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Formula works better and is reasonible,now I get up and down arrows
on YM or ER2 one minute but having problem with the sethour=Timenum
routine.
I still get arrows before 090000, have changed this to 093000, NY
time 9:30am, still bad.
I only want arrows between 9:30 and 16:00 when the volume is best.
When I backtest I also want the NY hours when the volume is larger.
I have played around with this time routine but cant find a
solution.
Ray
--- In amibroker@xxxxxxxxxxxxxxx, "willem1940" <w.j.a.struyck@xxxx>
wrote:
> 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/
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