Übersetzung von Strategien in Easy Language

• 06/12/2018 at 11:34 AM #72988
  Marc

  Hallo Zusammen,

  ich habe einen Basket an verschiedenen EA’s die in Equilla geschrieben wurden. Kann einer von euch helfen diese in Easy Language zu portieren?
  Ein Test der Strategien in Kombination hat dort eine schöne Ertragskurve ergeben und mich würde interessieren, ob dies hier auch der Fall wäre.
  Gerne poste ich im Anschluss die Settings, die ich für diverse Underlyings benutze.

  Hier die jeweiligen Codes der Strategien:

  Fractal Adaptive Band Breakout:

  Inputs: Preis( (H+L) / 2 ), N( 16, 1 ), // Must be even Standardabweichung( 2.0, 0.0 ), TrailAmount( 0.5 ), Visuals( False ); Variables: mean, Abweichung, unteresBand, oberesBand; mean = FRAMA( Preis, N ); Abweichung = Standardabweichung( mean, N ); unteresBand = mean - Standardabweichung * Abweichung; oberesBand = mean + Standardabweichung * Abweichung; If CurrentBar > 1 Then If Low Crosses Over unteresBand Then Buy Next Bar at unteresBand Stop Else If High Crosses Under oberesBand Then Short Next Bar at oberesBand Stop; SetStopMode( ModeShare ); SetStopProfitTrailing( TrailAmount ); SetStopProfitTarget( 3 * TrailAmount ); If Visuals Then DrawArea( oberesBand, unteresBand, "BandOben", "BandUnten", TransparentColor( LightGray, 100 ), Transparent, Transparent );

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  Inputs: Preis( (H+L) / 2 ), N( 16, 1 ), // Must be even Standardabweichung( 2.0, 0.0 ), TrailAmount( 0.5 ), Visuals( False ); Variables: mean, Abweichung, unteresBand, oberesBand;   mean = FRAMA( Preis, N ); Abweichung = Standardabweichung( mean, N );   unteresBand = mean - Standardabweichung * Abweichung; oberesBand = mean + Standardabweichung * Abweichung;   If CurrentBar > 1 Then If Low Crosses Over unteresBand Then Buy Next Bar at unteresBand Stop Else If High Crosses Under oberesBand Then Short Next Bar at oberesBand Stop; SetStopMode( ModeShare ); SetStopProfitTrailing( TrailAmount ); SetStopProfitTarget( 3 * TrailAmount );   If Visuals Then DrawArea( oberesBand, unteresBand, "BandOben", "BandUnten", TransparentColor( LightGray, 100 ), Transparent, Transparent );

  Relative Strength Index Zone System:

  Inputs: Price( Close ), Period( 14, 1 ), OverBought( 70, 0, 100 ), OverSold( 30, 0, 100 ), Bullish( LongEntry, ShortExit, NoBullishSignal ) = LongEntry, Bearish( LongExit, ShortEntry, NoBearishSignal ) = LongExit; Variables: rsiVal; rsiVal = RSI( Price, Period ); If Bullish <> NoBullishSignal Then If rsiVal Crosses Over OverSold Then If Bullish = LongEntry Then Buy Next Bar at Market Else If Bullish = ShortExit Then Cover Next Bar at Market; If Bearish <> NoBearishSignal Then If rsiVal Crosses Under OverBought Then If Bearish = LongExit Then Sell Next Bar at Market Else If Bearish = ShortEntry Then Short Next Bar at Market;

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  Inputs: Price( Close ), Period( 14, 1 ), OverBought( 70, 0, 100 ), OverSold( 30, 0, 100 ), Bullish( LongEntry, ShortExit, NoBullishSignal ) = LongEntry, Bearish( LongExit, ShortEntry, NoBearishSignal ) = LongExit;   Variables: rsiVal;   rsiVal = RSI( Price, Period );   If Bullish <> NoBullishSignal Then If rsiVal Crosses Over OverSold Then If Bullish = LongEntry Then Buy Next Bar at Market Else If Bullish = ShortExit Then Cover Next Bar at Market;   If Bearish <> NoBearishSignal Then If rsiVal Crosses Under OverBought Then If Bearish = LongExit Then Sell Next Bar at Market Else If Bearish = ShortEntry Then Short Next Bar at Market;

