I've got an update on the EA project based on Rick's HA-based SmoothedHigh/Low stategy.
I found a definition, with a calculation, for a smoothed moving average version of a moving average indicator in MT4's online help contents. The definition is as follows:
So using this definition I re-worked my spreadsheet using the daily NU data that I'd shown previously. Because visualising the HA data and smoothed high/low lines (based on HA bars not standard bars) is not easy, I had to settle for a chart which shows the HA Close (red markers) and 5 period HA High line (blue) and 5 period HA Low line (brown).
To see how the smoothing calculation for the moving average affected the results, I did a comparison of a small time segment (a few months) for what I'd previously used, which was a 5 day simple moving average (SMA5) based on the HA Highs and HA Lows - I now refer to these on the chart as the Simple High (SMA5-HAHigh) and Simple Low (SMA5-HALow) - and I compared the entries and exits obtained using this SMA5 calculation to the results obtainned using the 5 day smoothed moving average (SMMA5) which uses the Smoothed High (SMMA5-HAHigh) and Smoothed Low (SMMA5-HALow).
The respective charts are shown below:
And the entries and exits obtained using each version of the moving average are shown in the following table.
Its quite clear that they can give very different results, and based on the small sample used, shows that the SMMA5 can potentially offer a significant reduction in whipsaws by keeping positions in play longer.
Looks promising, so now I will re-program the EA to use this calculation over the weekend and will post results once I have somoe to show.
Just btw, as stated at the start of the week, I have been running the more simple version of the above EA where I simply use the conventional HA-based entries & exits (as explained in my previouos post). Not too many entries generated across the 15 markets as yet since they are mostly based on the daily timeframe, although a few are based on the H4 timeframe, but this week's results have so far been good - see the demo account report below:
