Créer un Algo qui achète les clusters de moyenne mobile multiUT

• 07/07/2022 at 5:53 PM #196992
  vincentsm33

  Bonjour,

  je cherche à créer un algorithme de trading qui permettrait de payer un cluster de supports de type moyenne mobile d’UT différentes (par exemple Weekly et Monthly).

  Ci-attaché, un exemple de trade que je souhaiterais prendre : le Prix touche la M7 UT mois, et en parallèle est proche de la M20 UT Hebdomadaire.

  //efparam drawonlastbaronly=true //DEFPARAM CalculateOnLastBars = 5300 DEFPARAM PreLoadBars = 50000 DEFPARAM CumulateOrders = False Voffset = pipsize variable1 = 0.5 TIMEFRAME(WEEKLY) typicalprixW = (high+low+close)/3 //SMA 7/20/50/200 M7W = average[7] uw= BollingerUp[20](typicalprixW) lw= Bollingerdown[20](typicalprixW) MW = average[20](typicalprixW) //M7W = average[7] lookM7W=0 if M7W < close and M7W>M7W[1] and low>M7W then lookM7W=1 endif lookuw=0 if (uw) < close and (uw)>(uw)[1] and low>(uw) then lookuw=1 endif looklw=0 if (lw) < close and (lw)>(lw)[1] and low>(lw) then looklw=1 endif lookMW=0 if (MW) < close and MW>MW[1] and low>MW then lookMW=1 endif lookpw=0 PW = call "ATS_SAR" if PW < close and (pw>pw[1] or (pw<pw[1] and High[1]>pw[1])) and low > pw then lookpw=1 endif signal1W=0 if lookpw=1 and ((close-pw) < variable1) then signal1W=1 endif signal2W=0 if lookM7W=1 and ((close-M7W) < variable1) then signal2W=1 endif signal3W=0 if lookuw=1 and ((close-UW) < variable1) then signal3W=1 endif signal4W=0 if looklw=1 and ((close-LW) < variable1) then signal4W=1 endif signal5W=0 if lookMW=1 and ((close-MW) < variable1) then signal5W=1 endif SIGNALW = (signal1W+signal2W+signal3W+signal4W+signal5W) timeframe(monthly) //SMA 7/20/50/200 typicalprixM = (high+low+close)/3 //SMA 7/20/50/200 M7M = average[7] UM= BollingerUp[20](typicalprixM) LM= Bollingerdown[20](typicalprixM) MM = average[20](typicalprixM) lookm7M=0 if M7M < close and M7M>M7M[1] and low>M7M then lookm7M=1 endif lookUM=0 if (UM) < close and (UM)>(UM)[1] and low>(UM) then lookUM=1 endif lookLM=0 if (LM) < close and (LM)>(LM)[1] and low>(LM) then lookLM=1 endif lookMM=0 if (MM) < close and MM>MM[1] and low>MM then lookMM=1 endif lookpM=0 PM = call "ATS_SAR" if PM < close and (pM>pM[1] or (pM<pM[1] and High[1]>pM[1])) and low > pM then lookpM=1 endif signal1M=0 if lookpM=1 and ((close-pm) < variable1) then signal1M=1 endif signal2m=0 if lookM7m=1 and ((close-M7m) < variable1) then signal2M=1 endif signal3M=0 if lookuM=1 and ((close-UM) < variable1) then signal3M=1 endif signal4M=0 if looklM=1 and ((close-LM) < variable1) then signal4M=1 endif signal5M=0 if lookMM=1 and ((close-MM) < variable1) then signal5M=1 endif SIGNALM = (signal1M+signal2M+signal3M+signal4M+signal5M) timeframe (default) SIGNAL = (SIGNALW + SIGNALM) if SIGNAL >= 2 THEN BUY 1 CONTRACTS AT MARKET SET STOP pLOSS 100 SET TARGET pPROFIT 100 ENDIF