  Relative Strength Levy:

  Inputs: Preis( Close ), Period( 14, 1 ), EntryMethod( LongEinstieg, ShortEinstieg, Both ) = Both; Variables: result, LongSignal, ShortSignal, PivotValue(1); result = RSL( Preis, Period ); LongSignal = ( result Crosses Over PivotValue ) And ( EntryMethod <> ShortEinstieg ); ShortSignal = ( result Crosses Under PivotValue ) And ( EntryMethod <> LongEinstieg ); If LongSignal Then Buy( "RSLevy" ) Next Bar at Market Else If ShortSignal Then Short( "RSLevy" ) Next Bar at Market;

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  Inputs: Preis( Close ), Period( 14, 1 ), EntryMethod( LongEinstieg, ShortEinstieg, Both ) = Both; Variables: result, LongSignal, ShortSignal, PivotValue(1);   result = RSL( Preis, Period );   LongSignal = ( result Crosses Over PivotValue ) And ( EntryMethod <> ShortEinstieg ); ShortSignal = ( result Crosses Under PivotValue ) And ( EntryMethod <> LongEinstieg );   If LongSignal Then Buy( "RSLevy" ) Next Bar at Market Else If ShortSignal Then Short( "RSLevy" ) Next Bar at Market;

  Ulcer Index:

  Inputs: Price( Close ), Period( 10, 1 ), LookBack( 2, 1 ), EntryMethod( LongEntry, ShortEntry, Both ) = Both; Variables: result, longSig, shortSig; result = UlcerIndex( Price, Period ); longSig = ( result > result[LookBack] ) And ( Close > Open ) And ( EntryMethod <> ShortEntry ); shortSig = ( result > result[LookBack] ) And ( Close < Open ) And ( EntryMethod <> LongEntry ); If longSig Then Buy( "Ulcer" ) Next Bar at Market Else If shortSig Then Short( "Ulcer" ) Next Bar at Market;

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  Inputs: Price( Close ), Period( 10, 1 ), LookBack( 2, 1 ), EntryMethod( LongEntry, ShortEntry, Both ) = Both; Variables: result, longSig, shortSig;   result = UlcerIndex( Price, Period );   longSig = ( result > result[LookBack] ) And ( Close > Open ) And ( EntryMethod <> ShortEntry ); shortSig = ( result > result[LookBack] ) And ( Close < Open ) And ( EntryMethod <> LongEntry );   If longSig Then Buy( "Ulcer" ) Next Bar at Market Else If shortSig Then Short( "Ulcer" ) Next Bar at Market;

  Vielen Dank die Hilfe im Voraus

  Marc

  

  Marc

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  06/12/2018 at 11:36 AM #72989
  Marc

  Am Ende des Tages, sollen diese Strategien kombiniert miteinander genutzt werden können (am besten als ein kompletter EA).

  

  Marc

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  06/12/2018 at 12:24 PM #72996
  Nicolas

  Hallo, danke für diese Codes, lass mich schauen, wie ich sie für prorealtime genau konvertieren kann…

  

  Nicolas

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  06/12/2018 at 12:32 PM #72998
  Marc

  Hallo Nicolas,

  danke für Deine Rückmeldung.

  Ich poste einfach mal hier die Equitykurve bzw. den 3 Jahres EoD Backtest als Screenshot. Ich hoffe nicht, dass die Arbeit umsonst ist.

   

  VG und Danke Marc

   

  

  Marc

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  06/12/2018 at 12:42 PM #73001
  Nicolas

  Nur um klar zu sein, ich werde diese Strategien für ProRealTime übersetzen. Ich stelle hier keinen EasyLanguage Programmiercode zur Verfügung !!

  Ist diese Eigenkapitalkurve das Ergebnis aller kombinierten Strategien? Nur für Bund im täglichen Zeitraum?

  

  Nicolas

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  06/12/2018 at 12:52 PM #73003
  Marc

  Hallo Nicolas,

  die Equitykurve bildet das Ergebnis des rollierenden Bund Future im täglichen Zeitraum, in Form aller kombinierten Strategien,  ab.

  Die Übersetzung in Prorealtime wäre super.  Sofern die Möglichkeit besteht die Parameter zu ergänzen und das hier über PRT laufen zu lassen bzw. zu testen wäre das perfekt.

