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(Sharing) HFT System based on ATR and Damiani Volamete

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Turbo

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Hi I'm sharing anther HFT strategy that can be automated, i can provide ptimisation and backtesting support on this thread. All ideas are welcome

Indicators: 
HFT (High Frequency Trading) (ATR 14, ATR level 0,0005, ATRBC 5,); 
Damiani Volameter 3.2 (default); 
Instant Trendline Filter (Alpha 0,7).
 
HFT Metatrader Indicator is a scalping system .
Open position right on signal (arrow+alarm), on the display we see also target price 1, target price 2 and stop loss.
Open position right on signal (arrow+alarm), on the display we see also target price 1, target price 2 and stop loss. in top right corner we see also if market is flat or trending but in this scalping system is not important because we use other two indicators for filter: Damiani Volameter and InstanTrendline Filter.
 

Long Entry
HFT Arrow Buy; 
Damiani Trading Zone green line > white line; 
Instant Trendline Filter, red line> green line. 

 
Short Entry
HFT Arrow Sell; 
Damiani Trading Zone green line > white line; 
Instant Trendline Filter, red line< green line.

 
Exit position see indication on display of HFT indicator (targets and stop loss). 
This Scalping System is good also with Time Frame 15min.


Linkback: https://www.forex.zone/mt4-mt5-eas/7/sharing-hft-system-based-on-atr-and-damiani-volamete/617/
#1 - December 24, 2018, 12:15:28 PM

Turbo

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see images here..
#2 - December 24, 2018, 12:28:21 PM
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Turbo

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i forgot to upload its indicators, here you go
#3 - December 25, 2018, 12:06:11 AM
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Francoisvs

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Again,
I will code this over the next week or so if Admin or CP have not started on this yet
#4 - December 27, 2018, 06:46:36 PM

Francoisvs

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Quote from: Turbo on December 24, 2018, 12:15:28 PM

Exit position see indication on display of HFT indicator (targets and stop loss).
This Scalping System is good also with Time Frame 15min.

The HFT Targets etc are based on Fib levels.Even though it displays values ON the chart it doesn't give values which can be used by finding objects or any data values. (Unless Admin/CP knows another way of getting the values?)
I will try and modify the indi to send values an EA can use.
The rest of the coding can be done.
#5 - January 03, 2019, 11:05:43 PM

Francoisvs

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Here is a basic version of the EA based on your description, except for the HFT Targets exits.
I am still working on the HFT indi to see if I can capture the values, else I will just code a Fibo to co-incide with HFT's targets, (this will take a while though).
In the meantime I have also included a Volumes feature, which will only take a trade if 3 consecutive volume bars are rising (ie, volume in the direction increases), you can disable the feature by selecting false.

Enjoy ;) 
#6 - January 04, 2019, 12:44:15 AM
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Turbo

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Quote from: Francoisvs on January 04, 2019, 12:44:15 AM
Here is a basic version of the EA based on your description, except for the HFT Targets exits.
I am still working on the HFT indi to see if I can capture the values, else I will just code a Fibo to co-incide with HFT's targets, (this will take a while though).
In the meantime I have also included a Volumes feature, which will only take a trade if 3 consecutive volume bars are rising (ie, volume in the direction increases), you can disable the feature by selecting false.

Enjoy ;)
Thanks again mate. capturing the indicator values would be best. i understand using a fibo to co-incide may have a slightly different results and a long time. Thanks again
#7 - January 04, 2019, 12:26:16 PM

Turbo

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Quote from: Francoisvs on January 04, 2019, 12:44:15 AM
Here is a basic version of the EA based on your description, except for the HFT Targets exits.
I am still working on the HFT indi to see if I can capture the values, else I will just code a Fibo to co-incide with HFT's targets, (this will take a while though).
In the meantime I have also included a Volumes feature, which will only take a trade if 3 consecutive volume bars are rising (ie, volume in the direction increases), you can disable the feature by selecting false.

Enjoy ;)
I have a little problem, i have been trying to run a one year backtest but have not been able to achieve it due to backtest is very slow. Is there anything you can do in the code to enhance back-testing speed? i noticed same issue with the other EA too. Thanks
#8 - January 06, 2019, 07:47:27 PM

Francoisvs

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The speed on strategy tester isn't too bad on my system (and FWIW, I don't have a state of the art processor etc). More or less the same as other EA's, how many charts to you have open?
How does the speed compare to other EA's you test?
Maybe save your charts you use often in a profile, close all of them and run strategy tester again? (You can always just open that profile again, and all your charts will be back as you saved it)
If it is still slow, I will see if I can do something in the EA code

#9 - January 06, 2019, 08:40:45 PM
« Last Edit: January 06, 2019, 08:48:04 PM by Francoisvs »

Turbo

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Quote from: Francoisvs on January 06, 2019, 08:40:45 PM
The speed problem comes in because of all the indicator inputs.
If we can reduce those, the speed will pick up
oh i see, that is the issue. is there any function that can be set to be ignored during the backtest to make increase its backtesting speed. 
#10 - January 06, 2019, 09:08:40 PM

Francoisvs

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Give me a bit of time. Maybe if I move the IndicatorCheck function I have in there somewhere else, it might speed it up a bit, although it only check indicator values once a bar closes if you selected 'Wait for new bar" as true.
Keep in mind, an EA does not read indicator values from the chart, it calculates the indicator values on every tick (or once per bar if "Wait for new bar" is "true")
#11 - January 06, 2019, 09:24:20 PM

Francoisvs

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Attached is a modified version.
I included a "Use Indicator Inputs" option.
Just for interest sake, look at the difference in strategy tester speed if you select False vs True.
#12 - January 06, 2019, 09:38:18 PM
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Turbo

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Quote from: Francoisvs on January 06, 2019, 09:38:18 PM
Attached is a modified version.
I included a "Use Indicator Inputs" option.
Just for interest sake, look at the difference in strategy tester speed if you select False vs True.
i will check it out now, thanks for the effort
#13 - January 07, 2019, 09:35:38 PM

Turbo

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i have tried everything necessary but i still cant get it to backtest @ normal speed
#14 - January 08, 2019, 06:26:29 PM

Francoisvs

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HFT is a resource hungry indi. It will be slower than say a normal moving average or even any MT4 standard indicator.
So the strategy tester will be slower than you are used to, on the up-side, if the EA runs on a live chart, you will not notice the difference. I understand the frustration of waiting for a "slow" EA in strategy tester.
#15 - January 08, 2019, 08:57:57 PM
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