Work several strategies simultaneously

[Alexander.Gettinger]

For base we shall take simple strategy based on cross two simple moving average.

MA_Cross_Strategy.lua

(6.57 KiB) Downloaded 1044 times

Optimize it in tester.
Parameters of optimization:
Instrument: EUS/USD,
Chart: M15,
Range: 12/03/2010 - 02/25/2011,
Min. periods for MA: 20,
Max. periods for MA: 200,
Step: 20.

As main criterion to optimization I have chosen parameter P/F=Profit/Max.fall equity.
After optimization 5 best sets look like:

As changed parameters if we shall combine several strategies with different periods?
For this I wrote a strategy that can simultaneously work with three pairs of moving averages.

MA_Cross_Strategy3.lua

(8.53 KiB) Downloaded 1039 times

Period1 and Period2 correspond first MA, Period3, Period4 - second MA and Period5, Period6 - third MA.
If Period1=Period2 or Period3=Period4 or Period5=Period6 corresponding MA is not used.
Set Period1=80 and Period2=100 further optimization.
For 2 pairs MA the best parameters follows:

Continuing in the same way.
After the third stage of optimization:

[Alexander.Gettinger]

On this picture draw profit and max.fall equity for all stages of optimization.

And parameter P/F:

As a result we were able to increase profits without increasing fall equity.
It is obvious that the simultaneous use of several strategies to improve the quality of trade.

[nookie]

Hey Alexander,

I have 2 / 3 strategies I want to see a result when all of them agrees - if all 3 are long , go long, if 1 disagrees - do nothing. How and is this possible to be done or a new strategy has to be built ?

Cheers

Nookie

[sunshine]

A new strategy must be created. Please post a request with details in the Indicator and Signal Requests thread.

[nookie]

Would have been great if there was some kind of "strategies filter" in TS II, so it would be if 2 strategies agree then a signal is created. Do you think is possible to happen in next release of TS or no clue ?

Cheers

[sunshine]

Would have been great if there was some kind of "strategies filter" in TS II, so it would be if 2 strategies agree then a signal is created. Do you think is possible to happen in next release of TS or no clue ?

Cheers

I believe that strategy wizard would help you with this. You would just add conditions of the two base strategies when creating a new one.

[nookie]

Hi sunshine,

Where can I find this "strategy wizard" tool ? No sign of it in Marketscope help or in a search on the web... any hint ?

Cheers

Nookie

[sunshine]

It has not been released yet. Developers have started working on it.

[nookie]

Wow, great news, I am already waiting for its first realease

[rjm354]

This is a great strategy, Thanks, Great Work !!

Sometimes the strategy opens several positions on the same pair . For example it opened 3 nzdusd at the same time.
Is there a way to give me the option or choice to limit the strategy to opening only 1 position on each pair ?

Thanks