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Re: Huck's trend catcher [Re: jcl] #408772
10/07/12 04:14 10/07/12 04:14
Joined: Sep 2012
Posts: 99
T
TankWolf Offline
Junior Member
TankWolf  Offline
Junior Member
T

Joined: Sep 2012
Posts: 99
I found another trending system funnily enough called Huck Loves Her Bucks which can be seen here on babypips. http://forums.babypips.com/free-forex-trading-systems/39293-huck-loves-her-bucks-system.html

I have used all of the rules except for the profit & stop rules posted. I tried to incorporate them but when I did it made the results worse. This could of been however because of my poor coding. Anyway here is the code & results if anyone wants to play with it further without the profit & stop rules.

Quote:

function run()
{
BarPeriod = 240;
StartDate = 2006;
NumYears = 7;
NumWFOCycles = 12;
set(PARAMETERS|TESTNOW);

asset("EUR/USD");

var *Price = series(priceClose());
var *EMA10 = series(EMA(Price,optimize(10,5,20)));
var *EMA20 = series(EMA(Price,optimize(20,10,40)));
var Stoch50 = Stoch(optimize(14,10,20),optimize(3,1,5),MAType_SMA,optimize(3,1,5),MAType_SMA);

static int crossed = 0;
int Delay = optimize(3,1,5);
if(crossOver(EMA10,EMA20))
crossed = Delay;
else if(crossUnder(EMA10,EMA20))
crossed = -Delay;

if(crossed > 0 && Stoch50 > 50 && Stoch50 < 80) {
enterLong();
crossed = 0;
} else if(crossed < 0 && Stoch50 < 50 && Stoch50 > 20) {
enterShort();
crossed = 0;
} else
crossed -= sign(crossed);
}


Quote:

Annual return 147%
Profit factor 2.37 (PRR 1.85)
Sharpe ratio 1.34
Kelly criterion 1.21
OptimalF .068
Ulcer index 5%
Prediction error 39%
Re: Huck's trend catcher [Re: jcl] #465749
05/11/17 05:33 05/11/17 05:33
Joined: Feb 2017
Posts: 369
D
Dalla Offline
Senior Member
Dalla  Offline
Senior Member
D

Joined: Feb 2017
Posts: 369
Originally Posted By: jcl
Yes, that's the optimized version with 3x higher profit:

Code:
function run()
{
	BarPeriod = 240;
	StartDate = 2006;
	NumYears = 7;
	NumWFOCycles = 12;
	set(PARAMETERS|TESTNOW);
	
	var *Price = series(price());
	var *LP5 = series(LowPass(Price,5));
	var *LP10 = series(LowPass(Price,optimize(10,6,20))); 
	var *RSI10 = series(RSI(Price,10)); 
	Stop = optimize(5,1,10)*ATR(30);
	int Delay = 3; 
	
	static int crossed = 0;
	if(crossOver(LP5,LP10))
		crossed = Delay;
	else if(crossUnder(LP5,LP10))
		crossed = -Delay;
		
	if(crossed > 0 && crossOver(RSI10,50)) {
		enterLong();
		crossed = 0;
	} else if(crossed < 0 && crossUnder(RSI10,50)) {
		enterShort();
		crossed = 0;
 	} else
		crossed -= sign(crossed);
}


Equity curve:



Sorry for waking up an old thread, but I wanted to see if I could reproduce these results. I'm running with Zorro 1.58, I've copy pasted the code above, and I'm not seeing anywhere near the same equity curve.


Attached Files
Zorro.png (230 downloads)
Last edited by Dalla; 05/11/17 05:33.
Re: Huck's trend catcher [Re: jcl] #465759
05/11/17 09:41 05/11/17 09:41
Joined: May 2017
Posts: 19
P
PeWi Offline
Newbie
PeWi  Offline
Newbie
P

Joined: May 2017
Posts: 19
Hi to all,

I am currently trying the first steps with Zorro after reading the book of jcl.

I copied the optimized script from jcl, started training and testing.

The result I got is about a tenth of jcl (about 1.6k instead of 16k).

What am I doing wrong? I use the free Zorro 1.54 and a demo account of fxcm.

Help or hints would be greatly appreciated ...
Kind regards, Peter
Re: Huck's trend catcher [Re: PeWi] #465760
05/11/17 10:29 05/11/17 10:29
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline OP

Chief Engineer
jcl  Offline OP

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
Hi Pewi - since the English book version comes out soon, I've tested 2 weeks ago all the scripts with the latest Zorro version 1.58. You should get the same results as in the book, with some differences due to different trading costs.

Make sure you have Zorro version 1.58 and also the latest book scripts from the financial hacker website - a few things have been changed in the scripts.
Re: Huck's trend catcher [Re: jcl] #465761
05/11/17 11:11 05/11/17 11:11
Joined: Feb 2017
Posts: 369
D
Dalla Offline
Senior Member
Dalla  Offline
Senior Member
D

Joined: Feb 2017
Posts: 369
Not sure what you mean now, I cannot find anything resembling this strategy in among the book scripts? (assuming you mean http://financial-hacker.com/boersenhackerbuch.zip)
Re: Huck's trend catcher [Re: Dalla] #465769
05/11/17 16:17 05/11/17 16:17
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline OP

Chief Engineer
jcl  Offline OP

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
@Dalla, I did not mean you, but it's the same in your case: Differences are usuaally caused by either different test periods, or by different trading costs. You can see that the curves are somewhat similar, only the profit is lower. I suppose that the result back in 2012 was based on no commission. Also the test periods look different and the default test/training split was probably different in that early version.
Re: Huck's trend catcher [Re: jcl] #465772
05/11/17 17:07 05/11/17 17:07
Joined: May 2017
Posts: 19
P
PeWi Offline
Newbie
PeWi  Offline
Newbie
P

Joined: May 2017
Posts: 19
Hello jcl,

thanks for your quick reply. I will try with Zorro 1.58.

I am a little bit surprised that a relative short script like your optimized version of Huck's trend catcher depends so much of the Zorro version?

Also thanks for the tip with the updated book coming soon. Is there a german version planned also? I am not so familiar with english nor with such statistics nor with the special trading stuff that I am happy if at least the language barrier misses ...

BTW: Are there enough members for a german speaking sub forum?

Kind regards, Peter
Re: Huck's trend catcher [Re: PeWi] #465773
05/11/17 17:33 05/11/17 17:33
Joined: Feb 2017
Posts: 369
D
Dalla Offline
Senior Member
Dalla  Offline
Senior Member
D

Joined: Feb 2017
Posts: 369
The german book has been around for some time I think
http://www.amazon.de/Das-B%C3%B6rsenhackerbuch-Finanziell-algorithmische-Handelssysteme/dp/1530310784
Re: Huck's trend catcher [Re: Dalla] #465774
05/11/17 18:08 05/11/17 18:08
Joined: May 2017
Posts: 19
P
PeWi Offline
Newbie
PeWi  Offline
Newbie
P

Joined: May 2017
Posts: 19
Hello Dalla,

by chance I stumbled over the current german version some weeks ago and started to get interested by forex, algorithmic trading and zorro.

Kind regards, Peter
Re: Huck's trend catcher [Re: jcl] #465775
05/11/17 18:47 05/11/17 18:47
Joined: May 2017
Posts: 19
P
PeWi Offline
Newbie
PeWi  Offline
Newbie
P

Joined: May 2017
Posts: 19
Hi jcl,

also with 1.58 I get for Huck's trend catcher and your optimized script only a result of 1.6k and not 16k as you (FXCM demo account). How can such a big difference happen?

Kind regards, Peter
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