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Requests & Ideas - page 18

san4x
324
san4x  
mcspooge:
Hi chaps.

I was wondering if anyone has any tick data in HST format that they could upload?

I want to do some backtesting on the M1 timeframe with the highest possible modelling quality.

I've tried downloading some data in CSV format but can't get it to work.

Thx

You can download tick history data at Dukascopy.

If you want to know more about testing using tickdata, have a look here, excellent resource and instructions:

MT4 Tick data | Birt's EA review

Cheers, San.

Mladen Rakic
162718
Mladen Rakic  

Fudo

As far as price and shift, this one should do it

As far as the period is concerned, the problem is that digital filters are generated differently. Here is something that you can play with. It is based on Sergey Iljukhins dll's to generate digital filters. The drag is that they (the dll's) must be placed in windows\system32 (for some reason they do not work if placed in experts\libraries folder). With this you can get the feeling how digital filters work in metatrader
PS: just in short - for FilterType 0 P1 must be > D1, for filter type 1 P1 must be < D1

PPS: a quick comparison of Digital filter with P1=75,D1=60 and A1=50 with RSTL (just imagine it shifted )

regards

Mladen

Fudomyo:
Would it be possible to add functionality to the RSTL Indicator for MA Period, Shift, and Price Mode? Thanks
biddick
339
biddick  

Mladen ,

Can you modify (CFB adaptive) Chande's Trendscore indicator : https://www.mql5.com/en/forum/177469 with Jurik CFB? I think adaptive Trendscore indicator might be an interesting indicator.Thanks

Fudomyo
89
Fudomyo  

Thanks. This looks interesting. I tested a couple of digital filter generators a while back which would create mq4s, but it wasn't possible to modify the waveform in MT4.

With the dlls you posted can an indicator access the dll from MT4 or does it work on the same priciple of creating the filters externally and then installing them?

mladen:
Fudo

As far as price and shift, this one should do it

As far as the period is concerned, the problem is that digital filters are generated differently. Here is something that you can play with. It is based on Sergey Iljukhins dll's to generate digital filters. The drag is that they (the dll's) must be placed in windows\system32 (for some reason they do not work if placed in experts\libraries folder). With this you can get the feeling how digital filters work in metatrader
PS: just in short - for FilterType 0 P1 must be > D1, for filter type 1 P1 must be < D1

PPS: a quick comparison of Digital filter with P1=75,D1=60 and A1=50 with RSTL (just imagine it shifted )

regards Mladen
Mladen Rakic
162718
Mladen Rakic  

Fudo,

It creates an array of "coefficients" when initialized and then uses them in calculation - so it is much better than having to create a separate indicator and the principle is almost the same (without the need to generate a new indicator, of course)

_______________________

This part is the part of your interest :

FilterSize=DigitalFilter(FilterType, P1, D1, A1, P2, D2, A2, Ripple, Delay, Filter); if (FilterSize>0) ArrayResize(Filter,FilterSize+1);

It fills the Filter array with filter coefficients depending on parameters and returns the size of the filter (as you may have noticed RSTL (the one you posted) has 99 such coefficients) The size and the number of coefficients depends on parameters (hence the resizing part - in this case it makes the array smaller simply not to occupy unnecessary memory)

In general, increasing D1 parameter increases the Filter array size and coefficients number (but it depends on all usable parameters, so there is no simple rule what will the size of filter array be in the end

regards

Mladen

Fudomyo:
Thanks. This looks interesting. I tested a couple of digital filter generators a while back which would create mq4s, but it wasn't possible to modify the waveform in MT4. With the dlls you posted can an indicator access the dll from MT4 or does it work on the same priciple of creating the filters externally and then installing them?
Fudomyo
89
Fudomyo  

This sounds perfect!

I'm going to set it up this weekend when I have more time to play with it.

If I come up with something interesting I'll post it here

Thanks,

Fudo

mladen:
Fudo,

It creates an array of "coefficients" when initialized and then uses them in calculation - so it is much better than having to create a separate indicator and the principle is almost the same (without the need to generate a new indicator, of course)

_______________________

This part is the part of your interest :

FilterSize=DigitalFilter(FilterType, P1, D1, A1, P2, D2, A2, Ripple, Delay, Filter); if (FilterSize>0) ArrayResize(Filter,FilterSize+1);

It fills the Filter array with filter coefficients depending on parameters and returns the size of the filter (as you may have noticed RSTL (the one you posted) has 99 such coefficients) The size and the number of coefficients depends on parameters (hence the resizing part - in this case it makes the array smaller simply not to occupy unnecessary memory)

In general, increasing D1 parameter increases the Filter array size and coefficients number (but it depends on all usable parameters, so there is no simple rule what will the size of filter array be in the end

regards

Mladen
adeo
118
adeo  

Digital Filters & Timeframes

After reviewing the tremendous amount of digital filter work done by so many, I have observed corrective / retracement moves on every timeframe.

The distribution of these moves is too skewed to be a normal distribution; therefore, I have deduced that they are market responses.

I have not been able to locate any work done using, for lack of a better term, 'synthetic' bars or candles. Does anyone know of efforts to 'redefine' the bar length such that they could be used in MT4? For example, my intuition is that many (good) trading strategies that are marginal would be much improved if there were, say, 43 minutes in a bar instead of 60. Why? If the bulk of automated trading solutions use 'canned' periods, there *could* result an alias (or response) to the universe of trade actions taken based on 'common' timeframes. Said another way, I think more sophisticated trading algorithms 'know' that MAs and filters are used on 'standard' timeframes. The lags associated with these filters and MAs (with a trigger) is on the order of 4-6 bars. Therefore, supply and demand are 'altered' to take advantage of this structural norm. True, some of these retracements may be the result of market forces (over-bought and over-sold), but the action coupled with observation of the abrupt halt in liquidity at key prices and news events further convinces me that the retracements are normal action of sophisticated, 'quant' algorithms...a constant and ongoing profit opportunity.

I notice some elements of this capability in igorad's fine work with the tick-based offerings. However, I cannot PM him and he did not answer a direct email. Simba's preference fo CRBs is very interesting as it addresses this issue from a different approach - I'll be reviewing CRBs with great interest.

Having said all that, can anyone share information related to creating and/or using 'synthetic' bars in MT4?

Fudomyo
89
Fudomyo  

... figured it out

mcspooge
25
mcspooge  
Snowski:
You can download tick history data at Dukascopy.

If you want to know more about testing using tickdata, have a look here, excellent resource and instructions:

MT4 Tick data | Birt's EA review

Cheers, San.

Thanks for the link San but I already checked that out and unfotunately I can't get it to work

Also I read that there are alot of errors in the Dukascopy data.

I was hoping someone here could upload a good quality HST file for EURUSD .My understanding is I can just copy it to the MT4 directory then open it "offline" . Then use that data for backtesting.

Will that work doing it that way?

Thx

Mladen Rakic
162718
Mladen Rakic  

altoronto

You posted a request for this at the elite section

I am posting the indicator here (simply because the original one is a part of advanced elite)
regards

Mladen

altoronto:
Mladen, can you make MTF version of it as well? Thank you in advance.