R - 请分享您的经验 - 页 5 12345678 新评论 Sergey Kovalyov 2012.06.03 16:40 #41 R的问题是,它不能与测试器一起运行,也不能绘制图形 报告。=) TheXpert 2012.06.03 16:46 #42 wise: R的问题是,它不能与测试器一起运行,也不能绘制图形报告。=) 是什么阻止了它? Sergey Kovalyov 2012.06.03 16:57 #43 我不知道。我只是看到人们在forexfactory上谈论它。也许我弄错了。=) TheXpert 2012.06.03 17:00 #44 嗯。也许我也不知道。还没有真正使用它。 anonymous 2012.06.03 17:41 #45 wise: R的问题是,你不能把它与测试器结合起来运行,并绘制图形报告。=) 这不是R的问题,是报告起草人的问题。 对于研究来说,自己在5分钟内写一个简单的测试器就足够了。 library(TTR) library(zoo) # get some data num.points <- ... midprices <- ... spreads <- ... bids <- midprices - 0.5 * spreads asks <- midprices + 0.5 * spreads # length(midprices) == num.points; length(spreads) == num.points ma.fast <- EMA(midprices, 15) ma.slow <- EMA(midprices, 50) # compute entry/exit signals open.long.position <- (ma.fast > ma.slow) & (ma.slow > midprices) close.long.position <- (ma.fast < midprices) open.short.position <- (ma.fast < ma.slow) & (ma.slow < midprices) close.short.position <- (ma.fast > midprices) signals.to.position <- function (num.points, signal.open, signal.close) { pos <- rep(NA, num.points) pos[signal.open] <- 1 pos[signal.close] <- 0 pos <- na.locf(pos, na.rm = F) pos[is.na(pos)] <- 0 pos } # compute strategy positions pos.long <- signals.to.position(num.points, open.long.position, close.long.position) pos.short <- signals.to.position(num.points, open.short.position, close.short.position) pos.total <- pos.long - pos.short # compute equity commission <- 1 trade.size <- c(0, pos.total[2 : num.points] - pos.total[1 : (num.points - 1)]) fees <- abs(trade.size) * (commission + 0.5 * spreads) equity <- midprices * pos.total + cumsum(-midprices * trade.size - fees) # compute balance balance <- rep(NA, num.points) balance[trade.size != 0] <- equity[trade.size != 0] balance <- na.locf(balance, na.rm = F) balance[is.na(balance)] <- 0 # display results par(mfrow = c(2, 1)) plot(midprices, t = 'l', col = 'gray', lty = 'dashed') lines(bids, col = 'blue') lines(asks, col = 'red') points(which(trade.size > 0, arr.ind = T), asks[trade.size > 0], col = 'blue') points(which(trade.size < 0, arr.ind = T), bids[trade.size < 0], col = 'red') plot(equity, t = 'l') lines(balance, col = 'gray', lty = 'dashed') R - please share Python in algorithmic trading Web Trading System (10%/mn) Serge 2012.06.03 18:26 #46 有没有人能够让MT5+R工作? Алексей Тарабанов 2012.06.03 20:05 #47 anonymous: 这不是R的问题,是报告抽屉的问题。 只需要5分钟,就可以自己写一个简单的测试器进行研究。 