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Highly adaptable CCI Strategy

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Re: Highly adaptable CCI Strategy

Postby appress » Mon Feb 10, 2014 3:12 pm

Hi Apprentice, thanks for the good work.

I'm having difficulty getting the H.A.CCI Strategy to indicate the time it has traded when backtesting. to highlight I show the standard MA Strategy included with the FXTS2 install. Each time a trade is executed in the backtest, there is a little "1" indicator on the price action when it's closed an arrow appears. I put my mouse over these and more details appear; price etc.

On H.A.CCI strategy I see trading happens because the log tells me and because the equity and balance changes. It would be nice to see the trades on the graph as per the MA strategy.

it's either
a) I'm using it wrong
b) code needs looking at.

please advise.

Thanks

Phil
Attachments
MA_Strategy.png
standard MA strategy backtest with trades on graph
Highly adaptable CCI Strategy.png
H.A.CCI strategy backtest without trades on graph
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Re: Highly adaptable CCI Strategy

Postby spinemaligna » Mon Feb 10, 2014 5:14 pm

spinemaligna
Strategy uses a fairly simple algorithm.
All trading action is defined by User.
If you want modification can u specify it.

Hi Apprentice,

I am not asking for any modification to the strategy, I would just like it to be consistent. My screenshot shows the strategy working correctly, then two examples of it misbehaving. I don't think it is anything I have done as the settings were obviously the same as it was in the same backtest run.
I understand you are under pressure but would appreciate some input. Maybe somebody else has ideas where this may be going wrong.

Ross
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Re: Highly adaptable CCI Strategy

Postby spinemaligna » Tue Feb 11, 2014 11:03 am

Apprentice,

I have attached an XL file showing the logic steps I think the strategy should take. If this is different to the logic of the strategy is it possible to create a strategy that fulfills these aims.

Ross
Attachments
HACCI Logic.xlsx
(8.46 KiB) Downloaded 237 times
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Re: Highly adaptable CCI Strategy

Postby Apprentice » Wed Feb 12, 2014 3:37 am

As stated in your specification, I'm not sure whether the current implementation do requested.
As it only recognizes Level crosses, not the current level.

If u Set
Overbought Level CrossOver Action to Buy
Oversold Level CrossUnder Action to Sell
Trade will be opened on the OB / OS Cross.
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Re: Highly adaptable CCI Strategy

Postby spinemaligna » Fri Feb 14, 2014 6:28 am

Hi Apprentice,

I accept the argument that the strategy only reacts to crosses of levels. Does this mean that the strategy will only trigger on occasions when both CCIs cross during the life of the same candle. If so then I think I will request a new strategy along the lines I am looking for.
Even so, this does not explain why the strategy triggers in the middle section of my screen shot when the signal CCI crosses into oversold whilst the confirmation CCI is firmly in overbought territory.

Looking forward to a prompt reply so we can get this system moving forward.

Ross
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Re: Highly adaptable CCI Strategy

Postby Apprentice » Sat Feb 15, 2014 5:54 am

As it is. It is designed to make the trade at the end of the turn.
Ignore the situation during the candle elapse.

"Live" executions, immediately after Cross is possible,
However, this requires a Strategy redesign.
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Re: Highly adaptable CCI Strategy

Postby spinemaligna » Wed Feb 19, 2014 2:23 am

HACCI Flow.xlsx
(15.31 KiB) Downloaded 274 times


Thanks for the prompt reply,

I think we may be talking at cross purposes here so, as they say, a Picture paints a thousand words I enclose a flow chart of what I would like to achieve. If the current strategy is not capable of being modified to this aim, can I request a new strategy be developed to encompass the logic in my attachment.
I don't think we are a thousand miles away from achieving this. My aim is to optimize this strategy and maybe add a filter at a later date so if it could be written with this in mind it may save some work.

Thanks again, Ross
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Re: Highly adaptable CCI Strategy

Postby Apprentice » Wed Feb 19, 2014 4:03 am

As it is, this version of strategy can not do described.
Will modify it.
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Re: Highly adaptable CCI Strategy

Postby spinemaligna » Sun Feb 23, 2014 2:23 am

Excellent,

Thanks, Ross
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Re: Highly adaptable CCI Strategy

Postby spinemaligna » Sat Aug 02, 2014 8:53 am

Six months on, any progress to report?
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