Amélioration Algorithme Scalp DJ 2 min UTC+1

• 08/19/2019 at 6:53 PM #105087
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  Bonjour Nicolas,

  Je te sollicite afin de savoir quelles améliorations je peux apporter à cet algorithme de scalping sur le Dow Jones en 2min UTC+1  Spread 1.6

  Sur les performances passées il est trés bien mais dés qu’on le met en route c’est un peu catastrophique

  Je fais appel à ton expérience, il y a certainement des voies que je n’ai pas exploré pour le rendre + fiable

  Aussi, si toute personne a des idées, elles sont les bienvenues.

  D’avance merci.

  Dow Jones 2min Spread 1.6 UTC+1

  REM WALL STREET DOW JONES 2 MIN HEURE ANGLAISE UTC+1 SPREAD 1.6 REM RAJOUTER 1 HEURE PARTOUT SI VOUS ETES CONFIGURE EN UTC+2 defparam cumulateorders=false defparam flatbefore=142900 defparam preloadbars=2000 defparam flatafter=205700 set target profit 13 SET STOP LOSS 66 n=1 xx=72 xx2=43 yy=19 yy2=52 Ja=5 jv=3 xa=3 xv=0 if longonmarket and (close-tradeprice)>0 and (barindex-tradeindex)>1 and close-close[5]>4 and gov=1 and gov2=1 then sellshort n shares at market endif if shortonmarket and (tradeprice-close)>1 and (barindex-tradeindex)>0 and close[7]-close<0 and goa2=1 and goa=1 and k<62 then buy n shares at market endif if not onmarket and close[6]-close<16 and goa2=1 and goa=1 and k<xx2 and high[13]>high[7] and k<43 then buy n shares at market endif if not onmarket and close-close[7]>9 and gov=1 and gov2=1 and k>yy2 and low[9]<low[6] then sellshort n shares at market endif if shortonmarket and (tradeprice-close)>10 and close[22]-close[8]<20 then exitshort at market endif if longonmarket and (close-tradeprice)>9 and (barindex-tradeindex)<1 then sellshort n shares at market endif REM 5619 5522 if close>27285 then goa2=0 else goa2=1 endif if close<25579 then gov2=0 else gov2=1 endif rem 3 et 10 moins de perte mais plus mou if close[6]-close>27 then goa=0 else goa=1 endif if close-close[11]>85 then gov=0 else gov=1 endif REM STOCHASTIQUE TIME SERIES p=15 q=2 plusHaut = HIGHEST[p](HIGH) plusBas = LOWEST[p](LOW) oscillateur = (CLOSE - plusBas) / (plusHaut - plusBas) * 100 K = AVERAGE[q,6](oscillateur) p2=4 q2=7 plusHaut2 = HIGHEST[p2](HIGH) plusBas2 = LOWEST[p2](LOW) oscillateur2=(CLOSE - plusBas2) / (plusHaut2 - plusBas2) * 100 K2 = AVERAGE[q2,6](oscillateur2) periode=1 innere = 2*weightedaverage[ round( Periode/2 ) ](close)-weightedaverage[Periode](close) MM=weightedaverage[round(sqrt(periode))](innere) periode2=3 innere2 = 2*weightedaverage[ round( Periode2/2 ) ](close)-weightedaverage[Periode2](close) MM2=weightedaverage[round(sqrt(periode2))](innere2) // ouvrir position acheteuse if k<xx and mm[19]>mm[29] and high[14]<high and goa=1 and goa2=1 then buy n shares at market endif // ouvrir position vendeuse if longonmarket and (close-tradeprice)>2 and k2>yy and low>low[2] and mm2>mm2[16] and gov=1 and gov2=1 then sellshort n shares at market endif if not onmarket and k2>yy and low[7]>low[4] and mm2[16]>mm2[15] and gov=1 and gov2=1 then sellshort n shares at market endif if longonmarket and (BarIndex-TRADEINDEX)>ja and gov2=1 then sellshort n shares at market endif if shortonmarket and (BarIndex-TRADEINDEX)>jv and goa2=1 then buy n shares at market endif if longonmarket and (BarIndex-TRADEINDEX)>xa and gov=1 and gov2=1 and (close-tradeprice)>4 then sellshort n shares at market endif if shortonmarket and (BarIndex-TRADEINDEX)>xv and goa=1 and goa2=1 and (tradeprice-close)>11 then buy n shares at market endif

