problema con una strategia a candela pattern

• 12/19/2020 at 2:41 AM #154376
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  DEFPARAM CumulateOrders = false DEFPARAM FLATBEFORE = 000000 DEFPARAM FLATAFTER = 000000 c5= adx[5]> 20 //********************************************************************** // engulfing pattern rialzista (anche reversal day) C1=range[0]>=range[1] AND close[1]<open[1] AND close[0]>open[0] AND open[0]<=close[1] AND close[0]>=open[1]AND range[0]>averagetruerange[ B ](close)*1 // engulfing pattern ribassista (anche reversal day) C2=range[0]>=range[1] AND close[1]>open[1] AND close[0]<open[0] AND open[0]>=close[1] AND close[0]<=open[1]AND range[0]>averagetruerange[ C ](close)*1 //********************************************************************** // hammer rialzista C3 = close[1]<open[1] AND open[0]>low[0]+(range*0.66) AND close[0]>low[0]+(range*0.66) AND range[0]>abs(open-close)*4 AND low[0]<low[1] AND range[0]>averagetruerange[ D ](close)*1 // shooting star ribassista C4 = close[1]>open[1] AND open[0]<high[0]-(range*0.66) AND close[0]<high[0]-(range*0.66) AND range[0]>abs(open-close)*4 AND high[0]>high[1] AND range[0]>averagetruerange[ E ](close)*1 //********************************************************************** IF Not OnMarket [( C1 OR C3) AND C5] THEN BUY 1 CONTRACT AT MARKET ENDIF IF Not OnMarket [( C2 OR C4) AND C5] THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF SET STOP pLOSS 50 SET TARGET pPROFIT 100

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  DEFPARAM CumulateOrders = false DEFPARAM FLATBEFORE = 000000 DEFPARAM FLATAFTER = 000000 c5= adx[5]> 20 //********************************************************************** // engulfing pattern rialzista (anche reversal day) C1=range[0]>=range[1] AND close[1]<open[1] AND close[0]>open[0] AND open[0]<=close[1] AND close[0]>=open[1]AND range[0]>averagetruerange[ B ](close)*1 // engulfing pattern ribassista (anche reversal day) C2=range[0]>=range[1] AND close[1]>open[1] AND close[0]<open[0] AND open[0]>=close[1] AND close[0]<=open[1]AND range[0]>averagetruerange[ C ](close)*1 //********************************************************************** // hammer rialzista C3 = close[1]<open[1] AND open[0]>low[0]+(range*0.66) AND close[0]>low[0]+(range*0.66) AND range[0]>abs(open-close)*4 AND low[0]<low[1] AND range[0]>averagetruerange[ D ](close)*1 // shooting star ribassista C4 = close[1]>open[1] AND open[0]<high[0]-(range*0.66) AND close[0]<high[0]-(range*0.66) AND range[0]>abs(open-close)*4 AND high[0]>high[1] AND range[0]>averagetruerange[ E ](close)*1 //********************************************************************** IF  Not OnMarket [( C1 OR C3) AND C5] THEN BUY 1 CONTRACT AT MARKET ENDIF   IF  Not OnMarket [( C2 OR C4) AND C5] THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   SET STOP   pLOSS    50 SET TARGET pPROFIT  100

  Ciao Roberto,  per favore potresti scoprire cosa non va? Il sistema  gira, ma non apre e non chiude posizioni.

  Se invece lo divido in due parti, C1 e C2,— C3 e C4, allora vanno entrambi, con TF h1 su 1k

  Grazie e perdona la mia ridotta conoscenza di programmazione

   

   

   

  

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  12/19/2020 at 3:11 AM #154377
  robertogozzi

  Innanzitutto rimuovi (o commenta) le righe 2 e 3, dal momento che non indichi un orario è meglio non  mettere niente, anche perché FLATAFTER=000000 dovrebbe impedire qualunque operatività (non l’ho provato), in quanto qualsiasi orario è > di 000000.

  La linea 16 contiene due errori:

  • manca AND dopo OnMarket
  • NON devi usare le parentesi quadre, ma semplicemente altre tonde, per le espressioni, in quanto con le quadre servono come indice di OnMarket e produrrebbero condizioni sballate, scrivi quella riga (ma anche la 20), così:

  IF  Not OnMarket AND (( C1 OR C3) AND C5) THEN

  1	IF  Not OnMarket AND (( C1 OR C3) AND C5) THEN

   

  

  robertogozzi

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  01/12/2021 at 12:30 AM #157432
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  Ciao Roberto

  vorrei chiederti se su questo sistema si puo’ cambiare qualcosa?

  magari scriverlo in forma piu’ corretta o altro?

  TF usato h1 su uno storico di 1k candele, cioè 3 mesi

  è gia’ live da inizio mese e ogni mese lo vorrei aggiornare per eventuali cambio di valori delle variabili.

