COME MIGLIORARE UNA STRATEGIA

• 01/10/2019 at 6:25 PM #88329
  Mauro T. “Algorithm System”

  Ho trovato questo articolo di Nicolas che in alcune strategie è migliorata non come performance ma come Max Drawdown ……però è solo per operazioni Long, ho cercato purtroppo invano di metterla anche per lo Short.

  Se qualcuno è in grado di aiutarmi

  Grazie Mauro

  defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy else plotLong = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation

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  defparam cumulateorders=false // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 if realtrading then //real trading if not longonmarket and buysignal then   buy at market   ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then   openprice=close //fake order open price   longontrading=1 //we are now on market   //reset MFE & MAE values   mfe=0   mae=0   //fake orders count   fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit   orderPNL=((openprice+takeprofit*pointsize)/openprice)-1   longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss   orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1)   longontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) )  and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if(not longontrading[1]) then //if it was a real order   orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do   if strategyPNL[i]<>lastPNL then   lastPNL=strategyPNL[i]   count=count+1   sum=sum+strategyPNL[i]    if count=equityCurvePeriod+1 then     sum=sum-last     last=strategyPNL[i]     break     //    endif   endif next if last<>last[1] then   avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then   realtrading=1 //activate real trading if the PnL is superior to its average else   realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then   realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy else plotLong = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation

   

   

   

  

  Mauro T. “Algorithm System”

  Participant

  Topics: 18

  Replies: 301

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  01/10/2019 at 7:21 PM #88335
  robertogozzi

  Ho provato a modificarla, ma non sono sicuro funzioni tutto correttamente, almeno per la parte di simulazione.

  Fai delle prove:

  defparam cumulateorders=false once longontrading=0 once shortontrading=0 // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 sellsignal = average[7] crosses under average[21]//rsi[2] crosses under 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif if not shortonmarket and sellsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif if not shortontrading and sellsignal then openprice=close //fake order open price shortontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) ) and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if (not longontrading[1]) and (not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy else plotLong = 0 endif if shortontrading then plotShort = 0.01 //this value might be changed, depending of the strategy else plotShort = 0 endif // //plot values graph strategyPNL //plot the cumulated PnL graph avg coloured(0,0,255) //plot the average of the equity curve graph plotLong coloured(0,155,0) //plot the fake orders activation graph plotShort coloured(255,0,0) //plot the fake orders activation

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  defparam cumulateorders=false   once longontrading=0 once shortontrading=0 // --- strategy settings tpratio = 2.7 stoploss = 65 takeprofit = stoploss*tpratio // --- simulated trading settings equityCurvePeriod = 20 //orders quantity for the equity curve average activateSimulatedTrading = 1 //(0= false / 1 =true) //strategies buysignal = average[7] crosses over average[21]//rsi[2] crosses over 30 sellsignal = average[7] crosses under average[21]//rsi[2] crosses under 30 if realtrading then //real trading if not longonmarket and buysignal then buy at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif if not shortonmarket and sellsignal then sellshort at market ordercount=ordercount+1 //counting the order to know we have sufficient ones to activate the simulation later endif set target pprofit takeprofit set stop ploss stoploss elsif not realtrading and ordercount>equityCurvePeriod then //fake trading if not longontrading and buysignal then openprice=close //fake order open price longontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif if not shortontrading and sellsignal then openprice=close //fake order open price shortontrading=1 //we are now on market //reset MFE & MAE values mfe=0 mae=0 //fake orders count fakeorders=fakeorders+1 endif endif //check profit n loss of the fake order if longontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice+takeprofit*pointsize)/openprice)-1 longontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice-stoploss*pointsize)/openprice)-1) longontrading=0 //not on market anymore endif elsif shortontrading=1 then mfe = max(high-openprice,mfe) //compute the MaxFavorableExcursion mae = min(low-openprice,mae) //compute the MaxAdverseExcursion //profit achieved if mfe>=takeprofit*pointsize then //testing the takeprofit orderPNL=((openprice-takeprofit*pointsize)/openprice)-1 shortontrading=0 //not on market anymore endif //shit happens! if mae<=-stoploss*pointsize then //testing the stoploss orderPNL=-(((openprice+stoploss*pointsize)/openprice)-1) shortontrading=0 //not on market anymore endif endif   //compute equity curve and its average if ( (not onmarket and onmarket[1]) or (tradeindex(1)=tradeindex(2) and tradeindex(1)=barindex[1]) or (not longontrading and longontrading[1]) or (not shortontrading and shortontrading[1]) )  and lastcheck<>barindex then //check if an order has just closed or not lastcheck = barindex if (not longontrading[1]) and (not shortontrading[1]) then //if it was a real order orderPNL = positionperf(1) //let's take the real position perf (otherwise the last orderPNL is kept (fake order) endif strategyPNL = strategyPNL+orderPNL //cumulate the strategy PnL //build a loop to make the equity curve average count=0 sum=0 lastPNL=0 for i = 0 to barindex do if strategyPNL[i]<>lastPNL then lastPNL=strategyPNL[i] count=count+1 sum=sum+strategyPNL[i] if count=equityCurvePeriod+1 then sum=sum-last last=strategyPNL[i] break // endif endif next if last<>last[1] then avg = (sum/equityCurvePeriod) endif if strategyPNL>avg then realtrading=1 //activate real trading if the PnL is superior to its average else realtrading=0 //or desactivate real trading endif if ordercount<=equityCurvePeriod or activateSimulatedTrading=0 then realtrading=1 //if not enough orders since the beginning or if simulated trading is force to false, we keep on real trading endif endif //plot the fake orders activation if longontrading then plotLong = 0.01 //this value might be changed, depending of the strategy else plotLong = 0 endif if shortontrading then plotShort = 0.01 //this value might be changed, depending of the strategy else plotShort = 0 endif // //plot values graph strategyPNL                 //plot the cumulated PnL graph avg coloured(0,0,255)       //plot the average of the equity curve graph plotLong coloured(0,155,0)  //plot the fake orders activation graph plotShort coloured(255,0,0) //plot the fake orders activation

   

  

  robertogozzi

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  01/10/2019 at 7:28 PM #88337
  Mauro T. “Algorithm System”

  Come al solito grazie…. Provo se funziona.

  

  Mauro T. “Algorithm System”

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