Conversion d'indicateurs vers ProBuilder

laurenzo · Mon, 08 May 2017 14:27:07 +0000

Plutôt que d’ouvrir plein de topics pour la conversion d’indicateurs (comme j’ai déjà fait :o)), je préfère créer un thread ici pour centraliser les indicateurs que j’aimerais convertir sous PRT. Merci d’avance à tous pour votre aide!

This topic has 29 replies, 2 voices, and was last updated 7 years ago by Nicolas.

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05/10/2017 at 1:46 PM #35066

laurenzo

Je sèche sur la Parabolic weighted MA avec la boucle qui contient r 🙂

laurenzo

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05/10/2017 at 8:13 PM #35116

laurenzo

Pas mal de petites fautes que je corrige dans les indicateurs que j’ai publié.

laurenzo

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05/10/2017 at 9:14 PM #35122

laurenzo

Zero Lag Exponential Moving Average by John Ehlers

// --- parameters
Series = CustomClose
// Period = 20
// ---

Period = MAX(Period, 1)

alpha = 2 / (1 + Period)
per = ROUND((Period - 1) / 2)

IF BarIndex <= per THEN
    ZLEMA = Series
ELSE
    ZLEMA = ZLEMA[1] + alpha * (2 * Series - Series[per] - ZLEMA[1])
ENDIF

RETURN ZLEMA

// --- parameters

Series = CustomClose

// Period = 20

// ---

Period = MAX(Period, 1)

alpha = 2 / (1 + Period)

per = ROUND((Period - 1) / 2)

IF BarIndex <= per THEN

ZLEMA = Series

ELSE

ZLEMA = ZLEMA[1] + alpha * (2 * Series - Series[per] - ZLEMA[1])

ENDIF

RETURN ZLEMA

laurenzo

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05/10/2017 at 9:42 PM #35132

laurenzo

Ahrens Moving Average

//-----------------------//
// Ahrens Moving Average //
//-----------------------//

// --- parameters
Series = CustomClose
// Period = 20
// ---

IF BarIndex < Period THEN
    AHMA = Series
ELSE
    AHMA = AHMA[1] + ((Series - ((AHMA[1] + AHMA[Period]) / 2)) / Period)
ENDIF

RETURN AHMA

//-----------------------//

// Ahrens Moving Average //

//-----------------------//

// --- parameters

Series = CustomClose

// Period = 20

// ---

IF BarIndex < Period THEN

AHMA = Series

ELSE

AHMA = AHMA[1] + ((Series - ((AHMA[1] + AHMA[Period]) / 2)) / Period)

ENDIF

RETURN AHMA

laurenzo

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05/10/2017 at 9:54 PM #35136

laurenzo

Toujours du mal avec la Parabolic weighted MA! 🙂

Du mal avec la boucle for et le r-k. C’est du repaint? Ou je rate un truc!

laurenzo

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05/11/2017 at 8:13 PM #35240

laurenzo

Aujourd’hui tentative de convertir http://unicorn.us.com/trading/src/_filter2pole.txt

J’ai tout bon sauf la fin… c’est balot 🙂

    for m = 1 to Fs begin {Fs=1 usually, except for small length}
        j = cascades-1;
        sig2 = sig1;    {prior previous value of input signal}
        sig1 = sig0;    {previous value of input signal}
        sig0 = p;       {current input value}

        {this is the 1-pass filter}
        bw2[j] = bw1[j];    {prior previous filter value}
        bw1[j] = bw0[j];    {previous filter value}
        bw0[j] = a0*sig0 + a1*sig1 + a2*sig2 + b1*bw1[j] + b2*bw2[j];

        {cascade additional filters if needed}

        while j > 0 begin
            k = j;  j = j - 1;
            bw2[j] = bw1[j]; {shift current filter values to prior values}
            bw1[j] = bw0[j];
            bw0[j] = a0*bw0[k] + a1*bw1[k] + a2*bw2[k] + b1*bw1[j] + b2*bw2[j];
        end;
    end;

for m = 1 to Fs begin {Fs=1 usually, except for small length}

j = cascades-1;

sig2 = sig1; {prior previous value of input signal}

sig1 = sig0; {previous value of input signal}

sig0 = p; {current input value}

{this is the 1-pass filter}

bw2[j] = bw1[j]; {prior previous filter value}

bw1[j] = bw0[j]; {previous filter value}

bw0[j] = a0*sig0 + a1*sig1 + a2*sig2 + b1*bw1[j] + b2*bw2[j];

