Spread trading in Meta Trader - page 144

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Scorp1978 >>:

rid спасибо хорошая идея (от тиков придется тогда отказываться), фильтр от сильных убыточных движений ты имеешь ввиду "если сумарный профит меньше чего то, то закрыть все позиции".......

No. I meant the initial entry - "/if
//the size of the first candle is greater than the set value, no trading is allowed..."

 
Good afternoon to all! Happy Holidays to all who consider the day a holiday!
//---------------------------------------
A question has arisen. Here is a function, which outputs (calculates) the average spread between instruments for the last NBars.
 double CalculateAvarageSpread(string Symbol_1, string Symbol_2,
                              int Timeframe, int NBars)
{
   int k;
   double N = 0;
   double Sum = 0;
   for(k = 0; k < iBars(Symbol_1,Timeframe); k++)
   {
      if(N == NBars)
         break;

      int symb2Shift = iBarShift(Symbol_2,Timeframe,iTime(Symbol_1,Timeframe,k),true);
      if(symb2Shift != -1)
      {
         Sum += iClose(Symbol_1,Timeframe,k) - iClose(Symbol_2,Timeframe,symb2Shift);
         N++;
      }
   }
   double avarageSpread = Sum / N;
   return(avarageSpread);
}
Please tell me how to set
//-------------
int k;
double N = 0; double Sum = 0;
for(k = 0; k < iBars(Symbol_1,Timeframe); k++)
{
if(N == NBars)
//------------------------
so that the function returns the average spread value not for all NBars bars,
but for NBars except the last bar.
In other words, I want the latest bar to be excluded from the calculation ! Or even a given number of most recent bars should not be included in the calculation.
Is there any way to "organise" this ?
(In return, I can give a good market entry on Monday, May 3. With a high probability of subsequent profitable closing!)
  
double CalculateAvarageSpread(string Symbol_1, string Symbol_2,
                              int Timeframe, int NBars, int NBarsSkip)
{
   int k;
   double N = 0;
   double Sum = 0;
   if(NBars > iBars(Symbol_1,Timeframe)) NBars=iBars(Symbol_1,Timeframe); // если н больше чем баров на графике то обрезаем
   if(NBarsSkip >= NBars) NBarsSkip=0; // если пропускаем баров больше/равно чем NBars, то ничего не пропускаем
   for(k = NBarsSkip; k < NBars; k++)
   {

      int symb2Shift = iBarShift(Symbol_2,Timeframe,iTime(Symbol_1,Timeframe,k),true);
      if(symb2Shift != -1)
      {
         Sum += iClose(Symbol_1,Timeframe,k) - iClose(Symbol_2,Timeframe,symb2Shift);
         N++;
      }
   }
   double avarageSpread = Sum / N;
   return(avarageSpread);
}
NBarsSkip sets the number of missed bars that will not participate in the calculation. c NBarsSkip by NBars will participate in the calculation.
 
Thank you, NCI !
I'll send you a prospective entry in a moment.
One more question.
I just had an idea.
How about to make it even simpler. Set it like this:
Instead of for(k = 0; k < iBars(Symbol_1,Timeframe); k++)
 set
for(k = M; k < iBars(Symbol_1,Timeframe); k++),
 where M is the number of bars excluded from calculation.
Will it work ?
 
Only not k=M, but k=M+1... Bar M is not taken into account
 
Thank you! I've sent an entry too.
 
I honestly did not notice at first that NBars should only consider bars existing on two instruments at the same time, then the code I posted does not meet this logic. andthe construction with M would not be correct either. in this case you could do the following: 
double CalculateAvarageSpread(string Symbol_1, string Symbol_2,
                              int Timeframe, int NBars, int NBarsSkip)
{
   int k;
   double N = 0;
   int NReal = 0;
   double Sum = 0;
   for(k = 0; k < iBars(Symbol_1,Timeframe); k++)
   {
      if(N == NBars)
         break;

      int symb2Shift = iBarShift(Symbol_2,Timeframe,iTime(Symbol_1,Timeframe,k),true);
      if(symb2Shift != -1)
      {
         N++;
         if(N>NBarsSkip)
         {
            Sum += iClose(Symbol_1,Timeframe,k) - iClose(Symbol_2,Timeframe,symb2Shift);
            NReal++;  // счетчик Н которые не пропущены и посчитаны
         }
      }
   }
   if(NReal==0) return(0); // так как у нас не получилось рассчитать ни одного бара
   else
   {
      double avarageSpread = Sum / NReal;
      return(avarageSpread);
   }
}
 
Thank you. For some reason my code didn't compile at first, it returned an error (bracket)
Until I moved from the function name "...., int NBarsSkip "
to the external parameters of the EA
extern int NBarsSkip =2
 I don't know why there was an error.
But when I moved it, everything was fine.
 

I have read this branch from cover to cover - all 145 pages. thanks to everyone: rid, leonid553, fduch, neoclassic, getch, forex-k, goldtrader, timbo, fortrader. I have a lot of information, I am still digesting it. My main conclusion is the following: you have to dig here, it's worth it. P.s.: good resourceful thread, almost no flooding. Thanks again 2rid

 

Thank you!

"Information to think about.

From Monday the ZM-ZL spread (flour-oil, 5:6)

!

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