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Hull MA Long&short strategy

Another day, another strategy.


I've visited the moving averages in earlier posts and this time I'm diving into the Hull Moving average. So what is the purpose of the Hull moving average? I'll quote the inventor directly

"The Hull Moving Average (HMA) attempts to minimize the lag of a traditional moving average while retaining the smoothness of the moving average line."

-Alan Hull, 2005


Today we're using that moving average on DAX40 on the daily timeframe taking both long and short trades. Here are the trading rules:


Entry condition Long

  1. Price crosses up through the HullMA of 185 bars

  2. dlow(0) > dlow(1) xor dhigh(0) < dhigh(1)

Entry condition Short

  1. Prices crosses down through the HullMA of 55 bars


Exit condition Long

  1. Price crosses down through the HullMA of 185 bars

  2. dlow(0) < dlow(1) and dhigh(0) < dhigh(1)


Exit condition Short

  1. Prices crosses up through the HullMA of 55 bars



Detailed results (1970- until today)

  • 39.17% winrate

  • 25535 points gained

  • 2663 points max drawdown

  • 1.99 gain/loss-ratio


The ProRealTime™ code

dday = dlow(0) > dlow(1) xor dhigh(0) < dhigh(1)
dday2 = dlow(0) < dlow(1) and dhigh(0) < dhigh(1)

if close crosses over Average[185 ,7] and not onmarket then
buy 1 contract at market
endif

if close crosses under Average[185,7] and dday2 then
sell at market
endif

if close crosses under Average[55,7] and not onmarket and dday then
sellshort 1 contract at market
endif

if close crosses over Average[55,7] then
exitshort at market
endif

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