CLOSE RANGE BREAKOUT
This opening range breakout system — with a built-in trend filter — manufactures an opening price for reference.
Sub CloseRangeBreakout(RePointNumber,Mult,Misc,Hold)
Dim Center As BarArray
Dim HLRatio As BarArray
If RePointNumber=-1 Then
Center=NextOpen(0)
End If
If RePointNumber=0 Then
Center=Close
End If
If RePointNumber=1 Then
Center=(High+Low+Close)/3
End If
If RePointNumber=2 Then
If High-Low<>0 Then
HLRatio=(Close-Low)/(High-Low)
Else
HLRatio=.5
End If
If HLRatio>.7 Then
Center=Close-Misc*Range
End If
If HLRatio<.3 Then
Center=Close+Misc*Range
End If
End If
If RePointNumber=3 Then
Center=Close+Misc*Range
End If
' Commented out will be uncommented and be enabled for in some tests
'If CloseClose[40] Then Buy("LE",1,Center+Mult*Average(TrueRange,3,0),Stop,Day)
'If Close>Close[1] And CloseMult*Average(TrueRange,3,0),Stop,Day)
Buy("LE",1,Center+Mult*Average(TrueRange,3,0),Stop,Day)
Sell("SE",1,Center-Mult*Average(TrueRange,3,0),Stop,Day)
If BarsSinceEntryplus("LE")>Hold And marketposition=1 Then
ExitLong("LXTime","LE",1,Close,Limit,Day)
End If
If BarsSinceEntryplus("SE")>Hold And marketposition=-1 Then
ExitShort("SXTime","SE",1,Close,Limit,Day)
End if
'ExitShort("SX","SE",1,Center+Mult*Average(TrueRange,3,0),Stop,Day)
'ExitLong("LX","LE",1,Center-Mult*Average(TrueRange,3,0),Stop,Day)
marketbreakdown2()
End Sub
SHELL SHOCKED
This code includes the shell to test the trading systems that make up the overall model. Using this technology, we can look at multiple training and out-of-sample windows to adjust our rules.
Sub SAATest(PercentNear, TrainingSize, OutOfSampleSize, Report)
' Declare vars
Dim i As Integer
Dim TrAve1, InterAve1 As Double
Dim TrAve2, InterAve2 As Double
Dim Mode1, Mode2 As String
Dim Sum1, Sum2 As Double
Dim PP1, PP2 As Double
Dim DD1, DD2 As Double
' On first step create systems
If BarNumber=FirstBar Then
' Reinit
SBOT_Initialize()
Prepare System1
SBOT_StartPrepareSystem("System1")
SBOT_AddParamRange("TrLen",4,40,2)
SBOT_AddParamRange("InterLen",4,40,2)
SBOT_FinishPrepareSystem()
SBOT_SetCurrentSystem("System1")
SBOT_PrepareNeighborhoodRating(PercentNear)
' Prepare System2
SBOT_StartPrepareSystem("System2")
SBOT_AddParamRange("TrLen",4,40,2)
SBOT_AddParamRange("InterLen",4,40,2)
SBOT_FinishPrepareSystem()
SBOT_SetCurrentSystem("System2")
SBOT_PrepareNeighborhoodRating(PercentNear)
' Prepare Walk Forward
SBOT_PrepareWalkForward(TrainingSize, OutOfSampleSize)
End If
' Start new bar (here yesterday's orders are processed)
SBOT_SetCurrentBarInfo(Date[0], Open[0], High[0], Low[0], Close[0], Vol[0])
' Process all subsystems for System1
SBOT_SetCurrentSystem("System1")
For i = 0 To SBOT_SubsystemCount - 1
' Place subsystem orders
TrAve1 = Average(Close, SBOT_SubsystemParam(i, "TrLen"), 0)
InterAve1 = Average(Close Of independent1, SBOT_SubsystemParam(i, "InterLen"), 0)
If Close < TrAve1 And Close Of independent1 < InterAve1 Then
SBOT_Buy(i, 0, Market)
End If
If Close > TrAve1 And Close Of independent1 > InterAve1 Then