library(TTR) library(zoo) # get some data num.points <- ... midprices <- ... spreads <- ... bids <- midprices - 0.5 * spreads asks <- midprices + 0.5 * spreads # length(midprices) == num.points; length(spreads) == num.points ma.fast <- EMA(midprices, 15) ma.slow <- EMA(midprices, 50) # compute entry/exit signals open.long.position <- (ma.fast > ma.slow) & (ma.slow > midprices) close.long.position <- (ma.fast < midprices) open.short.position <- (ma.fast < ma.slow) & (ma.slow < midprices) close.short.position <- (ma.fast > midprices) signals.to.position <- function (num.points, signal.open, signal.close) { pos <- rep(NA, num.points) pos[signal.open] <- 1 pos[signal.close] <- 0 pos <- na.locf(pos, na.rm = F) pos[is.na(pos)] <- 0 pos } # compute strategy positions pos.long <- signals.to.position(num.points, open.long.position, close.long.position) pos.short <- signals.to.position(num.points, open.short.position, close.short.position) pos.total <- pos.long - pos.short # compute equity commission <- 1 trade.size <- c(0, pos.total[2 : num.points] - pos.total[1 : (num.points - 1)]) fees <- abs(trade.size) * (commission + 0.5 * spreads) equity <- midprices * pos.total + cumsum(-midprices * trade.size - fees) # compute balance balance <- rep(NA, num.points) balance[trade.size != 0] <- equity[trade.size != 0] balance <- na.locf(balance, na.rm = F) balance[is.na(balance)] <- 0 # display results par(mfrow = c(2, 1)) plot(midprices, t = 'l', col = 'gray', lty = 'dashed') lines(bids, col = 'blue') lines(asks, col = 'red') points(which(trade.size > 0, arr.ind = T), asks[trade.size > 0], col = 'blue') points(which(trade.size < 0, arr.ind = T), bids[trade.size < 0], col = 'red') plot(equity, t = 'l') lines(balance, col = 'gray', lty = 'dashed') 就这么简单... 我们要不要破译这些格子? [删除] 2012.06.04 15:32 #48 TheXpert: 嗯。也许我也不知道。还没有真正使用它。 也许是因为不同步的原因?R可以异步工作,而测试者不能。但异步性仍然是异国情调。 [删除] 2012.06.04 15:34 #49 tara: 这只是,像所有的事情一样... 我们要不要破译这些格子? Eh....将是R这个终端语言而不是mql。 [删除] 2012.07.10 11:26 #50 请帮助。 我在R中输入了EURUSD。我已经计算出了模型并计算出了系数。 我怎样才能画出一个图表并与科蒂尔结合起来? > x.ar<-ar(eur[1:256],method="mle") > x.ar 呼叫。 ar(x = eur[1:256],method="mle") 系数。 1 ........2..........3 0.9420 0.1955 -0.1644 订单选择3σ^2估计为2.73e-06 12345678 新评论 您错过了交易机会: 免费交易应用程序 8,000+信号可供复制 探索金融市场的经济新闻 注册 登录 拉丁字符(不带空格) 密码将被发送至该邮箱 发生错误 使用 Google 登录 您同意网站政策和使用条款 如果您没有帐号,请注册 可以使用cookies登录MQL5.com网站。 请在您的浏览器中启用必要的设置,否则您将无法登录。 忘记您的登录名/密码? 使用 Google 登录
R的问题是,它不能与测试器一起运行,也不能绘制图形报告。=)
R的问题是,你不能把它与测试器结合起来运行,并绘制图形报告。=)
这不是R的问题,是报告起草人的问题。
对于研究来说,自己在5分钟内写一个简单的测试器就足够了。
library(TTR)
library(zoo)
# get some data
num.points <- ...
midprices <- ...
spreads <- ...
