Visualizza wikitesto di Formula 123 Low

Ci&nbsp;sono&nbsp;alcune modifiche minori per gestire alcuni casi non previsti nella rilevazione dei pattern 123, sia high che low. Per quanto riguarda le strategy ho fatto alcune verifiche sperimentali sulle prestazioni dei pattern 123H e 123L, come primo risultato ho riscontrato che il 123H, che in teoria andrebbe usato per entrare short su sfondamento del low di 2, spesso dà ottimi risultati entrando long sù rottura dell'high di 3. Lo stesso vale per il 123L, dove anzichè entrare long sù rottura dell'high di 2, si può anche entrare short su sfondamento del low di 3. 

Alla luce di queste verifiche&nbsp;è stato&nbsp;introdotto un filtro per stabilire in che direzione entrare in presenza di un pattern,&nbsp; "the trend is your friend" e quindi è stata&nbsp;inserita una media mobile esponenziale a 90 periodi come filtro indicatore del trend primario. Aggiunto anche l'&nbsp;Expert Commentary 

<br>Descrizione di alcune variabili di Input: 

*'''Account<br>'''capitale iniziale utilizzabile default (10000) 
*'''MaxPercRisk'''<br>definisce in percentuale il capitale rischiato in caso di stop loss. Lo stop-loss è due volte questo parametro, di default (2) 
*'''MaxPercLoss<br>'''definisce in percentuale il massimo rischio accettabile tra prezzo di entry e prezzo di stop. Quando il rischio calcolato è maggiore, il sistema non genera ordini. Di default (5) 
*'''Note<br>'''il sistema non gestische entrate multiple, ovvero quando è sul mercato non genera altri ordini.

<br>

Release: 123&nbsp;Low &nbsp;Version 0.0.6 15.10.2005 

Categoria: Strategia<br>Formula per Tradestation™: 

INIZIO FORMULA 

input: BarsBackTrend(15), {Bars Back ricerca del trend}<br>MaxBtwBar(4), {Max barre tra successive sequenze}<br>DisplayRH(True), {Abilita/Disabilita visualizzazione RH}<br>chkRange(True), {Abilita/Disabilita controllo Range &gt; 0}<br>Color1(Cyan), {Colore 1a Barra}<br>Color2(Red), {"" "" 2a "" ""}<br>Color3(Cyan), {"" "" 3a "" ""}<br>History(True), {Cancella old 123Low}<br>NrDelPrev(5); {Se History=False Nr di 123Low da cancellare}<br>Input:Account(10000),MaxPercRisk(2),MaxPercLoss(5),LowRisk(True);<br>{****************************************************************************}<br>var: BarLow1(0), {contatore Low 1a barra}<br>BarHigh2Low(0), { "" "" Low 2a "" ""}<br>BarHigh2High(0), { "" "" High "" "" ""}<br>BarLow3High(0), { "" "" High 3a "" ""}<br>BarLow3Low(0), { "" "" Low "" "" ""}<br>One(False), {True/False 1a Barra}<br>Two(False), { "" "" 2a "" ""}<br>Three(False), { "" "" 3a "" ""}<br>High2High(False), {Setup High 2a Barra}<br>High2Low(False), { "" Low "" "" }<br>Low3High(False), { "" High 3a "" }<br>Low3Low(False), { "" Low "" "" }<br>OffSet(0), {Offset Up/Down Testo}<br>OldLow1(0), {Precedente valore del High1 x Nullify Bar}<br>ValueOne(0), {ID testo 1a barra}<br>ValueTwo(0), {"" "" 2a "" ""}<br>ValueThree(0), {"" "" 3a "" ""}<br>ValueBrk(0), {}<br>BarTwoTxt(0), {Posizione testo 2a barra}<br>BarThreeTxt(0), {"" "" "" 3a "" }<br>CompleteLow(False), {Setup 123Low Low }<br>CompleteHigh(False),{Setup 123Low High }<br>BarBrkout(0), {Posizione Breakout 123Low}<br>idx(0), {Contatore generico }<br>Complete(False); {Setup 123Low }<br>Var:TradeAccount(-1),PosSize(0),TrailBars(10),cCurrentEntries(0),cAvgEntryPrice(0),cEntryPrice(0);<br>Var:BuyStop(-1),LExitStop(-1),SellStop(-1),SExitStop(-1),LowLimit(-1),XAverage90(0),Eq(0),T1(0); 