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  //efparam drawonlastbaronly=true //DEFPARAM CalculateOnLastBars = 5300     DEFPARAM PreLoadBars = 50000 DEFPARAM CumulateOrders = False   Voffset = pipsize variable1 = 0.5       TIMEFRAME(WEEKLY) typicalprixW = (high+low+close)/3 //SMA 7/20/50/200 M7W = average[7] uw= BollingerUp[20](typicalprixW) lw= Bollingerdown[20](typicalprixW) MW = average[20](typicalprixW) //M7W = average[7]     lookM7W=0 if M7W < close and M7W>M7W[1] and low>M7W then lookM7W=1 endif   lookuw=0 if (uw) < close and (uw)>(uw)[1] and low>(uw) then lookuw=1 endif       looklw=0 if (lw) < close and (lw)>(lw)[1] and low>(lw) then looklw=1 endif       lookMW=0 if (MW) < close and MW>MW[1] and low>MW then lookMW=1 endif     lookpw=0 PW = call "ATS_SAR" if PW < close and (pw>pw[1] or (pw<pw[1] and High[1]>pw[1])) and low > pw then lookpw=1 endif                     signal1W=0 if lookpw=1 and ((close-pw) < variable1) then signal1W=1 endif   signal2W=0 if lookM7W=1 and ((close-M7W) < variable1) then signal2W=1 endif   signal3W=0 if lookuw=1 and ((close-UW) < variable1) then signal3W=1 endif   signal4W=0 if looklw=1 and ((close-LW) < variable1) then signal4W=1 endif   signal5W=0 if lookMW=1 and ((close-MW) < variable1) then signal5W=1 endif   SIGNALW = (signal1W+signal2W+signal3W+signal4W+signal5W)               timeframe(monthly) //SMA 7/20/50/200 typicalprixM = (high+low+close)/3 //SMA 7/20/50/200 M7M = average[7] UM= BollingerUp[20](typicalprixM) LM= Bollingerdown[20](typicalprixM) MM = average[20](typicalprixM)         lookm7M=0 if M7M < close and M7M>M7M[1] and low>M7M then lookm7M=1 endif     lookUM=0 if (UM) < close and (UM)>(UM)[1] and low>(UM) then lookUM=1 endif   lookLM=0 if (LM) < close and (LM)>(LM)[1] and low>(LM) then lookLM=1 endif       lookMM=0 if (MM) < close and MM>MM[1] and low>MM then lookMM=1 endif   lookpM=0 PM = call "ATS_SAR" if PM < close and (pM>pM[1] or (pM<pM[1] and High[1]>pM[1])) and low > pM then lookpM=1 endif     signal1M=0 if lookpM=1 and ((close-pm) < variable1) then signal1M=1 endif   signal2m=0 if lookM7m=1 and ((close-M7m) < variable1) then signal2M=1 endif   signal3M=0 if lookuM=1 and ((close-UM) < variable1) then signal3M=1 endif   signal4M=0 if looklM=1 and ((close-LM) < variable1) then signal4M=1 endif   signal5M=0 if lookMM=1 and ((close-MM) < variable1) then signal5M=1 endif   SIGNALM = (signal1M+signal2M+signal3M+signal4M+signal5M)                     timeframe (default)     SIGNAL = (SIGNALW + SIGNALM)   if SIGNAL >= 2 THEN BUY 1 CONTRACTS AT MARKET SET STOP pLOSS 100 SET TARGET pPROFIT 100 ENDIF

   

  Le STOP serait sous les deux moyennes mobiles, l’entrée sur le premier des deux supports, et le TP fixe, par exemple.

  J’ai essayé de créer un code simple, mais cela ne reproduit absolument pas l’objectif recherché.

  Pourriez vous m’aider à débugger mon code?

  Merci.

  

  vincentsm33

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  07/11/2022 at 11:23 AM #197124
  JC_Bywan

  Bonjour,

  Sans pouvoir vraiment le tester à cause du call d’un autre programme, et donc en neutralisant les 2 call pour voir ce que donnent au moins les autres conditions, la variable1=0.5 ne déclenche aucun signal, ni 1 ni 1.5, il faut une variable1=2 (ou en tout cas quelque part entre 1.5 et 2 si on veut tester plus finement que de 0.5 en 0.5) avant que ce trade du creux de mai ne soit détecté, via un signal mensuel qui se débloque via la composante signal2m (signal3m,4m,5m restant à 0 même à variable1=2)

  

  JC_Bywan

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