New version of Huck's Trend Catcher, with stable 134% annual profit

Trading Systems Free Forex Trading Systems
1

I’ve recently checked out Huck’s Trend Catcher 3 which is posted on this forum. The original version generates no profit in a backtest, just as most systems posted here, but its basic idea is good. A slightly modified version performs very well in the backtest and even in a more thorough walk forward analysis. This is what I have changed:

  • Use 4 hours time frame instead of 1 hour (currencies are more profitable on 4-hour bars).

  • Use a lowpass filter instead of EMA. Lowpass filters have less lag, so you get signals earlier.

  • Limit the time period between crossover and RSI crossing to 3 bars. Later RSI crossings won’t generate a trade signal.

  • Use ATR for the stop loss, instead of a fixed PIP distance. The ATR has the advantage that the stop loss is adapted to the price volatility.

  • Remove trailing and profit target. Both reduce the profit.

  • Optimize the crossover time period and the stop loss distance factor with WFO optimization.

With the modifications the system gets 134% annual profit, profit factor 2.78 and Sharpe ratio 1.48. This is a very good result. Here is the equity curve:

944×321

2

Is this based on this code?

function run()
{
	BarPeriod = 240;
	StartDate = 2008;
	NumYears = 7;
	NumWFOCycles = 12;
	Mode = 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);
	static int crossed = 0;
	if(crossOver(LP5,LP10)) crossed = 3;
	else if(crossUnder(LP5,LP10)) crossed = -3;
	if(crossed > 0 && crossOver(RSI10,50))
	{ enterLong(); crossed = 0; }
	else if(crossed < 0 && crossUnder(RSI10,50))
	{ enterShort(); crossed = 0; } else crossed -= sign(crossed); 
	}
3

Almost, as far as I see, but the WFO start date must have been 2006, not 2008 - otherwise you had problems with the 7 years ;).

4

where can i get the new EA
Thanks.

5

This is not an EA, it’s C. You need Zorro to run it: Zorro Trading Automaton

6

I checked out the link, Im trying to understand what this whole things is. So on the website the system that your talking about is the only system they have on the site, the main system they have on the site, so its a automatic running system that trades for you? or tells you how to trade?

What do you mean by C.?

7

Yes, Zorro is an automatic system that trades the code when you enter it. On the “Automated Trading” forum is currently a course about writing such strategies with Zorro.

C is a programming language, similar to the language of EAs.

8

can you make the changes and then send me the updated version that you say will make 134%, cuz i dont know how to make the changes?

9

The 134% strategy is a C script. It’s for platforms that support C or C#, such as Zorro, Ninja Trader, etc. So I can’t send it to you. You need to download Zorro, then you can enter the code yourself and trade it.

If you encounter any problems with that, just ask on the Zorro forum and you’ll get help.

12

There can be many reasons for losses of a system in certain years. But this script is old, almost 2 years, and made for a different Zorro version. If I remember right, there is a new version of Huck’s Trend Catcher script on the Zorro forum.

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