SBOT_Sell(i, 0, Market)
End If
Next
' Process all subsystems for System2
SBOT_SetCurrentSystem("System2")
For i = 0 To SBOT_SubsystemCount - 1
' Place subsystem orders
TrAve2 = Average(Close, SBOT_SubsystemParam(i, "TrLen"), 0)
InterAve2 = Average(Close Of independent2, SBOT_SubsystemParam(i, "InterLen"), 0)
If Close > TrAve2 And Close Of independent2 > InterAve2 Then
SBOT_Buy(i, 0, Market)
End If
If Close < TrAve2 And Close Of independent2 < InterAve2 Then
SBOT_Sell(i, 0, Market)
End If
Next
' Select best subsystem on the end of window using Neighborhood Rating
If SBOT_WalkForwardWindowStartOffset(SBOT_CurrentWalkForwardWindowIndex) - TrainingSize = 0 Then
' Select System1 and select best subsystem as current
SBOT_SetCurrentSystem("System1")
i = SBOT_BestNeighborhoodIndex(SBOT_CURRENT, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
SBOT_CurrentSubsystemIndex =
SBOT_NeighborhoodMaxSumSubsystemIndex(i, SBOT_CURRENT, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
SBOT_PrepareTradeReport(SBOT_CurrentSubsystemIndex, SBOT_CURRENT, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
Sum1 = SBOT_TradeReportSum
PP1 = SBOT_TradeReportPercentPositive
DD1 = SBOT_TradeReportMaxDrawDown
' Select System2 and select best subsystem as current
SBOT_SetCurrentSystem("System2")
i = SBOT_BestNeighborhoodIndex(SBOT_CURRENT, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
SBOT_CurrentSubsystemIndex =
SBOT_NeighborhoodMaxSumSubsystemIndex(i, SBOT_CURRENT, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
SBOT_PrepareTradeReport(SBOT_CurrentSubsystemIndex, SBOT_CURRENT, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
Sum2 = SBOT_TradeReportSum
PP2 = SBOT_TradeReportPercentPositive
DD2 = SBOT_TradeReportMaxDrawDown
End If
' Trade
If SBOT_WalkForwardWindowStartOffset(SBOT_CurrentWalkForwardWindowIndex) - TrainingSize > 0 Then
' Select System1 and get current mode
SBOT_SetCurrentSystem("System1")
Mode1 = SBOT_SubsystemMode(SBOT_CurrentSubsystemIndex, SBOT_CURRENT, SBOT_USEBARS)
' Select System2 and get current mode
SBOT_SetCurrentSystem("System2")
Mode2 = SBOT_SubsystemMode(SBOT_CurrentSubsystemIndex, SBOT_CURRENT, SBOT_USEBARS)
' Place orders
If (Mode1 = "Long") or(Mode2 = "Long") Then
Buy("", 1, 0, Market, Day)
Else
If (Mode1 = "Short" ) and (Mode2 = "Short") Then
Sell("", 1, 0, Market, Day)
Else
ExitShort("", "", 1, 0, Market, Day)
ExitLong("", "", 1, 0, Market, Day)
End If
End If
End If
' Report
If SBOT_WalkForwardWindowStartOffset(SBOT_CurrentWalkForwardWindowIndex) - TrainingSize - OutOfSampleSize = 0 Then
If Report Then
Print "Training Start: ", SBOT_WalkForwardWindowTrainingStartDate(SBOT_CurrentWalkForwardWindowIndex)
Print "Training End: ", SBOT_WalkForwardWindowTrainingEndDate(SBOT_CurrentWalkForwardWindowIndex)
Print "Run Start: ", SBOT_WalkForwardWindowRunStartDate(SBOT_CurrentWalkForwardWindowIndex)
Print "Run End: ", SBOT_WalkForwardWindowRunEndDate(SBOT_CurrentWalkForwardWindowIndex)
' Select System1 and report