{****************************************************************************} 

condition1=True;<br>if chkRange then condition1=Range &gt; 0&nbsp;; 

{Incrementa contatori}<br>if complete then OldLow1=OldLow1+1;<br>if complete then BarBrkOut=BarBrkOut+1;<br>If One Then BarLow1=BarLow1+1;<br>If High2High then BarHigh2High=BarHigh2High+1;<br>if Two then BarTwoTxt=BarTwoTxt+1;<br>If High2Low then BarHigh2Low=BarHigh2Low+1;<br>If Two And Low3High then begin<br>BarLow3High=BarLow3High+1;<br>BarThreeTxt=BarThreeTxt+1;<br>end;<br>If Low3Low then BarLow3Low=BarLow3Low+1;<br>{fine incremento contatori} 

{Inizio Setup}<br>{Se il minimo e' inferiore al minimo del Low1 allora l' DownTrend continua<br>annulla il Setup }<br>if Low &lt;= Low[BarLow1] and One then begin<br>One=False;<br>Two=False;<br>Three=False;<br>High2High=False;<br>High2Low=False;<br>Low3High=False;<br>Low3Low=False;<br>BarLow1=0;<br>BarHigh2Low=0;<br>BarHigh2High=0;<br>BarLow3High=0;<br>BarLow3Low=0;<br>BarTwoTxt=0;<br>BarThreeTxt=0;<br>CompleteLow=False;<br>CompleteHigh=False;<br>end; 

{Ricerca la prima barra alla fine di un Downtrend }<br>{Swing Low}<br>if One=False And Low[1] &lt;= Lowest(Low[2],BarsBackTrend) and Low &gt; Low[1] then begin<br>BarLow1=1;<br>One=True;<br>Two=False;<br>Three=False;<br>Low3High=False;<br>Low3Low=False;<br>CompleteHigh=False;<br>CompleteLow=False;<br>if Low &gt; Low[1] then begin<br>High2Low=True;<br>BarHigh2Low=0;<br>Two=True;<br>BarTwoTxt=0;<br>end;<br>If Low[1] &gt; Low[2] then begin<br>High2Low=True;<br>BarHigh2Low=1;<br>Two=True;<br>BarTwoTxt=1;<br>end;<br>end; 

{Ricerca della 2 barra del 123Low}<br>{Se fine downtrend trovato e non e' stata ancora trovato il massimo &gt; massimo 1a barra}<br>If One And Two = False and High &gt; High[1] and condition1 then begin<br>High2High=True;<br>Two=True;<br>Three=False;<br>Low3High=False;<br>Low3Low=False;<br>BarHigh2High=0;<br>BarTwoTxt=0;<br>end; 

{Se setup 1 e 2 barre dell'123Low sono passati cerca la 3 barra ritracciata}<br>If One And Two And Three = False then begin<br>if Low3High=False And High &lt; High[BarHigh2High] or High &lt; High[1] and Condition1 then begin<br>Low3High=True;<br>BarLow3High=0;<br>end;<br>if Low3Low=False And Low &lt; Low[BarHigh2Low] or Low &lt; Low[1] and condition1 then begin<br>Low3Low=True;<br>BarLow3Low=0;<br>BarThreeTxt=0;<br>end;<br>if Low3High And Low3Low then begin<br>Three=True;<br>value1=High[BarLow1];<br>BarTwoTxt=BarLow1;<br>for idx = BarLow1 downto 0 begin<br>if High[idx] &gt; value1 then begin<br>value1=High[idx];<br>BarTwoTxt=idx;<br>end;<br>end;<br>value1=Low[BarTwoTxt];<br>for idx = BarTwoTxt downto 1 begin<br>if Low[idx] &lt; value1 then begin<br>value1=Low[idx];<br>BarThreeTxt=idx;<br>end;<br>end;<br>End;<br>CompleteLow=False;<br>CompleteHigh=False;<br>end; 