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  REM WALL STREET DOW JONES 2 MIN HEURE ANGLAISE UTC+1 SPREAD 1.6 REM RAJOUTER 1 HEURE PARTOUT SI VOUS ETES CONFIGURE EN UTC+2 defparam cumulateorders=false defparam flatbefore=142900 defparam preloadbars=2000 defparam flatafter=205700 set target profit 13 SET STOP LOSS 66 n=1 xx=72 xx2=43 yy=19 yy2=52 Ja=5 jv=3 xa=3 xv=0 if longonmarket and (close-tradeprice)>0 and (barindex-tradeindex)>1 and close-close[5]>4 and gov=1 and gov2=1  then sellshort n shares  at market endif if shortonmarket and (tradeprice-close)>1 and (barindex-tradeindex)>0 and close[7]-close<0 and goa2=1 and goa=1 and k<62  then buy n shares at market endif if not onmarket and close[6]-close<16 and goa2=1 and goa=1 and k<xx2 and high[13]>high[7] and k<43 then buy n shares at market endif if not onmarket and close-close[7]>9 and gov=1 and gov2=1 and k>yy2 and low[9]<low[6] then sellshort n shares at market endif if shortonmarket and (tradeprice-close)>10 and close[22]-close[8]<20 then exitshort at market endif if longonmarket and (close-tradeprice)>9 and (barindex-tradeindex)<1 then sellshort n shares at market endif REM 5619 5522 if close>27285 then goa2=0 else goa2=1 endif if close<25579 then gov2=0 else gov2=1 endif rem 3 et 10 moins de perte mais plus mou if close[6]-close>27  then goa=0 else goa=1 endif if close-close[11]>85 then gov=0 else gov=1 endif REM STOCHASTIQUE TIME SERIES p=15 q=2 plusHaut = HIGHEST[p](HIGH) plusBas = LOWEST[p](LOW) oscillateur = (CLOSE - plusBas) / (plusHaut - plusBas) * 100 K = AVERAGE[q,6](oscillateur) p2=4 q2=7 plusHaut2 = HIGHEST[p2](HIGH) plusBas2 = LOWEST[p2](LOW) oscillateur2=(CLOSE - plusBas2) / (plusHaut2 - plusBas2) * 100 K2 = AVERAGE[q2,6](oscillateur2) periode=1 innere = 2*weightedaverage[ round( Periode/2 ) ](close)-weightedaverage[Periode](close) MM=weightedaverage[round(sqrt(periode))](innere) periode2=3 innere2 = 2*weightedaverage[ round( Periode2/2 ) ](close)-weightedaverage[Periode2](close) MM2=weightedaverage[round(sqrt(periode2))](innere2) // ouvrir position acheteuse if  k<xx  and mm[19]>mm[29] and high[14]<high and goa=1 and goa2=1 then buy n shares at market endif // ouvrir position vendeuse if  longonmarket and (close-tradeprice)>2 and k2>yy and low>low[2] and mm2>mm2[16] and gov=1 and gov2=1 then sellshort n shares at market endif if not onmarket and k2>yy and low[7]>low[4] and mm2[16]>mm2[15] and gov=1 and gov2=1 then sellshort n shares at market endif if longonmarket and (BarIndex-TRADEINDEX)>ja and gov2=1 then sellshort n shares at market endif if shortonmarket and (BarIndex-TRADEINDEX)>jv and goa2=1 then buy n shares at market endif if longonmarket and (BarIndex-TRADEINDEX)>xa and gov=1 and gov2=1 and (close-tradeprice)>4 then sellshort n shares at market endif if shortonmarket and (BarIndex-TRADEINDEX)>xv and goa=1 and goa2=1 and (tradeprice-close)>11 then buy n shares at market endif

   

  

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  08/22/2019 at 4:44 PM #105317
  Nicolas

  Sur-optimisation. Ah ! Si je connaissais les chiffres du Loto à l’avance ! et c’est bien ce que tu as fait en développant ton algorithme de trading. Il faut toujours diviser ses périodes de test (méthode IS+OOS), pour valider la robustesse de la stratégie. On peut utiliser le module de Walk Forward pour cela, voir les vidéos dans ces articles :

  https://www.prorealcode.com/blog/video-tutorials/analyse-walk-forward-prorealtime/

  https://www.prorealcode.com/blog/video-tutorials/recapitulatif-sur-lutilisation-du-module-walk-sous-prorealtime/

  et ce sujet où on en discute : https://www.prorealcode.com/topic/optimisation-et-analyse-walk-forward-_-aides/

  Il y bien d’autres sujets à ce propos également dans le forum anglophone.

  Par ailleurs la version 11 intègre également maintenant un outil pour visualiser ses variables optimisés sur 3 axes (vues 3D).

  

  Nicolas

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  08/23/2019 at 7:21 AM #105351
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  Bonjour Nicolas,

  Merci pour tes réponses.

  Aussi, je suis sur prorealtime 10.3 en CFD avec IG, la version 11 est elle disponible ou faut-il attendre un déploiement automatique de mise à jour ?

  

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  08/23/2019 at 9:58 AM #105366
  Nicolas

  La version 11 pour les clients IG ou PRT Sponsored devrait être déployé dans le courant du mois de Septembre (sous réserve).

  

  Nicolas

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