bids <- midprices - 0.5 * spreads
asks <- midprices + 0.5 * spreads
# length(midprices) == num.points; length(spreads) == num.points
ma.fast <- EMA(midprices, 15)
ma.slow <- EMA(midprices, 50)
# compute entry/exit signals
open.long.position <- (ma.fast > ma.slow) & (ma.slow > midprices)
close.long.position <- (ma.fast < midprices)
open.short.position <- (ma.fast < ma.slow) & (ma.slow < midprices)
close.short.position <- (ma.fast > midprices)
signals.to.position <- function (num.points, signal.open, signal.close) {
pos <- rep(NA, num.points)
pos[signal.open] <- 1
pos[signal.close] <- 0
pos <- na.locf(pos, na.rm = F)
pos[is.na(pos)] <- 0
pos
}
# compute strategy positions
pos.long <- signals.to.position(num.points, open.long.position, close.long.position)
pos.short <- signals.to.position(num.points, open.short.position, close.short.position)
pos.total <- pos.long - pos.short
# compute equity
commission <- 1
trade.size <- c(0, pos.total[2 : num.points] - pos.total[1 : (num.points - 1)])
fees <- abs(trade.size) * (commission + 0.5 * spreads)
equity <- midprices * pos.total + cumsum(-midprices * trade.size - fees)
# compute balance
balance <- rep(NA, num.points)
balance[trade.size != 0] <- equity[trade.size != 0]
balance <- na.locf(balance, na.rm = F)
balance[is.na(balance)] <- 0
# display results
par(mfrow = c(2, 1))
plot(midprices, t = 'l', col = 'gray', lty = 'dashed')
lines(bids, col = 'blue')
lines(asks, col = 'red')
points(which(trade.size > 0, arr.ind = T), asks[trade.size > 0], col = 'blue')
points(which(trade.size < 0, arr.ind = T), bids[trade.size < 0], col = 'red')
plot(equity, t = 'l')
lines(balance, col = 'gray', lty = 'dashed')
这不是R的问题,是报告抽屉的问题。
只需要5分钟,就可以自己写一个简单的测试器进行研究。
library(TTR)
library(zoo)
# get some data
num.points <- ...
midprices <- ...
spreads <- ...
bids <- midprices - 0.5 * spreads
asks <- midprices + 0.5 * spreads
# length(midprices) == num.points; length(spreads) == num.points
ma.fast <- EMA(midprices, 15)
ma.slow <- EMA(midprices, 50)
# compute entry/exit signals
open.long.position <- (ma.fast > ma.slow) & (ma.slow > midprices)
close.long.position <- (ma.fast < midprices)
open.short.position <- (ma.fast < ma.slow) & (ma.slow < midprices)
close.short.position <- (ma.fast > midprices)
signals.to.position <- function (num.points, signal.open, signal.close) {
pos <- rep(NA, num.points)
pos[signal.open] <- 1
pos[signal.close] <- 0
pos <- na.locf(pos, na.rm = F)
pos[is.na(pos)] <- 0
pos
}
# compute strategy positions
pos.long <- signals.to.position(num.points, open.long.position, close.long.position)
pos.short <- signals.to.position(num.points, open.short.position, close.short.position)
pos.total <- pos.long - pos.short
# compute equity
commission <- 1
trade.size <- c(0, pos.total[2 : num.points] - pos.total[1 : (num.points - 1)])
fees <- abs(trade.size) * (commission + 0.5 * spreads)
equity <- midprices * pos.total + cumsum(-midprices * trade.size - fees)
# compute balance
balance <- rep(NA, num.points)
balance[trade.size != 0] <- equity[trade.size != 0]
balance <- na.locf(balance, na.rm = F)
balance[is.na(balance)] <- 0
# display results
par(mfrow = c(2, 1))
plot(midprices, t = 'l', col = 'gray', lty = 'dashed')
lines(bids, col = 'blue')
lines(asks, col = 'red')
points(which(trade.size > 0, arr.ind = T), asks[trade.size > 0], col = 'blue')
points(which(trade.size < 0, arr.ind = T), bids[trade.size < 0], col = 'red')
plot(equity, t = 'l')
lines(balance, col = 'gray', lty = 'dashed')
就这么简单...
我们要不要破译这些格子?
嗯。也许我也不知道。还没有真正使用它。
这只是,像所有的事情一样...
我们要不要破译这些格子?
请帮助。
我在R中输入了EURUSD。我已经计算出了模型并计算出了系数。 我怎样才能画出一个图表并与科蒂尔结合起来?
> x.ar<-ar(eur[1:256],method="mle")
> x.ar
呼叫。
ar(x = eur[1:256],method="mle")
系数。
1 ........2..........3
0.9420 0.1955 -0.1644
订单选择3σ^2估计为2.73e-06