SBOT_SetCurrentSystem("System1")
Print "System1:"
Print "Optimal parameters: TrLen = ", SBOT_SubsystemParam(SBOT_CurrentSubsystemIndex, "TrLen"), " InterLen = ", SBOT_SubsystemParam(SBOT_CurrentSubsystemIndex, "InterLen")
SBOT_PrepareTradeReport(SBOT_CurrentSubsystemIndex, SBOT_WalkForwardWindowStartOffset(SBOT_CurrentWalkForwardWindowIndex) - TrainingSize, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
Print "Training NetProfit: ", SBOT_TradeReportSum * bigpointvalue
Print "Training Win%: ", SBOT_TradeReportPercentPositive
Print "Training DD: ", SBOT_TradeReportMaxDrawDown * bigpointvalue
SBOT_PrepareTradeReport(SBOT_CurrentSubsystemIndex, SBOT_CURRENT, OutOfSampleSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
Print "Run NetProfit: ", SBOT_TradeReportSum * bigpointvalue
Print "Run Win%: ", SBOT_TradeReportPercentPositive
Print "Run DD: ", SBOT_TradeReportMaxDrawDown * bigpointvalue
' Select System2 and report
SBOT_SetCurrentSystem("System2")
Print "System2:"
Print "Optimal parameters: TrLen = ",
SBOT_SubsystemParam(SBOT_CurrentSubsystemIndex, "TrLen"), " InterLen = ", SBOT_SubsystemParam(SBOT_CurrentSubsystemIndex, "InterLen")
SBOT_PrepareTradeReport(SBOT_CurrentSubsystemIndex, SBOT_WalkForwardWindowStartOffset(SBOT_CurrentWalkForwardWindowIndex) - TrainingSize, TrainingSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
Print "Training NetProfit: ", SBOT_TradeReportSum * bigpointvalue
Print "Training Win%: ", SBOT_TradeReportPercentPositive
Print "Training DD: ", SBOT_TradeReportMaxDrawDown * bigpointvalue
SBOT_PrepareTradeReport(SBOT_CurrentSubsystemIndex, SBOT_CURRENT, OutOfSampleSize, SBOT_USEBARS, SBOT_SKIPOPENTRADES)
Print "Run NetProfit: ", SBOT_TradeReportSum * bigpointvalue
Print "Run Win%: ", SBOT_TradeReportPercentPositive
Print "Run DD: ", SBOT_TradeReportMaxDrawDown * bigpointvalue
Print ""
End If
' Switch to next window
SBOT_CurrentWalkForwardWindowIndex =
SBOT_CurrentWalkForwardWindowIndex + 1
End If
End Sub
EQUITY SWITCH
This code allows us to trade based on our analysis of the equity curve of a second, identical system.
Sub CHANBREAKOUTFeedback (SLen,EQLB,EQMult)
Dim MinMove
Dim virprofit As BarArray
Dim virlongprofit As BarArray
Dim virshortprofit As BarArray
MinMove=GetActiveMinMove()
If ((BarNumber<500) Or (virlongprofit-virlongprofit[EQLB]>-EQMult*Average(Range,EQLB,0)*bigpointvalue)) Then
Buy("ChanBuy",1,Highest(High,SLen,0)+MinMove ,Stop,Day)
End If
If ((BarNumber<500) Or (virshortprofit-virshortprofit[EQLB]>-EQMult*Average(Range,EQLB,0)*bigpointvalue)) Then
Sell("ChanSell",1,Lowest(Low,SLen,0)-MinMove,Stop,Day)
End if
VirtualBuy("ChanBuy",1,Highest(High,SLen,0)+MinMove ,Stop,Day)
VirtualSell("ChanSell",1,Lowest(Low,SLen,0)-MinMove,Stop,Day)
ExitShort("SX","ChanSell",1,Highest(High,SLen,0)+MinMove ,Stop,Day)
ExitLong("LX","ChanBuy",1,Lowest(Low,SLen,0)-MinMove,Stop,Day)
virprofit=VirGetPerformance("NetProfit")
virlongprofit=VirGetSysPerformance("LN",0)
virshortprofit=VirGetSysPerformance("SN",0)
End Sub
