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Re: Lapsa's very own thread
[Re: rki ]
#487460
04/29/23 22:45
04/29/23 22:45
Joined: Aug 2021
Lapsa
OP
Member
OP
MemberAug 2021
Anyone has the C code for BandPass Filter
yes
Re: Lapsa's very own thread
[Re: Lapsa ]
#487764
09/10/23 19:38
09/10/23 19:38
Joined: Aug 2021
Lapsa
OP
Member
OP
MemberAug 2021
tools are wrong, reliant on "crypto timings", will fail live
but the idea of dominant period crossovers yields surprising amount of signals
think it's a viable option for an algorithm chassis if done right
and feels stop loss friendly
function main()
{
set(PRELOAD|PLOTNOW);
setf(PlotMode,PL_ALL+PL_FINE+PL_ALLTRADES+PL_BENCHMARK);
MonteCarlo = 0;
BarPeriod = 1;
PlotPeriod = 1;
Outlier = 0;
BarMode = BR_FLAT;
StartDate = ?;
}
function run()
{
vars s_p = series(price());
vars s_c = series(priceC());
var dp = DominantPeriod(s_p, 50);
var dp_s = EMA(series(dp), 50);
vars s_dp_s = series(dp_s);
var dp_l = EMA(series(dp), 100);
vars s_dp_l = series(dp_l);
var dp_d = EMA(series(dp), 1440);
var mmi = MMI(s_p, 50);
vars s_mmi = series(mmi);
if(
dp_s > dp_d
&& crossOver(s_dp_s, s_dp_l)
&& falling(s_mmi)
) {
enterLong();
}
if (
dp_s < dp_d
&& crossUnder(s_dp_s, s_dp_l)
&& falling(s_mmi)
) {
enterShort();
}
plot("s", dp_s, NEW , SILVER);
plot("l", dp_l, LINE , GREY);
plot("d", dp_d, LINE, GREY);
plot("mmi", mmi, NEW, BLACK);
}
Re: Lapsa's very own thread
[Re: Lapsa ]
#487804
09/26/23 15:47
09/26/23 15:47
Joined: Apr 2020
Germany
M_D
Newbie
NewbieApr 2020 Germany
Hi Lapsa,
I´m (still) a beginner Zorro user (since 2016
) have stumbled over your very own thread, have read it all and enjoyed all your posts. Even learned two or more lessons. Thanks for that.
Currently was curious about some of your replicatet indicators, in this case EvenBetterSineWave.
Experimented a little with it. Portfolio (from zorro manual) and Timeframe loops (from financial-hacker. i used 5, 15, 30, 60, 240).
Since my history data is not up to date, i used mid to end 2021 for training parameters (only 1 parameter: var Duration of your EBSW, start from 100 up to 300) and generating Factors to the assets. With my "average" Laptop (8GB RAM) it took about 2 hours to train half a year with 33 Assets x 5 Timeframes x 13 Parameter Steps = 2145 loops.
Testrun after training was of course overwhelming. OptimalF picked the positive perfomers and generatet beauuuuutiful backtest results.
