millerrh

ADX | DMI Trend Strategy

This strategy takes the ADX Indicator I wrote and applies it to a strategy for back testing purposes.

I've also applied a date filter so you can back test specific date ranges and a moving average filter so you can choose whether to filter your longs/shorts based on a moving average.
Notes de version: Added a checkbox option to disable short trades if a long-only strategy is desired and cleaned up the code a bit.
Notes de version: Added the ability to filter the signals based on volume compared to average volume. The theory is that you'd only take trades that had abnormal volume. You can turn this on or off with a checkbox to see the results.
Notes de version: Added the ability to select different kinds of volume filtering. The current bar's volume must be greater than
1) Average Volume * some user defined multiplier (use this if you want to track above average volume as a filter)
2) Manually input level for volume (use this if you want to wait for a specific volume threshold)
3) The greater of the manual level AND the average volume * multiplier
Notes de version: Added the ability to set a protective stop based on a trailing ATR.
Notes de version: For manual volume input, set increments to 1000.
Notes de version: Added alerts for Long, Short, and Sell/Cover (when ADX starts turning down).
Notes de version: Updates to add parity to the ADX Study in terms of adding separate lookback periods for entry and exit for the slope of the ADX.
Added Parabolic SAR as an alternate exit signal. If you select both ATR and SAR as an exit option, it will pick whichever comes first.
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Commentaires

Hi
feels more suitable to currency than index/stocks
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Hi The second observation I made is that the "Take Profit/Square off" signal after entering LONG (above the Green Line) comes only after 70% of profits earned are eroded. If these two initial bugs are plugged this shall be a watershed indicator. Anyhow this strategy is going to be tested on Monday Morning in the live market
+1 Répondre
Hi When I backtested just now when the market is NOT live I observe this indicator is taking long entries (above Green LIne) rather fairly. The short entries (below green line) are taken rather very late after more than 50% of the rally missed. A trader fails to ride the rally from the beginning. I am a commerce person and knows little about computer language
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millerrh rajagopalsprabhu
@rajagopalsprabhu, I posted this mostly for educational content and to gather feedback. I am still tweaking the strategy. I don’t think it’s good enough as is for live trading personally. I’ll be trying to improve it.
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@millerrh, wow that is very kind of you
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