Hull Moving Average based strategy by bauhaus28
By bauhaus28
Performance Metrics
- Author: bauhaus28
- Symbol: XETR:ALV
- Timeframe: 1 day
- Net P&L: −1,295.06 EUR (−1.30%)
- Win Rate: 39.4%
- Profit Factor: 0.919
- Max Drawdown: 4,583.44 EUR (4.43%)
- Total Trades: 33
- Sharpe Ratio: −0.35
Description
This is a simple Hull Moving Average based strategy using a short term HMA for signal generation and a long term HMA for filtering purposes.A long entry is generated if the short term HMA changes direction from decreasing to increasing values and if the long term HMA indicates an uptrend (i.e. previous value current value)Positions are closed using an ATR based stop loss/take profit system. Stop Loss (red) and Take Profit (blue) levels are plotted on the chart.