  Cosa ne pensi? Grazie

  DEFPARAM CumulateOrders = false c7= adx[5]> A //********************************************************************** // engulfing pattern rialzista (anche reversal day) C1=range[0]>=range[1] AND close[1]<open[1] AND close[0]>open[0] AND open[0]<=close[1] AND close[0]>=open[1]AND range[0]>averagetruerange[ B ](close)*1 // engulfing pattern ribassista (anche reversal day) C2=range[0]>=range[1] AND close[1]>open[1] AND close[0]<open[0] AND open[0]>=close[1] AND close[0]<=open[1]AND range[0]>averagetruerange[ B ](close)*1 //********************************************************************** // hammer rialzista C3 = close[1]<open[1] AND open[0]>low[0]+(range*0.66) AND close[0]>low[0]+(range*0.66) AND range[0]>abs(open-close)*4 AND low[0]<low[1] AND range[0]>averagetruerange[ C ](close)*1 // shooting star ribassista C4 = close[1]>open[1] AND open[0]<high[0]-(range*0.66) AND close[0]<high[0]-(range*0.66) AND range[0]>abs(open-close)*4 AND high[0]>high[1] AND range[0]>averagetruerange[ C ](close)*1 //********************************************************************** // swing point low + one white soldier (rialzista) C5 = close[2]<open[2] AND low[2]>low[1] AND low[0]>low[1] AND close[0]>open[0] AND close[0]>high[1] AND high[2]>high[1] AND high[0]>high[1] AND high[0]>high[2] AND close[0]>open[2] AND close[0]>=low[0]+(range[1]*0.50) AND range[0]>averagetruerange[ D ](close)*1 // swing point high + one white soldier (ribassista) C6 = close[2]>open[2] AND high[2]<high[1] AND high[0]<high[1] AND close[0]<open[0] AND close[0]<low[1] AND low[2]<low[1] AND low[0]<low[1] AND low[0]<low[2] AND close[0]<open[2] AND close[0]<=high[0]-(range[1]*0.50) AND range[0]>averagetruerange[ D ](close)*1 //********************************************************************** IF Not OnMarket AND (( C1 OR C3 OR C5 ) AND C7) THEN BUY 1 CONTRACT AT MARKET ENDIF IF Not OnMarket AND (( C2 OR C4 OR C6 ) AND C7) THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF SET STOP pLOSS S SET TARGET pPROFIT S

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  DEFPARAM CumulateOrders = false   c7= adx[5]> A //********************************************************************** // engulfing pattern rialzista (anche reversal day) C1=range[0]>=range[1] AND close[1]<open[1] AND close[0]>open[0] AND open[0]<=close[1] AND close[0]>=open[1]AND range[0]>averagetruerange[ B ](close)*1 // engulfing pattern ribassista (anche reversal day) C2=range[0]>=range[1] AND close[1]>open[1] AND close[0]<open[0] AND open[0]>=close[1] AND close[0]<=open[1]AND range[0]>averagetruerange[ B ](close)*1 //********************************************************************** // hammer rialzista C3 = close[1]<open[1] AND open[0]>low[0]+(range*0.66) AND close[0]>low[0]+(range*0.66) AND range[0]>abs(open-close)*4 AND low[0]<low[1] AND range[0]>averagetruerange[ C ](close)*1 // shooting star ribassista C4 = close[1]>open[1] AND open[0]<high[0]-(range*0.66) AND close[0]<high[0]-(range*0.66) AND range[0]>abs(open-close)*4 AND high[0]>high[1] AND range[0]>averagetruerange[ C ](close)*1 //********************************************************************** // swing point low + one white soldier (rialzista) C5 = close[2]<open[2] AND low[2]>low[1] AND low[0]>low[1] AND close[0]>open[0] AND close[0]>high[1] AND high[2]>high[1] AND high[0]>high[1] AND high[0]>high[2] AND close[0]>open[2] AND close[0]>=low[0]+(range[1]*0.50) AND range[0]>averagetruerange[ D ](close)*1 // swing point high + one white soldier (ribassista) C6 = close[2]>open[2] AND high[2]<high[1] AND high[0]<high[1] AND close[0]<open[0] AND close[0]<low[1] AND low[2]<low[1] AND low[0]<low[1] AND low[0]<low[2] AND close[0]<open[2] AND close[0]<=high[0]-(range[1]*0.50) AND range[0]>averagetruerange[ D ](close)*1 //**********************************************************************   IF  Not OnMarket AND (( C1 OR C3 OR C5 ) AND C7) THEN BUY 1 CONTRACT AT MARKET ENDIF   IF  Not OnMarket AND (( C2 OR C4 OR C6 ) AND C7) THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   SET STOP   pLOSS    S SET TARGET pPROFIT  S

   

  

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  01/12/2021 at 9:02 AM #157449
  robertogozzi

  Se è profittevole va bene, non entro nel merito. Direi che va bene che tu lo aggiorni con una certa frequenza, specialmente con un backtest così limitato.

  Quando fai i backtest ti consiglio di farli su 200K barre (o almeno 100K), 1K è davvero poco!

  Quanto al codice direi che in generale è abbastanza chiaro, però per il mio modo di programmare (ed anche per rendere l’esecuzione più efficiente) eviterei di mettere tutte quelle condizioni su una sola riga, oltre a rendere il codice più lento ed inefficiente sono anche difficili da individuare chiaramente e, di conseguenza, è più difficile farci eventuali modifiche. A me piace mettere le singole condizioni separatamente e poi, alla fine, farne il riepilogo in una condizione più generale, esempio:

  c1 = .... c2 = .... c3 = .... c4 = .... Cond = c1 AND ((c2 OR c3) AND c4)

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  c1 = .... c2 = .... c3 = .... c4 = .... Cond = c1 AND ((c2 OR c3) AND c4)

   

  

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