The modified script:
//Zorro Version 2.40
//Lapsa´s EvenBetterSineWave used with Portfolio and Timeframe Loops
#include <profile.c>
#include <legacy.h>
var EvenBetterSinewave(vars Close, var Duration)
{
var Wave;
var Pwr;
var* HP = series(HighPass1(Close, Duration), 2);
if (HP[0] == 0) HP[0] = 1;
var* Filt = series(Smooth(HP, Duration), 3);
Wave = SMA(Filt, 3);
Pwr = (Filt[0]*Filt[0] + Filt[1]*Filt[1] + Filt[2]*Filt[2]) / 3;
return Wave / sqrt(Pwr);
}
function EBSW_Strategy()
{
vars close = series(priceClose());
var* ebsw = series(EvenBetterSinewave(close,optimize(200,100,300))); //225 original value
if (crossOver(ebsw, -.99)) enterLong();
if (crossUnder(ebsw, .99)) enterShort();
plot("EBSW", ebsw, NEW, BLACK);
}
function main()
{
set(PRELOAD|LOGFILE|PARAMETERS|FACTORS|TESTNOW|PLOTNOW);
BarPeriod = 1;
StartDate = 20210601;
EndDate = 20211230;
Capital = 2000;
}
function run()
{
LookBack = 4*250;
// portfolio loop
while(asset(loop(
"AUD/CAD","AUD/CHF","AUD/JPY","AUD/NZD","AUD/USD",
"CAD/CHF","CAD/JPY","CHF/JPY",
"EUR/AUD","EUR/CAD","EUR/CHF","EUR/GBP","EUR/JPY","EUR/NZD","EUR/USD",
"GBP/AUD","GBP/CAD","GBP/CHF","GBP/JPY","GBP/NZD","GBP/USD",
"NZD/CAD","NZD/CHF","NZD/JPY","NZD/USD",
"USD/CAD","USD/CHF","USD/JPY",
"XAU/USD",
"GER30","US30","NAS100","SPX500"
)))
//TimeFrame Loop
while(algo(loop("5","15","30","60","240")))
{
//only 1 trade per asset and per algo allowed
MaxLong = MaxShort = -1;
//since many assets, had to reduce optimalf, otherwise margin call
Margin = 0.06125 * OptimalF * Capital * sqrt(1 + ProfitClosed/Capital);
if(Algo == "5"){
TimeFrame = 5;
EBSW_Strategy();}
else if(Algo == "15"){
TimeFrame = 15;
EBSW_Strategy();}
else if(Algo == "30"){
TimeFrame = 30;
EBSW_Strategy();}
else if(Algo == "60"){
TimeFrame = 60;
EBSW_Strategy();}
else if(Algo == "240"){
TimeFrame = 240;
EBSW_Strategy();}
}
}
I added the generated .par and .fac files. (.par was not allowed to upload, so just renamed to .txt, you have to rename it back to .par). In case someone wants to test same conditions, i also added my AssetsFix.csv, which represents my brokers conditions (Roboforex, meanwhile outdated).
Price History is from Zorro website.
Test Results from TRAINED period (No WFO Cycles, no Whites Reality Check, no exit strategy, no whatever):
So now, simple reality check. Make OOS Test the following month:
First impression: stick to 1h and 4h, these timeframes seem profitable (at some assets, not all). And noticed in Train mode that shorter "Duration" optimization might fit better to 1h and 4h, lets say experiment between 30 till 150 maybe ...
I personally will not further investigate EBSW. It might have potencial with further research and development. Experimenting and implementing stops, trails, exit strategies and so on.
So why did i post this? I had read in one of your posts that you purchased or subscribed to Zorro S (I have the free version), so you have a really mighty tool in your hands, that you should use with all its power. Before you sticked to 1 asset with 1 strategy ... waste of time and efforts. @Gann and the other dude (sorry, forget your name
) were also impressed from your approch, posts and efforts (me too). I believe that you will find your way to profitability ... dont give up. Cant await your new posts in your very own thread
PS: Not sure if i am allowed to post this here:
I personally follow a Youtube channel which is strongly related to algo trading. He is showing different approaches and he is really explaining everything very well and clear.
can just recomment to watch his videos. they are also not very long and boring, always around 10 minutes short, but have (at least for me) a huge value of knowledge in such a short time.
Darwinex Algo Trade Series Thanks for your time.
So, be curious, be patient, never give up! Trade safe.
Attached Files
![[Linked Image]](https://i.imgur.com/8lud0sp.png)
) have stumbled over your very own thread, have read it all and enjoyed all your posts. Even learned two or more lessons. Thanks for that.![[Linked Image]](https://www.linkpicture.com/q/Screenshot-2023-09-26-164516.png)
![[Linked Image]](https://www.linkpicture.com/q/Bild_2023-09-26_171152549.png)
) were also impressed from your approch, posts and efforts (me too). I believe that you will find your way to profitability ... dont give up. Cant await your new posts in your very own thread 