Radar do fórum internacional - página 2

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figurelli:
Richer, estou particiando desse fórum e em breve irei compilar aqui o resultado em português, mas podes ir acompanhando por lá em tempo real (aliás podemos abrir um tópico em português para fazer os testes do código final na BM&FBovespa).

Isso seria interresante

segunda vou executar test na conta real, para ver se solução alternativa, do  Malacarne vai funcionar no Mini-índice  

 
richeraraujo:

Isso seria interresante

segunda vou executar test na conta real, para ver se solução alternativa, do  Malacarne vai funcionar no Mini-índice  

Eu tenho o estranho hábito de não fazer testes em conta real antes de testar muito bem em conta demonstração ;-)
 
figurelli:
Eu tenho o estranho hábito de não fazer testes em conta real antes de testar muito bem em conta demonstração ;-)

problema que na conta DEMO funciona normal :/

esse problema somente encontro na conta real 

 
richeraraujo:

problema que na conta DEMO funciona normal :/

esse problema somente encontro na conta real 

Perfeito, entendi e concordo agora, sugiro que cuide apenas para manter um valor pequeno em conta apenas para isso.

Também já tive problemas similares, com outros tipos de situações.
 

Foro sobre el trading, sistemas de trading automáticos y simulación de estrategias comerciales.

Algoritmos y sistemas de trading basados ​​en estrategias de fútbol

figurelli, 2014.01.21 01:55

El fútbol es rico en tácticas y estrategias, y tal vez el deporte más globalizado en el planeta. 

Así, que tal discutir aquí algunas de las tácticas y estrategias del fútbol, que pueden ser modelados en algoritmos y sistemas de negociación.

Por ejemplo, algunos dicen que el equipo que está ganando no se cambia. 

Pero, ¿qué piensa usted en comparación con las estrategias de negociación y que algoritmos podemos extraer de estas ideas?

Algoritmos e sistemas de negociação baseados em estratégias do futebol

Nesse tópico na área castelhana, como dizemos aqui por essas bandas, proponho uma análise de algoritmos baseados em estratégias do futebol, e que convido a todos que queiram praticar um pouco de espanhol.

Mas quem não quiser sair do português, pode apresentar suas ideias no tópico Algoritmos e Trading Systems baseados em estratégias de jogos, que é genérico para qualquer jogo, mas onde também serão exploradas ideias relacionadas ao futebol.
 

Forum on trading, automated trading systems and testing trading strategies

Algorithms and Trading Systems based on Chess game strategies

figurelli, 2014.01.21 14:50

I believe that there are several tatics and strategies from Chess game that can be adapted to a trading system.

So I decided create this topic to join some Chess game strategies with trading systems.

I have similar topics in other languages, but they are focused in general games (Portuguese) and soccer (Spanish). 

But if you like chess, let's try "play" together against the market! But take care, market is a grand master as well as Garry Kasparov and Magnus Carlsen playing together against us!

The idea here in this topic is just study Chess, so the specific topic rules are:

1) Follow the Forum rules;

2) The main idea is bring tactics and strategies from Chess that in some way could be modeled in trading algorithms;

3) It's possible bring some board pictures (for instance, with arrows or graphical description) to easy understanding or any other pictures and videos to ilustrate your ideas; 

Algoritmos e Trading Systems baseados em estratégias do jogo de Xadrez

Nesse tópico em inglês a ideia é estudar táticas e estratégias específicas do jogo de Xadrez que podem ser modeladas em algoritmos, compondo trading systems mais competitivos.

No fórum em português (ver post anterior) existe um tópico com conceito similar, mas mais genérico, para qualquer jogo.

Nesse tópico em inglês, que atinge todo mercado internacional, o foco é exclusivamente o Xadrez.

 

Forum on trading, automated trading systems and testing trading strategies

Human computation applied to automated trading; research project now live

arnovinc, 2014.01.21 15:57

Hi all, Just wanted to share some informations of a trading research project named Krabott that began in 2009 in a french university lab.

Maybe you heard about Fold-it experience in biochemistery . The Fold it project predicts the 3D shape of proteins given their amino acid sequence, using a game. Teams of on-line volunteers with no special knowledge who were invited to play a collective game came up with better solutions to the puzzles than state of the art computer programs. Some people call this a "human computation" process. (see http://fold.it)

Since 2009, I planed to apply the same recipes to automated trading. The aim is to ask players without any financial or technical knowledge, to design new parameters of existing trading strategies. Name of the project is "Krabott". Calculation engine is based on genetic algorithmes HBGA (described by a researcher A.Kosorukoff in 2000). (see http://www.krabott.com)

After 4 years and a PhD on this subject we now are ready to publish as a signal provider a "crowdcomputed" trading signal, only based on work of severals players, thanks to MQL5.com community this may be ready before the end of february. The signal is not an average opinion of several players, but the result of a trading strategy where all parameters are computed by the crowd.

Would be happy to share ideas and knowledge with anyone interested in this field !