{cascade additional filters if needed}

while j > 0 begin

k = j; j = j - 1;

bw2[j] = bw1[j]; {shift current filter values to prior values}

bw1[j] = bw0[j];

bw0[j] = a0*bw0[k] + a1*bw1[k] + a2*bw2[k] + b1*bw1[j] + b2*bw2[j];

end;

Converti en :

    // actual filtering starts here
    FOR m = 1 TO Fs DO

        j = cascades - 1
        sig2 = sig1
        sig1 = sig0
        sig0 = Series

        bw2[j] = bw1[j]
        bw1[j] = bw0[j]
        bw0[j] = a0 * sig0 + a1 * sig1 + a2 * sig2 + b1 * bw1[j] + b2 * bw2[j]


        WHILE j > 0 DO
            k = j
            j = j - 1
            bw2[j] = bw1[j]
            bw1[j] = bw0[j]
            bw0[j] = a0 * bw0[k] + a1 * bw1[k] + a2 * bw2[k] + b1 * bw1[j] + b2 * bw2[j]
        WEND
    NEXT

// actual filtering starts here

FOR m = 1 TO Fs DO

j = cascades - 1

sig2 = sig1

sig1 = sig0

sig0 = Series

bw2[j] = bw1[j]

bw1[j] = bw0[j]

bw0[j] = a0 * sig0 + a1 * sig1 + a2 * sig2 + b1 * bw1[j] + b2 * bw2[j]

WHILE j > 0 DO

k = j

j = j - 1

bw2[j] = bw1[j]

bw1[j] = bw0[j]

bw0[j] = a0 * bw0[k] + a1 * bw1[k] + a2 * bw2[k] + b1 * bw1[j] + b2 * bw2[j]

WEND

Forcément ça me plante aux tableaux. Personne verrait une astuce pour convertir ça correctement? Je suis preneur 🙂

laurenzo

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05/11/2017 at 9:21 PM #35251

Nicolas

Les variables qui s’incrementent en tableau dynamique, tu peux essayer de les renommer en leur donnant un nom distinct pour chacune d’elles.

Nicolas

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05/11/2017 at 9:37 PM #35253

laurenzo

Nicolas wrote:

Les variables qui s’incrementent en tableau dynamique, tu peux essayer de les renommer en leur donnant un nom distinct pour chacune d’elles.

Salut Nicolas!

Je comprends pas trop comment faire. 🙁

Tu pourrais me donner un exemple avec un bw pour voir?

laurenzo

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05/12/2017 at 2:13 PM #35328

Nicolas

J’ai bien regardé et ça ne fonctionne pas ici, car tes variables bw0, bw1 et bw2 doivent toutes bien s’incrémenter avec j qui est dynamique … 🙁

1 user thanked author for this post.

laurenzo

Nicolas

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05/12/2017 at 3:48 PM #35342

laurenzo

Merci pour ta réponse.

Dommage 🙁

laurenzo

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05/14/2017 at 3:55 PM #35489

laurenzo

One More Average

// OMA - One More Average

// --- parameters
Series = CustomClose

// Period = 20
Adaptive = 1
Sensibility = 1
//--------

Period = MAX(Period, 1)
Sensibility = MAX(Sensibility, -1.5)

Data = Average[1](Series)
averagePeriod = Period

IF BarIndex < Period THEN
    OMA = Series
ELSE

    IF Adaptive = 1 AND averagePeriod > 1 THEN
        minPeriod = averagePeriod / 2.0
        maxPeriod = minPeriod * 5.0
        endPeriod = ROUND(maxPeriod)
        signal = ABS((Data - Data[endPeriod]))
        noise = 0.00000000001
        FOR k = 1 TO endPeriod DO
            noise = noise + ABS(Data - Data[k])
            averagePeriod = ROUND(((signal / noise) * (maxPeriod - minPeriod)) + minPeriod)
        NEXT
    ENDIF

    alpha = (2.0 + Sensibility) / (1.0 + Sensibility + averagePeriod)

    e1 = e1 + alpha * (Data - e1)
    e2 = e2 + alpha * (e1 - e2)
    v1 = 1.5 * e1 - 0.5 * e2
    e3 = e3 + alpha * (v1 - e3)
    e4 = e4 + alpha * (e3 - e4)
    v2 = 1.5 * e3 - 0.5 * e4
    e5 = e5 + alpha * (v2 - e5)
    e6 = e6 + alpha * (e5 - e6)
    OMA = 1.5 * e5 - 0.5 * e6