{Controllo che la combinazioni non superi il numero massimo delle barre}<br>{Ross consiglia max 3 barre 1 ,2, e 3 }<br>if BarLow1 &gt; MaxBtwBar*3 or MaxList(BarHigh2Low,BarHigh2High) &gt; MaxBtwBar*2 or MaxList(BarLow3High,BarLow3Low) &gt; MaxBtwBar then begin<br>One=False;<br>Two=False;<br>Three=False;<br>High2High=False;<br>High2Low=False;<br>Low3High=False;<br>Low3Low=False;<br>BarLow1=0;<br>BarHigh2Low=0;<br>BarHigh2High=0;<br>BarLow3High=0;<br>BarLow3Low=0;<br>BarTwoTxt=0;<br>end; 

{Completamento 123Low }<br>{ricerca primo ritracciamneto completo dell'123Low}<br>If One And Two And Three then begin<br>If CompleteLow=False And Low &gt; Low[1] then CompleteLow=True;<br>if completeHigh then BarBrkOut=BarBrkOut+1;<br>if CompleteHigh=False And High &gt; High[1] then begin<br>CompleteHigh=True;<br>BarBrkout=0;<br>end;<br>If CompleteHigh=False Or CompleteLow=False And Low &lt;= Low[barThreeTxt] then BarThreeTxt=0;<br>If CompleteLow And CompleteHigh then begin<br>if date[BarTwoTxt] &lt;= date[BarThreeTxt] then begin<br>Offset=Average(Range,15)*0.5; {Offset x testo}<br>{Trova il minimo e il massimo tra la 1a e la 3a dell-123Low}<br>ValueOne=TEXT_new(Date[BarLow1],Time[BarLow1],Low[BarLow1]-Offset,"1");{Testo della prima barra}<br>ValueTwo=Text_new(Date[BarTwoTxt],time[barTwoTxt],High[BarTwoTxt]+Offset,"2");{testo seconda barra }<br>ValueThree=Text_new(Date[barThreeTxt],time[BarThreeTxt],Low[BarThreeTxt]-Offset,"3");<br>Value1=Text_SetColor(ValueOne,Color1);<br>Value2=Text_SetColor(ValueTwo,Color2);<br>Value3=Text_SetColor(ValueThree,Color3);<br>OldLow1=BarLow1;<br>Complete=True;<br>end;<br>One=False;<br>Two=False;<br>Three=False;<br>High2High=False;<br>High2Low=False;<br>Low3High=False;<br>Low3Low=False;<br>CompleteLow=False;<br>CompleteHigh=False;<br>end;<br>end; 

{Set x RH e display 123L}<br>if Complete then begin<br>if DisplayRH then begin<br>ValueBrk=Text_new(Date[barbrkout],time[barbrkout],High[barbrkout]+offset*2,"RH------");<br>Value1=Text_SetColor(ValueBrk,Color2);<br>end;<br>Alert("Buy Long &gt; "+NumToStr(High[BarLow3High],3)+" / Stop &lt; "+NumToStr(Low[BarLow3Low],3));<br>{complete=False;}<br>end; 

{Se True cancella vecchie barre}<br>if History=False and ValueOne &gt; NrDelPrev then value1=Text_Delete(Text_Getfirst(1)); 