Computação humana (HBC ou Human-based Computation) aplicada à negociação automática

Nesse tópico em inglês se discute uma nova abordagem de trading system baseado em computação humana, que é uma das áreas de inteligência artificial.

Infelizmente não se encontra muita informação em português sobre HBC, portanto recomendo buscar a literatura em inglês, como por exemplo o artigo abaixo, para maior entendimento das pesquisas na área.

http://www.ics.uci.edu/~qliu1/MLcrowd_ICML_workshop/Papers/ActivePaper9.pdf 

 

Forum on trading, automated trading systems and testing trading strategies

Why this price changed on this way?

figurelli, 2014.01.23 16:39

What about create an topic to analyses big market movements and price changes?

The idea is quite simple: a group reverse engineering of the market.

So, bring a picture of some instrument graph (using MT5, for sure) and the community tries to explain the reasons.

We will find here all kind of reasons, for instance, random factors, technical and fundamental analyses, and so on ...

Anyone can use pictures to explain point of views, too.

I think we all can learn a lot from this, and have ideas to code in our trading systems.

Please, folow our rules:

1) Follow the Forum rules

2) Don't forget brainstorming spirit

3) Forget the paradigms, when possible (start with a clean graph, without any indicators, is a good practice, for instance)

Na sua opinião, qual a razão dessa mudança de preço?

Nesse tópico, a ideia é fazer uma engenharia reversa dos movimentos do mercado em busca da origem dos movimentos de preços. Minha ideia é criar algo semelhante na área em português, se essa ideia evoluir. Então, críticas e sugestões são bem-vindas.
 

Nesse tópico encontramos uma competição para desenvolvedores que desejam "caçar" bugs, sendo uma ótima referência para aprendizado.

Forum on trading, automated trading systems and testing trading strategies

Programming contest : find some bugs in less time. Start Monday at 15:00 GMT. Sign up here.

angevoyageur, 2014.01.28 15:13

We get 1 winner, which is not even listed as participant.

The winner is Tjipke de Vries (deVries)

Congratulations !

He found the 3 bugs I introduced, and even a little more, good work !

Here his code, with the bugs and correction highlighted in yellow and the original code can be found here.

#property indicator_chart_window 
#property indicator_buffers 2
#property indicator_plots   2
#property indicator_type1   DRAW_ARROW
#property indicator_color1  Red
#property indicator_width1  4
#property indicator_label1  "Sell"
#property indicator_type2   DRAW_ARROW
#property indicator_color2  Lime
#property indicator_width2  4
#property indicator_label2 "Buy"

//+----------------------------------------------+
//|  Indicator input parameters                  |
//+----------------------------------------------+
input int RISK=3;
input int NumberofAlerts=2;

double SellBuffer[];
double BuyBuffer[];

int K,SSP=9;
int counter=0;
bool old,uptrend_;
int StartBars;

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
void OnInit()
  {
//---- initialization of variables of the start of data calculation
   StartBars=SSP+1;
//---- set dynamic array as an indicator buffer
   SetIndexBuffer(0,SellBuffer,INDICATOR_DATA);
//---- shifting the start of drawing of the indicator 1
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,StartBars);
//---- create a label to display in DataWindow
   PlotIndexSetString(0,PLOT_LABEL,"Sell");
//---- indicator symbol
   PlotIndexSetInteger(0,PLOT_ARROW,108);
//---- indexing elements in the buffer as time series   
   ArraySetAsSeries(SellBuffer,true);   
//---- setting the indicator values that won't be visible on a chart
   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,0);    
   
   
   

//---- set dynamic array as an indicator buffer
   SetIndexBuffer(1,BuyBuffer,INDICATOR_DATA);
//---- shifting the start of drawing of the indicator 2
   PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,StartBars);
//---- create a label to display in DataWindow
   PlotIndexSetString(1,PLOT_LABEL,"Buy");
//---- indicator symbol
   PlotIndexSetInteger(1,PLOT_ARROW,108);
//---- indexing elements in the buffer as time series
   ArraySetAsSeries(BuyBuffer,true);   
//---- setting the indicator values that won't be visible on a chart
   PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,0);   
   
   

//---- Setting the format of accuracy of displaying the indicator
   IndicatorSetInteger(INDICATOR_DIGITS,_Digits);
//---- name for the data window and for the label of sub-windows 
   string short_name="Trend_Signal";
   IndicatorSetString(INDICATOR_SHORTNAME,short_name);
//----   
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double &open[],
                const double &high[],
                const double &low[],
                const double &close[],
                const long &tick_volume[],
                const long &volume[],
                const int &spread[])
  {
//---- checking the number of bars to be enough for the calculation
   if(rates_total<StartBars) return(0);

//---- declarations of local variables 
   int limit;
   double Range,AvgRange,smin,smax,SsMax,SsMin,price;
   bool uptrend;