  LG Marc

  

  Marc

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  06/12/2018 at 2:06 PM #73015
  Nicolas

  Dies ist die erste Strategie, die Breakouts der FRAMA-Bänder.

  Fractal Adaptive Band Breakout

  defparam cumulateorders=false //Fractal Adaptive Band Breakout N = 16 StandardDev = 2.0 TrailAmount = 0.5 //FRAMA pri=medianprice len=N N3=(Highest[len](High)-Lowest[len](Low))/len mH=High L=Low For count=0 To len/2-1 If High[count] > mH Then mH=High[count] Endif If Low[count] < L Then L=Low[count] Endif Next N1=(mH-L)/(len/2) HH=High[len/2] LL=Low[len/2] For count=len/2 To len-1 If High[count] > HH Then HH=High[count] Endif If Low[count] < LL Then LL=Low[count] Endif Next N2=(HH-LL)/(len/2) If N1 > 0 And N2 > 0 And N3 > 0 Then Dimen=(Log(N1+N2)-Log(N3))/Log(2) Endif alpha=Exp(-4.6*(Dimen-1)) If alpha < 0.01 Then alpha=0.01 Endif If alpha > 1 Then alpha=1 Endif Filt=alpha*pri+(1-alpha)*Filt[1] //If Barindex < len+1 Then //Filt=pri //Endif stddev = std[N](Filt) lowerband = Filt-stddev*StandardDev upperband = Filt+stddev*StandardDev if low crosses over lowerband then buy 1 contract at lowerband stop elsif high crosses under upperband then sellshort 1 contract at upperband stop endif set stop trailing TrailAmount set target profit TrailAmount*3

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  defparam cumulateorders=false   //Fractal Adaptive Band Breakout   N = 16 StandardDev = 2.0 TrailAmount = 0.5   //FRAMA pri=medianprice len=N N3=(Highest[len](High)-Lowest[len](Low))/len mH=High L=Low For count=0 To len/2-1 If High[count] > mH Then mH=High[count] Endif If Low[count] < L Then L=Low[count] Endif Next N1=(mH-L)/(len/2) HH=High[len/2] LL=Low[len/2] For count=len/2 To len-1 If High[count] > HH Then HH=High[count] Endif If Low[count] < LL Then LL=Low[count] Endif Next N2=(HH-LL)/(len/2) If N1 > 0 And N2 > 0 And N3 > 0 Then Dimen=(Log(N1+N2)-Log(N3))/Log(2) Endif alpha=Exp(-4.6*(Dimen-1)) If alpha < 0.01 Then alpha=0.01 Endif If alpha > 1 Then alpha=1 Endif Filt=alpha*pri+(1-alpha)*Filt[1] //If Barindex < len+1 Then //Filt=pri //Endif   stddev = std[N](Filt) lowerband = Filt-stddev*StandardDev upperband = Filt+stddev*StandardDev   if low crosses over lowerband then buy 1 contract at lowerband stop elsif high crosses under upperband then sellshort 1 contract at upperband stop endif   set stop trailing TrailAmount set target profit TrailAmount*3

   

  

  Nicolas

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  06/12/2018 at 2:22 PM #73025
  Marc

  Dankeschön für den ersten Teil 🙂

   

  Ich poste heute Abend mal meine Settings für EURUSD, BUND, DAX, Gold und WTI dazu..

  

  Marc

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  06/12/2018 at 10:44 PM #73041
  Marc

  Hallo Zusammen,

  anbei die Settings die ich für profitabel erachtet habe:
  EURUSD: N = 28   StandardDev = 0.13   TrailAmount = 0.15
  DAX: N = 4   StandardDev = 0.50   TrailAmount = 69
  WTI Crude: N = 4   StandardDev = 0.50   TrailAmount = 69
  Gold: N = 3   StandardDev = 3   TrailAmount = 9
  Euro-Bund: N = 2   StandardDev = 4.0   TrailAmount = 69

   

  
  @Nicolas:
  Könntest Du bei den anderen 3 Strategien ebenfalls helfen?