ENDIF

RETURN OMA

// OMA - One More Average

// --- parameters

Series = CustomClose

// Period = 20

Adaptive = 1

Sensibility = 1

//--------

Period = MAX(Period, 1)

Sensibility = MAX(Sensibility, -1.5)

Data = Average[1](Series)

averagePeriod = Period

IF BarIndex < Period THEN

OMA = Series

ELSE

IF Adaptive = 1 AND averagePeriod > 1 THEN

minPeriod = averagePeriod / 2.0

maxPeriod = minPeriod * 5.0

endPeriod = ROUND(maxPeriod)

signal = ABS((Data - Data[endPeriod]))

noise = 0.00000000001

FOR k = 1 TO endPeriod DO

noise = noise + ABS(Data - Data[k])

averagePeriod = ROUND(((signal / noise) * (maxPeriod - minPeriod)) + minPeriod)

ENDIF

alpha = (2.0 + Sensibility) / (1.0 + Sensibility + averagePeriod)

e1 = e1 + alpha * (Data - e1)

e2 = e2 + alpha * (e1 - e2)

v1 = 1.5 * e1 - 0.5 * e2

e3 = e3 + alpha * (v1 - e3)

e4 = e4 + alpha * (e3 - e4)

v2 = 1.5 * e3 - 0.5 * e4

e5 = e5 + alpha * (v2 - e5)

e6 = e6 + alpha * (e5 - e6)

OMA = 1.5 * e5 - 0.5 * e6

ENDIF

RETURN OMA

Voici mon code,

Vous auriez une idée de comment faire pour filtrer les valeurs proches de BarIndex = 0?

Cela fait du méga bruit, c’est même pas la valeur du cours et c’est moche.

J’attache un screen pour vous donner une idée!

laurenzo

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Topics: 15

Replies: 64

Been thanked: 16 times

05/14/2017 at 5:32 PM #35494

Nicolas

Merci Laurenzo, il y a déjà deux indicateurs utilisant la OMA dans la bibliothèque pour info:

https://www.prorealcode.com/prorealtime-indicators/step-one-more-average/

https://www.prorealcode.com/prorealtime-indicators/one-more-average-macd/

Nicolas

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05/15/2017 at 7:43 AM #35528

laurenzo

Merci Nicolas,

En fait l’idée c’était de savoir si quelqu’un avait une idée pour virer le bruit du début sur l’indicateur. 🙂

laurenzo

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05/15/2017 at 7:58 PM #35629

laurenzo

Parabolic weighted MA

// --- parameters
Series = CustomClose
// Period = 20
//--------

Period = MAX(Period, 1)

SumW = Period * Period
Sum = SumW * Series

FOR i = 0 TO Period DO
     Weight = (Period - i) * (Period - i)
     SumW = SumW + Weight
     Sum = Sum + Weight * Series[i]
NEXT

RETURN Sum / SumW

// --- parameters

Series = CustomClose

// Period = 20

//--------

Period = MAX(Period, 1)

SumW = Period * Period

Sum = SumW * Series

FOR i = 0 TO Period DO

Weight = (Period - i) * (Period - i)

SumW = SumW + Weight

Sum = Sum + Weight * Series[i]

RETURN Sum / SumW

ça doit être sûrement ça!

laurenzo

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05/15/2017 at 9:02 PM #35641

Nicolas

Le bruit que tu observes est à la ligne 18 de ton code. En général j’attends qu’il y est assez de barindex pour commencer à tracer les résultats des calculs, voir le code des indicateurs que je t’indique dans mon post précédent.

Nicolas

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Topics: 81

Replies: 20863

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