|
PureBytes Links
Trading Reference Links
|
This is what I made of the formula. It works. Results for DAX future
on walk forward basis not very impressive. Optimization and
Walkforward carried out with Fred's IO system.
Hope it contirbutes.
//io:fitness:netprof
//io:StatusWindow:n
//Tradesettings
SetTradeDelays(1,1,1,1);
BuyPrice = Open;
SellPrice = Open;
ShortPrice = Open;
CoverPrice = Open;
//---------------------------Moneymanagement
MarginDeposit=5500;
PositionSize=MarginDeposit;
PointValue=25;
SwtchGeluid=1;
Out=Cross(TimeNum(),195500);
sethour=TimeNum()>090000 AND TimeNum()<194500;
LRSBval= 0.12;
LRSBval = Optimize("LRSBval", 0.25, 0.05, 0.3, 0.01);
LRSSval = LRSBval;
//LRSSval = Optimize("LRSSval", 0.17, 0.05, 0.3, 0.01);
Length3 = 8;
Length3 = Optimize("Length3", 22, 5, 25, 1);
Length4 = Length3 ;
FDBLen = Length3;
FDSLen = FDBLen ;
MAvgLen = Length3 ;
FDBuy = 41;
FDBuy = Optimize("FDBuy", 10, 10, 50, 1);
FDSell = 100-FDBuy;
PctAbvMA = 0.04;
PctAbvMA = Optimize("PctAbvMA", 0.07, 0.01, 0.3, 0.01);
PctBlwMA = 0.08;
PctBlwMA = Optimize("PctBlwMA", 0.22, 0.01, 0.3, 0.01);
PctAbvMAValue = MA(Avg,MAvgLen) * (100- PctAbvMA) / 100;
PctBlwMAValue = MA(Avg,MAvgLen) * (100+ PctBlwMA) / 100;
FDBVal = StochD(FDBLen);
FDSVal = StochD(FDSLen);
condition1 = Avg < PctAbvMAValue;
condition2 = Avg > PctBlwMAValue;
condition3 = LinRegSlope(Avg,length3)<LRSBval;
condition4= LinRegSlope(Avg,Length4)>LRSSval;
condition5= (FDBVal <= FDBuy AND FDBVal > Ref(FDBVal,-1)) OR (Ref
(FDBVal, -1) <= FDBuy AND FDBVal > Ref(FDBVal,-1));
condition6= (FDSVal >= FDSell AND FDSVal < Ref(FDSVal,-1)) OR (Ref
(FDSVal,-1) >= FDSell AND FDSVal < Ref(FDSVal,-1));
PlotShapes((condition1 AND condition3 AND condition5)
*shapeUpArrow, colorBrightGreen,0,L);
PlotShapes((condition2 AND condition4)
*shapeDownArrow,colorBlue,0,H);
Plot(C,"",colorGreen,64);
Buy=(condition1 AND condition3 AND condition5) AND sethour;
Short=(condition2 AND condition4) OR Out;
Sell=Short;
Cover=Buy;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy); Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
Willem Jan
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> CONDITION3 IS A VALUE NOT A CONDITION
>
> On 7/7/05, me_rayme <rayme@xxxx> wrote:
> > Have tried different symbols and can get Both yellow and green
> > arrows on ER2 one minute, also on EOD get both on some dow
stocks.
> >
> > Not sure if this can be used on the futures one minute. The
yellow
> > arrows on YM do not make sense and on ER2 both the yellow and
green
> > do not indicate anything.
> >
> > But this is worth a study, very interesting. Will see if I can
make
> > changes for the futures.
> >
> > Ray
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx>
wrote:
> > > condition3 is a value not a condition
> > >
> > > On 7/7/05, me_rayme <rayme@xxxx> wrote:
> > > > I have tested the code on YM RT one minute. Seems to work ok
on
> > the
> > > > Yellow marker, But no Green up marks.
> > > >
> > > > Seems like a problem exists on Cond 1, 3, and 5. I have made
> > slight
> > > > changes.
> > > >
> > > > Ray
> > > >
> > > > LRSBval= -0.12;
> > > > LRSSval = 0.11;
> > > > Length3 = Length4 = FDBLen = FDSLen = MAvgLen = 20;
> > > > FDBuy = 6;
> > > > FDSell = 94;
> > > > PctAbvMA = .1;
> > > > PctBlwMA = .05;
> > > > PctAbvMAValue = MA(C,MAvgLen) * (100- PctAbvMA) / 100;
> > > > PctBlwMAValue = MA(C,MAvgLen) * (100+ PctBlwMA) / 100;
> > > >
> > > > FDBVal = StochD(FDBLen);
> > > > FDSVal = StochD(FDSLen);
> > > >
> > > > condition1 = C < PctAbvMAValue;
> > > > condition2 = C > PctBlwMAValue;
> > > > condition3 = LinRegSlope(C,length3)*LRSSval;
> > > > condition4 = LinRegSlope(C,20)>LRSSval;
> > > >
> > > > condition5 = (FDBVal <= FDBuy AND FDBVal > Ref(FDBVal,-1))
> > > > OR (Ref(FDBVal, -1) <= FDBuy AND FDBVal > Ref(FDBVal,-1));
> > > >
> > > > condition6= (FDSVal >= FDSell AND FDSVal < Ref(FDSVal,-1))
> > > > OR (Ref(FDSVal,-1) >= FDSell AND FDSVal < Ref(FDSVal,-1));
> > > >
> > > > PlotShapes((condition1 AND condition3 AND condition5)
> > > > *shapeUpArrow,colorBrightGreen,0,L);
> > > >
> > > > PlotShapes((condition2 AND condition4)
> > > > *shapeDownArrow,colorYellow,0,H);
> > > >
> > > > //Plot(C,"",colorGreen,64);
> > > > Plot( Close, "", colorBlack, styleCandle );
> > > > GraphXSpace =10;
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "ricko8294_98" <ricko@xxxx>
> > wrote:
> > > > > I have made a stab at translating the code.
