A trading system based on the indicator One More Average MACD
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Vous utilisez le même nom pour 2 variables différentes.
Il faut un nom différent pour chaque nouvelle variable.1 user thanked author for this post.
Like for example “averagePeriod” in the “Fast moving average”.
“AveragePeriod” in the “Slow moving average” must be renamed differently as “SaveragePeriod” and so on for all the variables written in black color.1 user thanked author for this post.
You need to ensure that there are enough bars before starting the calculations. With the standard settings it seems a minimum of 129 bars are required.
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127//-------------------------------------------------------------------------defparam cumulateorders=falseDefparam preloadbars=10000amount = 1 //quantity of shares/contracts to open for each new order///PRC_OneMoreAverage MACD | indicator//23.11.2016//Nicolas @ www.prorealcode.com//Sharing ProRealTime knowledge//--parameters//>OMA parametersSensibility = 1Adaptive = 1//>MACD periodsFLength = 24SLength = 52//>signal lineSigLength = 9Sigma = 4Offset = 0.85//--------if barindex > 129 thenSpeed = SensibilitySpeed = Max(Speed,-1.5)price = average[1](customclose)tconst=Speed//--Fast moving averageFLength = Max(FLength,1)//adaptive periodaveragePeriod = FLengthif adaptive=1 and averagePeriod > 1 thenminPeriod = averagePeriod/2.0maxPeriod = minPeriod*5.0endPeriod = round(maxPeriod)signal = Abs((price-stored[endPeriod]))noise = 0.00000000001for k=1 to endPeriod donoise=noise+Abs(price-stored[k])averagePeriod = round(((signal/noise)*(maxPeriod-minPeriod))+minPeriod)nextendifalpha = (2.0+tconst)/(1.0+tconst+averagePeriod)e1 = e1 + alpha*(price-e1)e2 = e2 + alpha*(e1-e2)v1 = 1.5 * e1 - 0.5 * e2e3 = e3 + alpha*(v1 -e3)e4 = e4 + alpha*(e3-e4)v2 = 1.5 * e3 - 0.5 * e4e5 = e5 + alpha*(v2 -e5)e6 = e6 + alpha*(e5-e6)Fast = 1.5 * e5 - 0.5 * e6//------------------------------------//--Slow moving averageSLength = Max(SLength,1)//adaptive periodaveragePeriod = SLengthif adaptive=1 and averagePeriod > 1 thenminPeriod = averagePeriod/2.0maxPeriod = minPeriod*5.0endPeriod = round(maxPeriod)signal = Abs((price-stored[endPeriod]))noise = 0.00000000001for k=1 to endPeriod donoise=noise+Abs(price-stored[k])averagePeriod = round(((signal/noise)*(maxPeriod-minPeriod))+minPeriod)nextendifalpha = (2.0+tconst)/(1.0+tconst+averagePeriod)e1 = e1 + alpha*(price-e1)e2 = e2 + alpha*(e1-e2)v1 = 1.5 * e1 - 0.5 * e2e3 = e3 + alpha*(v1 -e3)e4 = e4 + alpha*(e3-e4)v2 = 1.5 * e3 - 0.5 * e4e5 = e5 + alpha*(v2 -e5)e6 = e6 + alpha*(e5-e6)Slow = 1.5 * e5 - 0.5 * e6//------------------------------------//--Signal moving averageOMAMACD = Slow-FastSigLength = Max(SigLength,1)//---Signal MAn = (Offset * (SigLength - 1))t = SigLength/SigmaSWtdSum = 0SCumWt = 0for k = 0 to SigLength - 1 doSWtd = Exp(-((k-n)*(k-n))/(2*t*t))SWtdSum = SWtdSum + SWtd * OMAMACD[SigLength - 1 - k]SCumWt = SCumWt + SWtdnextSIGMACD = SWtdSum / SCumWt//------------------------------------stored=price//Conditions when to actBullSMA=(SIGMACD<OMAMACD)BearSMA=(SIGMACD>OMAMACD)if (not longonmarket and BullSMA)thenbuy amount shares at marketendifif (longonmarket and BearSMA and positionperf>0) thensell at marketendifendifgraph sigmacdgraph omamacd1 user thanked author for this post.
Matriciel – Please only use English in the English speaking forums. Using two languages just bloats the topics.
In the code it is OK to use the same variable name several times in different calculations as its new value for it is calculated prior to its use each time. Its previous value is not part of the calculation so that is fine.
I just checked my code from my last post and it seems that the values of SIGMACD and OMAMACD are not calculated the same as the indicator returned values. Not sure why – might need to spend a little more time on this!
1 user thanked author for this post.
I used Vonasi version and got attached … no error messages.
Ain’t never seen a Gain to Loss ratio as high as attached!!
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but I still fail, now with an error
Your version just needs an extra endif adding at line 131
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Ain’t never seen a Gain to Loss ratio as high as attached!!
That’s what happens if you never close any losing positions! The strategy does not exit unless it is profit. At some point you will find drawdown to be as impressive as gain/loss ratio!
2 users thanked author for this post.
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