R - 请分享您的经验 - 页 5

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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。=)
 
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？
 
我不知道。我只是看到人们在forexfactory上谈论它。也许我弄错了。=)
 
嗯。也许我也不知道。还没有真正使用它。
 
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')

 
有没有人能够让MT5+R工作？
 
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？

 
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。
 
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。
 

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

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