Inserimento filtro volatilità ATR

• 12/19/2017 at 4:12 PM #56080
  Billy Ray Valentine

  Salve,

  avendo questo sistema che lavora sul Dow Jones:

  ADX e Media Mobile

  MMlungo= Average[200] MMcorto= Average[5] MyAdx = ADX[5] // posizione Long If close > mmlungo and close < mmcorto and myadx > 35 then buy at lowest[2](low) LIMIT endif if close > mmcorto then sell at market endif // posizione Short If close < mmlungo and close > mmcorto and myadx > 35 then sellshort at highest[2](high) LIMIT endif if close < mmcorto then exitshort at market endif

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  MMlungo= Average[200] MMcorto= Average[5] MyAdx = ADX[5] // posizione Long If close > mmlungo and close < mmcorto and myadx > 35 then buy at lowest[2](low) LIMIT endif if close > mmcorto then sell at market endif // posizione Short If close < mmlungo and close > mmcorto and myadx > 35 then sellshort at highest[2](high) LIMIT endif if close < mmcorto then exitshort at market endif

  sarebbe possibile aggiungere un filtro di volatilità tramite l’ATR?

  Nel dettaglio, si richiede che il filtro faccia attivare il sistema principale quando si caratterizza un valore dell’ATR a 5 periodi inferiore al valore dell’ATR a 10 periodi (valori ovviamente cambiabili a piacimento).

  Grazie in anticipo.

  

  Billy Ray Valentine

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  12/20/2017 at 7:00 PM #56162
  robertogozzi

  Prova il TS con queste aggiunte:

  MMlungo= Average[200] MMcorto= Average[5] MyAdx = ADX[5] MyAtr5 = AverageTrueRange[5](close) MyAtr10 = AverageTrueRange[10](close) MyAtr = MyAtr5 < MyAtr10 // posizione Long If close > mmlungo and close < mmcorto and myadx > 35 AND MyAtr then buy at lowest[2](low) LIMIT endif if close > mmcorto then sell at market endif // posizione Short If close < mmlungo and close > mmcorto and myadx > 35 AND MyAtr then sellshort at highest[2](high) LIMIT endif if close < mmcorto then exitshort at market endif

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  MMlungo= Average[200] MMcorto= Average[5] MyAdx = ADX[5] MyAtr5 = AverageTrueRange[5](close) MyAtr10 = AverageTrueRange[10](close) MyAtr = MyAtr5 < MyAtr10 // posizione Long If close > mmlungo and close < mmcorto and myadx > 35 AND MyAtr then    buy at lowest[2](low) LIMIT endif if close > mmcorto then    sell at market endif // posizione Short If close < mmlungo and close > mmcorto and myadx > 35 AND MyAtr then    sellshort at highest[2](high) LIMIT endif if close < mmcorto then    exitshort at market endif

  Ho inserito i due ATR ed ho aggiunto un AND MyAtr alle righe dove entri Long e Short.

  Roberto

  

  robertogozzi

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  12/20/2017 at 8:47 PM #56174
  Billy Ray Valentine

  Grazie Roberto, ti chiedo un’ultima cosa:

  è possibile inserire dei parametri orari, da poter modificare a piacimento, in cui far funzionare il ts?

  

  Billy Ray Valentine

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  12/21/2017 at 12:22 AM #56189
  robertogozzi

  Si, vedi come l’ho modificato:

  IF time >= 090000 OR time <= 180000 THEN //Attivo solo dalle 9 alle 18 Operativita = 1 ELSE Operativita = 0 ENDIF MMlungo= Average[200] MMcorto= Average[5] MyAdx = ADX[5] MyAtr5 = AverageTrueRange[5](close) MyAtr10 = AverageTrueRange[10](close) MyAtr = MyAtr5 < MyAtr10 // posizione Long If close > mmlungo and close < mmcorto and myadx > 35 AND MyAtr AND Operativita then buy at lowest[2](low) LIMIT endif if close > mmcorto then sell at market endif // posizione Short If close < mmlungo and close > mmcorto and myadx > 35 AND MyAtr AND Operativita then sellshort at highest[2](high) LIMIT endif if close < mmcorto then exitshort at market endif

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  IF time >= 090000 OR time <= 180000 THEN    //Attivo solo dalle 9 alle 18    Operativita = 1 ELSE    Operativita = 0 ENDIF MMlungo= Average[200] MMcorto= Average[5] MyAdx = ADX[5] MyAtr5 = AverageTrueRange[5](close) MyAtr10 = AverageTrueRange[10](close) MyAtr = MyAtr5 < MyAtr10 // posizione Long If close > mmlungo and close < mmcorto and myadx > 35 AND MyAtr AND Operativita then    buy at lowest[2](low) LIMIT endif if close > mmcorto then    sell at market endif // posizione Short If close < mmlungo and close > mmcorto and myadx > 35 AND MyAtr AND Operativita then    sellshort at highest[2](high) LIMIT endif if close < mmcorto then    exitshort at market endif

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  Billy Ray Valentine

  

  robertogozzi

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  12/21/2017 at 11:36 AM #56241
  Billy Ray Valentine

  Grazie mille 🙂

  

  Billy Ray Valentine

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