  VG und Danke
  Marc

  

  Marc

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  06/13/2018 at 1:00 PM #73094
  Nicolas

  Natürlich! So bald wie möglich !! 🙂

  1 user thanked author for this post.

  Marc

  

  Nicolas

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  06/14/2018 at 9:15 AM #73152
  Marc

  Hallo Zusammen,

  hier mal ein Backtest mit dem DAX auf täglicher Basis.
  Eine Frage hierzu. Ich nutze noch keine Realtime-Daten und habe entsprechend keine Tick-by-Tick-Daten. Ist dies relevant für das Ergebnis, oder sind diese Ergebnisse aussagekräftig?

  VG und Danke

  Marc

  

  Marc

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  Topics: 12

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  06/14/2018 at 10:34 AM #73174
  Nicolas

  Da es einen Trailing Stop gibt, der während eines Balkens auftreten kann, sind die Tick-by-Tick-Daten für diese Art von Analyse unbedingt erforderlich! Die Ergebnisse können sich in diesem Fall stark vom tatsächlichen Handel unterscheiden.

  

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  06/14/2018 at 10:40 AM #73175
  Nicolas

  Nachstehend finden Sie das Relative-Stärke-Index-Zonensystem:

  Relative Strength Index zone system

  Price=Close Period=14 OverBought=70 OverSold=30 Bullish = 1 //LongEntry=1, ShortExit=2, NoBullishSignal=3 Bearish = 1 //LongExit=1, ShortEntry=2, NoBearishSignal=3 rsiVal = RSI[Period](Price) If Bullish <> 3 Then If rsiVal Crosses Over OverSold Then If Bullish = 1 Then Buy at Market ElsIf Bullish = 2 Then exitshort at Market endif endif endif If Bearish <> 3 Then If rsiVal Crosses Under OverBought Then If Bearish = 1 Then Sell at Market ElsIf Bearish = 2 Then sellShort at Market endif endif endif

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  Price=Close Period=14 OverBought=70 OverSold=30   Bullish = 1 //LongEntry=1, ShortExit=2, NoBullishSignal=3 Bearish = 1 //LongExit=1, ShortEntry=2, NoBearishSignal=3   rsiVal = RSI[Period](Price) If Bullish <> 3 Then If rsiVal Crosses Over OverSold Then If Bullish = 1 Then Buy at Market ElsIf Bullish = 2 Then exitshort at Market endif endif endif If Bearish <> 3 Then If rsiVal Crosses Under OverBought Then If Bearish = 1 Then Sell at Market ElsIf Bearish = 2 Then sellShort at Market endif endif endif

   

  

  Nicolas

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  06/14/2018 at 3:49 PM #73218
  Marc

  Danke Dir mein lieber…

  Die Settings hierfür sind bei mir wie folgt:
  EURUSD: Price: Close Period: 2 OverBought: 95 OverSold: 10
  DAX: Price: Open Period: 2 OverBought: 95 OverSold: 3
  WTI Crude: Price: Open Period: 2 OverBought: 70 OverSold: 30
  Gold: Price: Close Period: 2 OverBought: 98 OverSold: 2
  Euro-Bund: Price: Close Period: 3 OverBought: 90 OverSold: 14

  

  Marc

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  06/15/2018 at 8:08 AM #73266
  Nicolas

  Die Relative Strength Levy-Strategie:

  Relative Strength Levy

  Preis= Close Period= 14 LongEinstieg=1 //1=true ; 0=false ShortEinstieg=1//1=true ; 0=false PivotValue = 1 result = Preis/average[period] //RSL LongSignal = ( result Crosses Over PivotValue ) And ( LongEinstieg=1 ) ShortSignal = ( result Crosses Under PivotValue ) And ( ShortEinstieg=1 ) If LongSignal Then Buy at Market ElsIf ShortSignal Then sellShort at Market endif

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  Preis= Close Period= 14 LongEinstieg=1 //1=true ; 0=false ShortEinstieg=1//1=true ; 0=false PivotValue = 1    result = Preis/average[period] //RSL   LongSignal = ( result Crosses Over PivotValue ) And ( LongEinstieg=1 ) ShortSignal = ( result Crosses Under PivotValue ) And ( ShortEinstieg=1 )   If LongSignal Then Buy at Market ElsIf ShortSignal Then sellShort at Market endif

   

  

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