Day trading : Help Programmation TS


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Sujet: Help Programmation TS

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Envoyé par phab le 11 Décembre 2006 à 15:18

Bonjour,

Débutant sur Ts, j’ai quelques problemes sur une partie d’une strategie que j’essais de programmer.
C’est une strategie weekly,on n’utilise deux moyennes pour caracteriser la tendance (Condition1 trend up, Condition2 trend dw), en comparant leur valeur sur la bougie
1 et 0 . Les points pivots weekly, sont utilisés comme point d’entree, en fonction de la position de CloseW(1) entre les points R/S:
exemple:   Si Condition1 (up) et CloseW(1)<WeekR3 et CloseW(1)>=WeekR2 alors achat stop prochaine barre à WeekR3.

Voila pour l’essentiel, je joins le code, mes intentions y sont plus claires. Cela ne genere aucun ordre, et je ne vois pas ou est l’erreur. Si quelqu’un peut me donner un coup de main, merci d’avance
ph

Inputs: PositionBasis( TRUE ), AmountStop( 40 ), AmountTarget( 120 ), Price( Close ), LengthSlow( 5 ), LengthFast( 3 ) ;

var: WeekS1( 0 ), WeekS2( 0 ), WeekS3( 0 ), WeekR1( 0 ), WeekR2( 0 ), WeekR3( 0 ), WeekPP( 0 );
var: LastWeekHigh( 0 );
var: LastWeekLow( 0 );
var: LastWeekClose( 0 );
var: AvgSlow( 0 ), AvgFast(0) ;

{points pivots weekly}

if DayofWeek( Date ) < DayofWeek( Date[1] ) then begin

        LastWeekHigh = HighW( 1 ) ;
     LastWeekLow = LowW( 1 ) ;
     LastWeekClose = CloseW( 1 ) ;
WeekPP = ( LastWeekHigh + LastWeekLow + LastWeekClose ) / 3 ;
WeekR1 = WeekPP * 2 - LastWeekLow ;
WeekR2 = WeekPP + LastWeekHigh - LastWeekLow ;
WeekR3 = WeekR2 + LastWeekHigh - LastWeekLow ;
WeekS1 = WeekPP * 2 - LastWeekHigh ;
WeekS2 = WeekPP - LastWeekHigh + LastWeekLow ;
WeekS3 = WeekS2 - LastWeekHigh + LastWeekLow ;
End;

{Trend}

AvgFast = Average( Price, LengthFast ) ;
AvgSlow = Average( Price, LengthSlow);
Condition1 = AvgFast[0] > AvgFast[1] and AvgSlow[0] > AvgSlow[1]; {Up}
Condition2 = AvgFast[0] < AvgFast[1] and AvgSlow[0] < AvgSlow[1]; {Dw}

{Entrees Longues}

if Condition1 and (LastWeekClose < WeekR3 and LastWeekClose >= WeekR2) then
     buy next bar at WeekR3 stop;
if Condition1 and (LastWeekClose < WeekR2 and LastWeekClose >= WeekR1) then
     Buy next bar at WeekR2 stop;
if Condition1 and (LastWeekClose < WeekR1 and LastWeekClose >= WeekPP) then
     Buy next bar at WeekR1 stop;
if Condition1 and (LastWeekClose < WeekPP and LastWeekClose >= WeekS1) then
     Buy next bar at WeekPP stop;
if Condition1 and (LastWeekClose < WeekS1 and LastWeekClose >= WeekS2) then
     Buy next bar at WeekS1 stop;
if Condition1 and (LastWeekClose < WeekS2 and LastWeekClose >= WeekS3) then
     Buy next bar at WeekS2 stop ;

{Entrees Short}

if condition2 and (LastWeekClose < WeekR3 and LastWeekClose >= WeekR2) then
     sell short next bar at WeekR2 stop;
if condition2 and (LastWeekClose < WeekR2 and LastWeekClose >= WeekR1) then
     Sell short next bar at WeekR1 stop;
if condition2 and (LastWeekClose < WeekR1 and LastWeekClose >= WeekPP) then
     Sell short next bar at WeekPP stop;
if condition2 and (LastWeekClose < WeekPP and LastWeekClose >= WeekS1) then
     sell short next bar at WeekS1 stop;
if condition2 and (LastWeekClose < WeekS1 and LastWeekClose >= WeekS2) then
     sell short next bar at WeekS2 stop;
if condition2 and (LastWeekClose < WeekS2 and LastWeekClose >= WeekS3) then
     sell short next bar at WeekS3 stop ;

{ProfitTarget/Stop}

if PositionBasis then
     SetStopPosition
else
     SetStopShare ;

SetProfitTarget( AmountTarget*MinMove Points*BigPointValue );

     SetExitOnClose ;

if PositionBasis then
     SetStopPosition
else
     SetStopShare ;

SetStopLoss( AmountStop*MinMove Points*BigPointValue);

SetExitOnClose;

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