". I'm wondering if MTF would be disadvantageous because the RSTL basically tells you the direction already. Anyways, just a thought. Feel free to comment.

We have a great discussion going here. Let's keep it going.

Safe trades,

cl

In my experience ,one of the best non customindicators to mark the trend is STLM2..You can check the trend at h4 and h1,or D1 and H4,and when both are coincidental , look at shorter timeframes to trigger an entry with whatever suits you.

I posted a mtf stlm2 in the mtf thread,will repost here,so that you can check it,by just changing STLM2 for FTLM or FTLM_KG you will have the multiple time frame capabilities for these filters too.Additionally ,we can just modify the Ea to be able to test most strategies,including mtf of stlm2..

I would suggest that we create a menu of strategies,and then proceed to first test them historically with standard digital filters,and second,test them ,at leats the most promising ones,forward demo with custom digital filters..Any takers?

Files:
mft_stlm2_v2.mq4  2 kb
 

3 Strategies

Check the 3 strategies and related results,the EA is basically the same and it uses the indicators we customized,a week or so ago,with 3 different strategies,all 3 are positive,next post will include the 3 versions of the EA used...This is the kind of testing I would like to do here,with the addition of an "out of sample" test,that should be done forward demo,since we are talking about customized indicators.

Files:
mod1.htm  12 kb
mod2.htm  17 kb
nomod.htm  12 kb
satleurusdh4.mq4  3 kb
rstleurusdh4.mq4  3 kb
 

3 versions of Ea to test

the 3 versions of the EA to test the strategies...BTW,please note that all stops,trailing stopds,take profits,etc,have been disabled..the EAs use only digital filters to enter,exit and reenter..But if you want to enable them,just take care to first test the Eas ,2 different optimizations..First:As they are..no stops,etc,pure trading logic..Second:with stops ,etc..Run 2 competitive optimizartions and you will realize that,most probably,exit by pure trading logic is much better than just using stops and take profit..;).Don`t believe me..just do it

SIDENOTES:1-The Eas have been tested on open bar,you can test them in your pc on every tick and then again on open bar..and you will see that the results are ,usually,the same..but don`t believe me again..just check it

2-Since I used custom digital filters ,the test is mostly in sample,there is only one week or so which is out of sample,the last one...if you do a backtest for the last 6 months..you will probably realize which is the safest startegy in case of a sudden cyclic change..believe me

 
SIMBA:
I would suggest that we create a menu of strategies,and then proceed to first test them historically with standard digital filters,and second,test them ,at leats the most promising ones,forward demo with custom digital filters..Any takers?

I'll join but it will take me some time to ramp up. I'll be busy the next couple of days and hopefully will be able to find time this coming weekend.

I would like to clarify a couple of points.

1) We're using EURUSD, right?

2) Which broker was used to generate the indies? Wouldn't the 4hr bar would be affected by the different broker times?

Thanks Simba. I look forward to learning from these tests.

dee

 
deeforex:
I'll join but it will take me some time to ramp up. I'll be busy the next couple of days and hopefully will be able to find time this coming weekend.

I would like to clarify a couple of points.

1) We're using EURUSD, right?Yes..And we can use whatever we want,I would suggest we stick to H4 and H1 timeframes but it is just a suggestion

2) Which broker was used to generate the indies? Wouldn't the 4hr bar would be affected by the different broker times?WHC..Not by enough difference to be relevant

Thanks Simba. I look forward to learning from these tests.

dee

Dee,everybody has his own schedule,so,don`t worry about it,we will proceed at a comfortable enough pace for everybody interested in contributing to be able to do so..including myself .

I usually trade GBPJPY,GBPUSD and EURJPY..so,no need to stick to EURUSD,we can test for several pairs..I would say that the 4 mentioned here are interesting for most of us..and they are interrelated too.

 

It's nice to see a global collaboration....

I mainly stick with eurjpy and gbpusd, but i'll do whatever.....

I will have some free time this weekend, so i think maybe i'll run a couple of other tests too ( i.e. diff. time frames)....

how do you guys want to break it up?

cl

 

Simba,

Could you post a simple synopsis of each mod and it's rules?

Thanks,

cl

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