{ if false then Plot1(0,""); Not in Signal } 

{ Strategy }<br>XAverage90=XAverage(Close,89)[1];<br>if Complete then begin<br>value9=AbsValue(High[BarTwoTxt]-Low[BarThreeTxt])/Close*100;<br>if value9&lt;=MaxPercLoss and cCurrentEntries=0 then begin<br>TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;<br>{print(Close," ",XAverage90," ",date);<br>print(High[BarTwoTxt]," ",XAverage90[BarTwoTxt]," ",Low[BarThreeTxt]," ",XAverage90[BarThreeTxt]);<br>print(Low[BarThreeTxt]," ",XAverage90[BarThreeTxt]," ",High[BarTwoTxt]," ",XAverage90[BarTwoTxt]);}<br>if Close&gt;XAverage90 and (LowRisk=false or (High[BarTwoTxt]&gt;XAverage90[BarTwoTxt] and Low[BarThreeTxt]&gt;XAverage90[BarThreeTxt])) then begin<br>BuyStop=TicksRound(High[BarTwoTxt]+TicksMTS(High[BarTwoTxt]));<br>LExitStop=TicksRound(Low[BarThreeTxt]-TicksMTS(Low[BarThreeTxt]));<br>LowLimit=TicksRound(Low[BarLow1]-TicksMTS(Low[BarLow1]));<br>SellStop=-1;<br>SExitStop=-1;<br>end<br>else if Close&lt;=XAverage90 and (LowRisk=false or (Low[BarThreeTxt]&lt;=XAverage90[BarThreeTxt] and High[BarTwoTxt]&lt;=XAverage90[BarTwoTxt])) then begin<br>SellStop=TicksRound(Low[BarThreeTxt]-TicksMTS(Low[BarThreeTxt]));<br>SExitStop=TicksRound(High[BarTwoTxt]+TicksMTS(High[BarTwoTxt]));<br>BuyStop=-1;<br>LExitStop=-1;<br>LowLimit=-1;<br>end;<br>if MaxList(BuyStop,SellStop)&lt;&gt;-1 and TradeAccount&gt;2*MaxList(BuyStop,SellStop) then<br>PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,MaxList(BuyStop,SellStop),MaxList(BuyStop,SExitStop)-MaxList(LExitStop,SellStop))<br>else begin<br>BuyStop=-1;<br>LExitStop=-1;<br>LowLimit=-1;<br>SellStop=-1;<br>SExitStop=-1;<br>end;<br>end;<br>Complete=False;<br>{print("Complete0 ",date[BarLow1]," ",date[BarTwoTxt]," ",date[BarThreeTxt]);<br>print("Complete1 ",date[BarHigh2Low]," ",date[BarHigh2High]," ",date[BarLow3Low]," ",date[BarLow3High]);}<br>end; 

if MarketPosition=0 then begin<br>if BuyStop&lt;&gt;-1 then begin<br>if Low&gt;LowLimit and Close&gt;XAverage90 then<br>Buy ("RHL") PosSize shares next bar at BuyStop stop<br>else begin<br>BuyStop=-1;<br>LExitStop=-1;<br>LowLimit=-1;<br>end;<br>end<br>else if SellStop&lt;&gt;-1 then begin<br>if High&lt;SExitStop and Close&lt;=XAverage90 then<br>Sell ("RHS") PosSize shares next bar at SellStop stop<br>else begin<br>SellStop=-1;<br>SExitStop=-1;<br>end;<br>end;<br>end; 

cCurrentEntries=CurrentEntries;<br>cAvgEntryPrice=AvgEntryPrice;<br>if (cCurrentEntries&gt;cCurrentEntries[1]) then begin<br>cEntryPrice=(CurrentContracts*AvgEntryPrice-(CurrentContracts-PosSize)*cAvgEntryPrice[1])/PosSize;<br>BuyStop=-1;<br>LowLimit=-1;<br>SellStop=-1;<br>end;<br>if (cCurrentEntries=0 and cCurrentEntries[1]&lt;&gt;0) then begin<br>LExitStop=-1;<br>SExitStop=-1;<br>end; 

{ Gestione Exit Stop &amp; Trailing }<br>if MarketPosition=1 then begin<br>{if Low&gt;cEntryPrice and cEntryPrice&gt;LExitStop then<br>LExitStop=cEntryPrice;} {Peggiora performance}<br>ExitLong ("LES") next bar at LExitStop stop;<br>if BarsSinceEntry&gt;TrailBars then<br>ExitLong ("LET") next bar at TicksRound(Lowest(Low,TrailBars)) stop;<br>end<br>else if MarketPosition=-1 then begin<br>{if High&lt;cEntryPrice and cEntryPrice&lt;SExitStop then<br>SExitStop=cEntryPrice;} {Peggiora performance}<br>ExitShort ("SES") next bar at SExitStop stop;<br>if BarsSinceEntry&gt;TrailBars then<br>ExitShort ("SET") next bar at TicksRound(Highest(High,TrailBars)) stop;<br>end; 

