Filter to stop Moving Average Crossover EA from executing market orders in a consolidation

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Sakhile Mamba
2903
Sakhile Mamba  

Please kindly suggest a filter i can use to stop my moving average crossover EA from trading in Consolidation, I've tried adding more moving averages and slope calculation as a filter, but its still not enough.

During the crossover, the crossovers happen many times back and forth before price starts trending towards a particular direction, which means i loose a lot of money from the spread and/or commission

Files:
Fernando Carreiro
4946
Fernando Carreiro  
Sakhile Mamba: Please kindly suggest a filter i can use to stop my moving average crossover EA from trading in Consolidation, I've tried adding more moving averages and slope calculation as a filter, but its still not enough.

During the crossover, the crossovers happen many times back and forth before price starts trending towards a particular direction, which means i loose a lot of money from the spread and/or commission

This is typical of Moving Average cross-over strategies as they cause a lot of whipsaw during ranging or choppy markets, especially at lower time-frames such as M1.

Consider the higher time-frames H1 and above which have more clear trends and have less noise and are less choppy.

I suggest using multi-time-frame analysis so that you only open trades in the direction of the prevailing trend.

Code2219 or probably 2319
443
Code2219 or probably 2319  
Sakhile Mamba:

Please kindly suggest a filter i can use to stop my moving average crossover EA from trading in Consolidation, I've tried adding more moving averages and slope calculation as a filter, but its still not enough.

During the crossover, the crossovers happen many times back and forth before price starts trending towards a particular direction, which means i loose a lot of money from the spread and/or commission

use a filter based on price move (relative to symbol daily range) before entering trades.

if(my_crossover_conditions_are_met && Price_change_since_last_crossover > 0.1*symbol_daily_range) trade... // requires 10% of daily range activity before trade
Icham Aidibe
11338
Icham Aidibe  

That is a very relevant question for which everyone for sure did look for an answer but here's another question .. 

  • Your two MA crosses LONG ---> entry signal
  • Your two MA crosses SHORT during consolidation and are filtered ---> no exit signals 
  • Price will downtrend, but you won't know about
Is it still a good idea to filter these signals ?

Code2219 or probably 2319
443
Code2219 or probably 2319  
Icham Aidibe:

That is a very relevant question for which everyone for sure did look for an answer but here's another question .. 

  • Your two MA crosses LONG ---> entry signal
  • Your two MA crosses SHORT during consolidation and are filtered ---> no exit signals 
  • Price will downtrend, but you won't know about
Is it still a good idea to filter these signals ?

that's the inevitable price to pay, when filtering.
no trading strategy will ever be able to catch all best moves.
either take every chance to hit a possible jackpot, or stick to safer entries and see your EA miss many jackpots.

all one can hope for is to find a midpoint between these two extremes.

¯\_(ツ)_/¯

Dua Yong Rew
5503
Dua Yong Rew  

Try

Highest close minus lowest close of x bars. If range is less than certain pips means consolidation

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