//---- calculations of the necessary amount of data to be copied
//---- and the 'limit' starting index for the bars recalculation loop
   if(prev_calculated>rates_total || prev_calculated<=0)// checking for the first start of the indicator calculation
     {
      K=33-RISK;
      limit=rates_total-StartBars;       // starting index for calculation of all bars
     }
   else
     {
      limit=rates_total-prev_calculated; // starting index for calculation of new bars
     }
  
   ArraySetAsSeries(high,true);
   ArraySetAsSeries(low,true);
   ArraySetAsSeries(close,true);

//---- restore values of the variables
   uptrend=uptrend_;

//---- main indicator calculation loop
   for(int bar=limit; bar>=0; bar--)
     {
      //---- save values of the variables before running at the current bar
      if(rates_total!=prev_calculated && bar==0)
        {
         uptrend_=uptrend;
        }

      Range=0;
      AvgRange=0;
      for(int iii=bar; iii<=bar+SSP; iii++) AvgRange=AvgRange+MathAbs(high[iii]-low[iii]);  //AvgRange+=AvgRange+MathAbs(high[iii]-low[iii]);
      Range=AvgRange/(SSP+1);
      //----
      SsMax=low[bar];
      SsMin=close[bar];

      for(int kkk=bar; kkk<=bar+SSP-1; kkk++)
        {
         price=high[kkk];
         if(SsMax<price) SsMax=price;
         price=low[kkk];
         if(SsMin>=price) SsMin=price;
        }

      smin=SsMin+(SsMax-SsMin)*K/100;
      smax=SsMax-(SsMax-SsMin)*K/100;

      SellBuffer[bar]=0;
      BuyBuffer[bar]=0;

      if(close[bar]<smin) uptrend=false;
      if(close[bar]>smax) uptrend=true;

      if(uptrend!=old && uptrend==true)
        {
         BuyBuffer[bar]=low[bar]-Range*0.5;
         if(bar==0)  //possible signals at bar 0 gonna be repainted or removed again
           {
            if(counter<NumberofAlerts)//if(counter<=NumberofAlerts)
              {
               //Alert("Trend ",EnumToString(Period())," ",Symbol()," BUY");
               Alert("Trend ",EnumToString(Period())," ",Symbol()," BUY","\n","Current time is ",TimeToString(TimeCurrent(),TIME_SECONDS));
               counter++;
              }
           }
         else counter=0;
        }
      if(uptrend!=old && uptrend==false)
        {
         SellBuffer[bar]=high[bar]+Range*0.5;

         if(bar==0)  //possible signals at bar 0 gonna be repainted
           {
            if(counter<NumberofAlerts)//if(counter<=NumberofAlerts)
              {
               //Alert("Trend ",EnumToString(Period())," ",Symbol()," SELL");
               Alert("Trend ",EnumToString(Period())," ",Symbol()," SELL","\n","Current time is ",TimeToString(TimeCurrent(),TIME_SECONDS));
               counter++;
              }
           }
         else counter=0;
        }

      if(bar>0) old=uptrend;
     }
//---- 
   
   return(rates_total);//return(prev_calculated);
  }
//+------------------------------------------------------------------+

 

Literalmente, nesse caso, the book is on the MESA ... ;-)

Agora falando sério, MESA nesse caso é a sigla para o método Maximum Entropy Spectrum Analysis de John Ehlers, que também é o nome de sua empresa de software.

Forum on trading, automated trading systems and testing trading strategies

Something Interesting to Read January 2014

newdigital, 2014.01.28 13:07

MESA And Trading Market Cycles : John Ehlers




In MESA and Trading Market Cycles, Second Edition, MESA pioneer John F. Ehlers returns to reveal more of the inner workings and hidden mechanisms of MESA-the author's well-known and highly respected computerized trading system-and provides both traders and professional speculators with definitive information on using cyclical analysis to create and execute highly profitable forecasting and trading strategies.

This revised and completely updated resource first validates the existence of market cycles by reviewing the history of cycles and the advances in techniques to measure them. It then profiles the basic characteristics of cycles and fully describes moving averages, momentum functions, and indicators from the cyclical perspective. From here, Ehlers focuses on MESA, explaining how it works, how it compares to the Fast Fourier Transformation (FFT), and how traders can use its high-resolution spectral estimates to consistently pinpoint and exploit market cycles and trends.

MESA and Trading Market Cycles, Second Edition also contains new chapters which provide information that makes MESA a much more powerful tool. Topics within these chapters include:

  • The Sinewave Indicator
  • The Instantaneous Trendline
  • Trading Trend Mode and Cycle Mode
  • Making standard indicators adaptive: Commodity Channel Indicator (CCI), Relative Strength Indicator (RSI), and Stochastic Indicator
  • Developing highly effective automatic trading systems using MESA-measured cycles
  • Stock market systems, along with computer code (EasyLanguage) to implement them

Combining MESA, cycles, and technical analysis, this vital guide shows you-whether you're trading in the stock, options, or futures markets-how to boost the probability of establishing successful trades and profitably increase your bottom line. MESA and Trading Market Cycles introduces you to a new way of thinking that will not only lead to highly effective new indicators, but will also provide you with insights into market activity that you would never have imagined.


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