{ Expert Commentary Report }<br>If AtCommentaryBar then begin<br>Eq=Account-(CurrentContracts*AvgEntryPrice)+NetProfit;<br>Vars:Str("");<br>Str=Str+"*************** System inputs **************************"+NewLine;<br>Str=Str+"Starting Capital&nbsp;: "+NumToStr(Account,2)+NewLine;<br>Str=Str+"Percentage of Equity to risk&nbsp;: "+NumToStr(MaxPercRisk,2)+"&nbsp;% "+NewLine;<br>Str=Str+"*************** Current statistics ************************"+NewLine;<br>Str=Str+"Market position&nbsp;: "+NumToStr(MarketPosition,0)+NewLine;<br>Str=Str+"Current Shares held&nbsp;: "+NumToStr(CurrentContracts,0)+NewLine;<br>Str=Str+"Current Equity&nbsp;: "+NumToStr(Eq,2)+NewLine;<br>if BuyStop&lt;&gt;-1 or SellStop&lt;&gt;-1 then<br>Str=Str+"Percentage of current Equity to risk&nbsp;: "+NumToStr(MaxPercRisk,2)+"&nbsp;% equals "+NumToStr(-Eq*MaxPercRisk/100,2)+" dollars "+NewLine;<br>If BuyStop&lt;&gt;-1 then begin<br>Str=Str+"Entry Long&nbsp;: "+NumToStr(BuyStop,4)+NewLine;<br>Str=Str+"Exit Long&nbsp;: " +NumToStr(LExitStop,4)+NewLine;<br>Str=Str+"Difference between Entry Long and Exit Long in Dollars&nbsp;: "+NumToStr(BuyStop-LExitStop,4)+NewLine;<br>Str=Str+"Number of shares to buy to risk "+NumToStr(MaxPercRisk,2)+"&nbsp;% of capital&nbsp;: "+NumToStr(PosSize,0)+NewLine;<br>end<br>else If MarketPosition=1 then begin<br>Eq=Account+NetProfit;<br>T1=-CurrentContracts*(cAvgEntryPrice-LExitStop);<br>Str=Str+"Percentage of current Equity to risk&nbsp;: "+NumToStr(AbsValue(100*T1/Eq),2)+"&nbsp;% equals "+NumToStr(T1,2)+" dollars "+NewLine;<br>Str=Str+"Entry Long&nbsp;: "+NumToStr(cEntryPrice,4)+NewLine;<br>Str=Str+"Exit Long&nbsp;: " +NumToStr(LExitStop,4)+NewLine;<br>Str=Str+"Difference between Entry Long and Exit Long in Dollars&nbsp;: "+NumToStr(cEntryPrice-LExitStop,4)+NewLine;<br>Str=Str+"Open Position Profit in Dollars&nbsp;: "+NumToStr(OpenPositionProfit,2)+NewLine;<br>end;<br>If SellStop&lt;&gt;-1 then begin<br>Str=Str+"Entry Short&nbsp;: "+NumToStr(SellStop,4)+NewLine;<br>Str=Str+"Exit Short&nbsp;: " +NumToStr(SExitStop,4)+NewLine;<br>Str=Str+"Difference between Entry Short and Exit Short in Dollars&nbsp;: "+NumToStr(SExitStop-cEntryPrice,4)+NewLine;<br>Str=Str+"Number of shares to Sell to risk "+NumToStr(MaxPercRisk,2)+"&nbsp;% of capital&nbsp;: "+NumToStr(PosSize,0)+NewLine;<br>end<br>else If MarketPosition=-1 then begin<br>Eq=Account+NetProfit;<br>T1=-CurrentContracts*(SExitStop-cAvgEntryPrice);<br>Str=Str+"Percentage of current Equity to risk&nbsp;: "+NumToStr(AbsValue(100*T1/Eq),2)+"&nbsp;% equals "+NumToStr(T1,2)+" dollars "+NewLine;<br>Str=Str+"Entry Short&nbsp;: "+NumToStr(cEntryPrice,4)+NewLine;<br>Str=Str+"Exit Short&nbsp;: " +NumToStr(SExitStop,4)+NewLine;<br>Str=Str+"Difference between Entry Short and Exit Short in Dollars&nbsp;: "+NumToStr(SExitStop-cEntryPrice,4)+NewLine;<br>Str=Str+"Open Position Profit in Dollars&nbsp;: "+NumToStr(OpenPositionProfit,2)+NewLine;<br>end;<br>Commentary(Str);<br>end;<br><br>

FINE FORMULA 

== Vedi anche:  ==

*[[Indice sequenziale Formule|Indice sequenziale Formule]] 
*[[Formula 123 High]]

[[Category:Formule]]