Sistema de optimización de variables intradia por la curva de ganancia flotante

• 02/19/2018 at 1:52 PM #63150
  Fr7

  sistema

  DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada DEFPARAM FLATBEFORE = 100000 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 173000 // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 c70=not daysForbiddenEntry if intradaybarindex = 0 then p=0 m=0 pp=0 mm=0 equitycurve = 0 endif // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 //variables //equitycurve = undefined p=undefined m=undefined pp=undefined mm=undefined //indicators i1 = average[p,m](close) i2 = average[pp,mm](close) //equitycurve = average[curveperiod](strategyprofit) //trades conditions long = i1 crosses over i2 short = i1 crosses under i2 //mydays variable incrementing to let the average curve build over time //if date > olddate then //mydays=mydays+1 //olddate = date //endif start=070000 end=100000 c69=(time>start and time<end) //trades when the curve has built if not onmarket then mystrategyprofit=strategyprofit and c69 elsif long then mystrategyprofit=strategyprofit+(close-tradeprice)/pointsize*pointvalue*countoflongshares elsif short then mystrategyprofit=strategyprofit+(tradeprice-close)/pointsize*pointvalue*countofshortshares endif //equitycurve = exponentialaverage[a](mystrategyprofit) if strategyprofit>=equitycurve then p=p pp=pp m=m mm=mm endif GRAPH mystrategyprofit as "strategy profit" GRAPH equitycurve coloured(255,0,0) as "profit curve" IF long AND strategyprofit>=equitycurve and c70 THEN BUY 1 CONTRACTS AT MARKET ENDIF //exit positions IF short THEN SELL AT MARKET ENDIF

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  DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada DEFPARAM FLATBEFORE = 100000 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 173000   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 c70=not daysForbiddenEntry if intradaybarindex = 0 then p=0 m=0 pp=0 mm=0 equitycurve = 0 endif     // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 //variables //equitycurve = undefined p=undefined m=undefined pp=undefined mm=undefined   //indicators i1 = average[p,m](close) i2 = average[pp,mm](close) //equitycurve = average[curveperiod](strategyprofit)   //trades conditions long = i1 crosses over i2 short = i1 crosses under i2   //mydays variable incrementing to let the average curve build over time //if date > olddate then //mydays=mydays+1 //olddate = date //endif start=070000 end=100000 c69=(time>start and time<end) //trades when the curve has built   if not onmarket then mystrategyprofit=strategyprofit and c69 elsif  long then mystrategyprofit=strategyprofit+(close-tradeprice)/pointsize*pointvalue*countoflongshares elsif   short  then mystrategyprofit=strategyprofit+(tradeprice-close)/pointsize*pointvalue*countofshortshares endif   //equitycurve = exponentialaverage[a](mystrategyprofit) if strategyprofit>=equitycurve then p=p pp=pp m=m mm=mm endif GRAPH mystrategyprofit as "strategy profit" GRAPH equitycurve coloured(255,0,0) as "profit curve" IF  long AND strategyprofit>=equitycurve  and c70   THEN BUY 1 CONTRACTS AT MARKET ENDIF //exit positions IF short THEN SELL AT MARKET ENDIF

  Hola Nicolás,

  ¿Es posible realizar un sistema intradía que calcule las variables óptimas en un cruce de medias cuando la ganancia flotante sea positiva?

  El sistema consistiría en  un cruce de medias que calcularía en la curva flotante las variables desde las 7:00 horas hasta las 10:00 horas y en caso de que la ganancia flotante fuera positiva establecería esas variables en el sistema  a partir de las 10:00 horas a 22:00 horas.Al siguiente día se volvería a establecer nuevas variables.

  He tratado de programarlo pero no he podido…. a ver si me puede ayudar a corregir el código .

  

  Fr7

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  02/22/2018 at 2:26 PM #63521
  Fr7

  Hola Nicolás, sé que está muy ocupado. Pero me gustaría saber si es posible hacer el sistema.

   

  

  Fr7

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  Topics: 50

  Replies: 160

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