2008 performance graph of Hershey Rockets as per above code
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2260027>
Chicken Little studies the Hershey Methods
- Thread starter Index Maximus
- Start date
2008 performance graph of Hershey Rockets as per above code
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2260027>
lol
The code below is from the thread in automated trading :
http://www.elitetrader.com/vb/showthread.php?s=&threadid=147441
I have added the threshold lookup tables for suppression regarding MACD and volume as suggested therein.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=147441
I have added the threshold lookup tables for suppression regarding MACD and volume as suggested therein.
Code:
inputs:volumethreshold(0),macdThreshold(0);
{
CashCow automated trading system
Architect: Jack Hershey
Version 0.3
12 Dec 2008
New functionality: Context Supression Logic. Diagnostic Module.
New enhancements: Better organized code structure for natural reading.
Bug fixes: none
}
//Data Module
variables:
Stoch5FastK( 0 ), Stoch5FastD( 0 ), Stoch5SlowK( 0 ), Stoch5SlowD( 0 ),
Stoch14FastK( 0 ), Stoch14FastD( 0 ), Stoch14SlowK( 0 ), Stoch14SlowD( 0 ),
MACDVal( 0 ), MACDMA( 0 ), MACDDiff( 0 ),
TimeOK(False),
VolumeOK(False),
CurrentbarOK(False),
LongOK(False),
ShortOK(False),
DateOK(False);
//Formula Module
Value1 = Stochastic( H, L, C, 5, 2, 3, 1,
Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD ) ;
Value2 = Stochastic( H, L, C, 14, 1, 3, 1,
Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD ) ;
MACDVal = MACD( Close, 5, 13 ) ;
MACDMA = XAverage( MACDVal, 6 ) ;
MACDDiff = MACDVal - MACDMA ;
//Context Supression Logic
if Time > 845 and Time < 1500 then TimeOK = True else TimeOK = False;
if Volume of 1 bar ago > volumethreshold then VolumeOK = True else VolumeOK = False;
if currentbar > 2 then CurrentbarOK = True else CurrentbarOK = False;
if MACDDiff > macdthreshold then LongOK = true else LongOK = false;
//Needs to be validated and then tuned.
if MACDDiff < macdThreshold*-1 then ShortOK = true else ShortOK = false;
//Needs to be validated and then tuned.
DateOK = true;
//Only used during testing phase.
if CurrentBarOK and TimeOK and DateOK then
begin
//Entry Logic
if VolumeOK then //enter only when volume greater than 'Medium'
begin
if LongOK and Stoch5FastK crosses above 50
and Stoch5FastK > Stoch5FastD and marketposition = 0 then
Buy ( "S5FKLE" ) 1 contract this bar at close ;
if ShortOK and Stoch5FastK crosses below 50
and Stoch5FastK < Stoch5FastD and marketposition = 0 then
Sellshort ( "S5FKSE" ) 1 contract this bar at close ;
end;
//Reverse logic
If VolumeOK then
begin
if ShortOK and marketposition > 0 and Stoch5FastK crosses below 50 then
sellshort ( "S5FKRS" ) 1 contracts this bar at close ;
if LongOK and marketposition < 0 and Stoch5FastK crosses above 50 then
buy ( "S5FKRL" ) 1 contracts this bar at close ;
end;
//Exit Logic
{ Hold Logic. Tee up stub for later. if absvalue( MACDVal ) < 1.4 then }
if {(Stoch14SlowK < Stoch14SlowD) and} (Stoch14SlowK crosses below 80)
and marketposition > 0 then
Sell ( "S14SKLX" ) 1 contract this bar at close ;
if {(Stoch14SlowK > Stoch14SlowD) and} (Stoch14SlowK crosses above 20)
and marketposition < 0 then
buytocover ( "S14SKSX" ) 1 contract this bar at close ;
if marketposition > 0 and Stoch14SlowK crosses below Stoch14SlowD then
sell ( "S14KDLX" ) 1 contract this bar at close ;
if marketposition < 0 and Stoch14SlowK crosses above Stoch14SlowD then
buytocover ( "S14KDSX" ) 1 contract this bar at close ;
if marketposition > 0 and Stoch5FastK crosses below 50 then
sell ( "S5FKSX" ) 1 contracts this bar at close ;
if marketposition < 0 and Stoch5FastK crosses above 50 then
buytocover ( "S5FKLX" ) 1 contracts this bar at close ;
//Diagnostic Module
{Remove brackets and define date to enable.
if date = 1081210 then
Print(File("c:\log.txt"), time, Stoch5FastK, Stoch5FastD,
Stoch5SlowK, Stoch5SlowD,
Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD,
MACDVal, MACDMA, MACDDiff, " ",Volume[0]);
if date = 1081210 then
Print(Stoch5FastK, Stoch5FastD, Stoch5SlowK,
Stoch5SlowD,
Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD,
MACDVal, MACDMA, MACDDiff,
" ",Volume[0]);
}
end;
//End of Day Module
if Time > 1500 and marketposition > 0 then sell ( "EODLX" ) next bar at market;
if Time > 1500 and marketposition < 0 then buytocover ( "EODSX" ) next bar at market;results with MACD and Volume threshold nullified, i.e. = 0 over the past 100 days in the ES contract.
The performance graph of the last 100 days of cash cow version 5 with no MACD or Volume suppression attached.
The volume threshold filter as applied to Cash cow version 5
MACD filter as applied to cash cow version 5
Cash Cow version 5 with Volume and MACD suppression as tested over the previous 100 days does not show any tendency to profitablity. Perhaps the entwining filter which has not been coded is really the "secret sauce" which makes the Hershey method using indicators profitable. OR perhaps its all BS as I am wont to speculate. As I stated in the thread it all comes down to the ambiguous entwining filter which I do not believe can be coded. Entwining is a definition which relies on the ability to see all the data which should be excluded. You only know entwining has occurred after the fact by seeing that numerous excursions revert to the mean and "entwine".
man who is this guy i would hate to be his trading account.
