This strategy is equal to the very popular "ANN Strategy" coded by sirolf2009(1) which calculates the percentage difference of the daily close price, but this bar-bone version works completely without his Artificial Neural Network (ANN) part.
Main difference besides stripping out the ANN is that my version uses close prices instead of OHLC4 prices, because they perform better in backtesting. And the default threshold is set to 0 to keep it simple instead of 0.0014 with a larger step value of 0.001 instead of 0. 0001 . Just like the ANN strategy this strategy goes long if the close of the current day is larger than the close price of the last day. If the inverse logic is true, the strategy goes short (last close larger current close). (2)
This basic strategy does not have any stop loss or take profit money management logic. And I repeat, the credit for the fundamental code idea goes to sirolf2009.
(2) Because the multi-time-frame close of the current day is future data, meaning not available in live-trading (also described as repainting), is the reason why this strategy and the original "ANN Strategy" coded by sirolf2009 perform so excellent in backtesting.
All trading involves high risk; past performance is not necessarily indicative of future results. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
(1) You can get the original code by sirolf2009 including the ANN as indicator here:
(1) and this is sirolf2009's very popular strategy version of his ANN:
//@version=2 strategy("Daily Close Comparison Strategy (by ChartArt)", shorttitle="CA_-_Daily_Close_Strat", overlay=false) // ChartArt's Daily Close Comparison Strategy // // Version 1.0 // Idea by ChartArt on February 28, 2016. // // This strategy is equal to the very // popular "ANN Strategy" coded by sirolf2009, // but without the Artificial Neural Network (ANN). // // Main difference besides stripping out the ANN // is that I use close prices instead of OHLC4 prices. // And the default threshold is set to 0 instead of 0.0014 // with a step of 0.001 instead of 0.0001. // // This strategy goes long if the close of the current day // is larger than the close price of the last day. // If the inverse logic is true, the strategy // goes short (last close larger current close). // // This simple strategy does not have any // stop loss or take profit money management logic. // // List of my work: // https://www.tradingview.com/u/ChartArt/ // // __ __ ___ __ ___ // / ` |__| /\ |__) | /\ |__) | // \__, | | /~~\ | \ | /~~\ | \ | // // threshold = input(title="Price Difference Threshold", type=float, defval=0, step=0.001) getDiff() => yesterday=security(tickerid, 'D', close) today=security(tickerid, 'D', close) delta=today-yesterday percentage=delta/yesterday closeDiff = getDiff() buying = closeDiff > threshold ? true : closeDiff < -threshold ? false : buying hline(0, title="zero line") bgcolor(buying ? green : red, transp=25) plot(closeDiff, color=silver, style=area, transp=75) plot(closeDiff, color=aqua, title="prediction") longCondition = buying if (longCondition) strategy.entry("Long", strategy.long) shortCondition = buying != true if (shortCondition) strategy.entry("Short", strategy.short)
Every other strategy I have released so far does not repaint. But this strategy is repainting. Which means the buy (long), sell (short) alerts can often change during live trading, because it uses the current daily close which is only final at the market close at the end of the day. Therefore this strategy is most reliable nearing the end of the current trading day and least reliable at the start of the trading day.
After reloading - while still on the same not yet closed daily candle - the repainting already removes the uptrend alert on the indicator: When reloading this chart on the next day after the daily candle has closed all of the alert noise will be gone, too.
yesterday=security(tickerid, 'D', close)
today=security(tickerid, 'D', close)
It does not matter if you are on a 3 minute or 15 minute or 240 minute time-frame chart. The script always only compares the daily close price of yesterday with the final close of today. And since today has not closed while running the script live it repaints in backtesting.
To avoid many changing signals in live trading using the 60 minute chart gives less wrong signals per hour than lower time-frames like the 15 minute chart. Equally using the 4 hour chart gives less wrong signals per day than the 1 hour chart, simply because the 1 hour changes the signal every hour and the 4 hour changes the signal only every 4 hours. But therefore wrong signals remain wrong also longer on a 4 hour chart versus a 1 hour or 15 minute chart.
I recommend to avoid using the daily and also the weekly and monthly, because in backtesting the performance is on these high time-frames more often very bad (unprofitable). For example when you test the strategy on the Facebook (FB) stock the daily is unprofitable, the 4 hour and lower time-frames are profitable. Therefore using the 1 hour to 4 hour charts is "better" than using the daily chart.
I'm trying to study this strategy .. I'm testing strategy ann (version 1.00) ---> sirolf2009 thanks for your work and idea!
I read all the comments and I came to ANN Strategy Indicator 3.2 (Rebuilt By Kevin Manrrique) ----> Kevin thanks for your hard work and contribution!
I re-read all the comments and ended up here at the Daily Close Comparison Strategy by ChartArt ----> chartartfor your hard work and contribution!!
but now I am a little confused. I will test all three strategies and will compare ANN1 with daily close of 1H end of the day signal, and ann rebuilt by kevin on 60min used for intraday positions.
I wanted to ask if it was possible to encode these three strategies as indicators of mt4. it's possible?
thank you all for your input and work. sorry for my English
This is the only strategy I shared on Tradingview which repaints and which is why I warned so many times about this problem.
You can read more about the repainting issue of certain strategies when you go to this other strategy linked below:
(This other strategy below does not repaint by the way. It wins all the time by only closing trades when the targeted profit has been achieved. I just deemed it a good place to discuss this related issue of strategies which seem to work so great in backtesting)
threshold = input(title="Threshold", type=float, defval=0, step=1)
mod = ema(security(tickerid, 'D', close),2)
Basically, putting ema inside I hope would make it stabilized and pushing yesterday/today 1 day further with close price, should really make the signal fully rely on past data, not on evolving/live data. Please tell me your view.