> > > > > I have to assume that the function LSR() is LinRegSlope()
> > > > > I have also added a line to plot the stock.
> > > > >
> > > > > Perhaps someone can check this code
> > > > >
> > > > > LRSBval= -0.12; LRSSval = 0.11;
> > > > > Length3 = Length4 = FDBLen = FDSLen = MAvgLen = 20;
> > > > > FDBuy = 6; FDSell = 94; PctAbvMA = .1; PctBlwMA = .05;
> > > > > PctAbvMAValue = MA(C,MAvgLen) * (100- PctAbvMA) / 100;
> > > > > PctBlwMAValue = MA(C,MAvgLen) * (100+ PctBlwMA) / 100;
> > > > > FDBVal = StochD(FDBLen);
> > > > >
> > > > > FDSVal = StochD(FDSLen);
> > > > > condition1 = C < PctAbvMAValue;
> > > > > condition2 = C > PctBlwMAValue;
> > > > > condition3 = LinRegSlope(C,length3)*LRSSval;
> > > > > condition4= LinRegSlope(C,20)>LRSSval;
> > > > > condition5= (FDBVal <= FDBuy AND FDBVal > Ref(FDBVal,-1))
OR
> > (Ref
> > > > > (FDBVal, -1) <= FDBuy AND FDBVal > Ref(FDBVal,-1));
> > > > > condition6= (FDSVal >= FDSell AND FDSVal < Ref(FDSVal,-1))
OR
> > (Ref
> > > > > (FDSVal,-1) >= FDSell AND FDSVal < Ref(FDSVal,-1));
> > > > > PlotShapes((condition1 AND condition3 AND condition5)
> > > > *shapeUpArrow,
> > > > > colorBrightGreen,0,L);
> > > > > PlotShapes((condition2 AND condition4)
> > > > > *shapeDownArrow,colorYellow,0,H);
> > > > > Plot(C,"",colorGreen,64);
> > > > >
> > > > > Hope it helps
> > > > > Rick
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "m.smith" <ink@xxxx>
wrote:
> > > > > >
> > > > > > This is a "pivot formula" not in amibroker. Will someone
> > look at
> > > > > this and
> > > > > > see if it can be translated? I have been hasseling with
this
> > > > > probably more
> > > > > > than it is worth. Thanks. Marshall
> > > > > >
> > > > > > {scalper pivot points } Input: LRSBval(-0.12), {level
which
> > buys
> > > > > must be
> > > > > > below} LRSSval(0.11), {level which sells must be above}
> > Length3
> > > > (20),
> > > > > {Length
> > > > > > for Buy LRS} Length4(20),{Length for Sell LRS} FDBLen
(20),
> > > > {Number
> > > > > of bars
> > > > > > to use for FastD calculation for Buy side} FDSLen(20),
> > {Number
> > > > of
> > > > > bars to
> > > > > > use for FastD calculation for Sell side} FDBuy(6),
{Value of
> > > > FastD
> > > > > to Signal
> > > > > > long entry} FDSell(94), {Value of FastD to Signal Short
> > entry}
> > > > > MAvgLen(20),
> > > > > > PctAbvMA(.1), PctBlwMA(.05);
> > > > > > Vars: PctAbvMAValue(0.0), PctBlwMAValue(0.0), FDBVal
(0.0),
> > FDSVal
> > > > > (0.0),
> > > > > > FastDValL(0.0), FastDValS(0.0);
> > > > > > PctAbvMAValue = (Average(Close,MAvgLen) * (100-
PctAbvMA) /
> > 100);
> > > > > > PctBlwMAValue = (Average(Close,MAvgLen) * (100+
PctBlwMA) /
> > > > 100);
> > > > > > FDBVal = FastD(FDBLen);
> > > > > > FDSVal = FastD(FDSLen); condition1 = C < PctAbvMAValue;
> > > > > > condition2 = C > PctBlwMAValue;
> > > > > > condition3=LinearregSlope(C,length3)LRSSval;
> > > > > > condition4= LRS(C,20)>LRSSval;
> > > > > > condition5= (FDBVal <= FDBuy AND FDBVal > FDBVal[1]) OR
> > (FDBVal
> > > > [1]
> > > > > <= FDBuy
> > > > > > AND FDBVal > FDBVal[1]);
> > > > > > condition6= (FDSVal >= FDSell AND FDSVal < FDSVal[1]) OR
> > (FDSVal
> > > > [1]
> > > > > >=
> > > > > > FDSell AND FDSVal < FDSVal[1]);
> > > > > > if condition1 AND condition3 AND condition5 then begin
Plot1
> > (L -
> > > > > .5,"GoLong
> > > > > > ); end; if condition2 AND condition4 AND condition6 then
> > begin
> > > > Plot2
> > > > > (H + .5,
> > > > > > GoShort");
> > > > > > end;
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Please note that this group is for discussion between users
only.
> > > >
> > > > To get support from AmiBroker please send an e-mail directly
to
> > > > SUPPORT {at} amibroker.com
> > > >
> > > > For other support material please check also:
> > > > http://www.amibroker.com/support.html
> > > >
> > > >
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > >
> > >
> > > --
> > > Cheers
> > > Graham
> > > http://e-wire.net.au/~eb_kavan/
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/DldnlA/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|