JCPKO automated trading development ws turbo 2000
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JCPKO automated trading development ws turbo 2000
tak konecne si idem obacktestovat nake veci a aby rec nestala a aby som sa k tomu aj donutil trocha a mozno to niekoho tiez bude zajimat a mozno mna po nakom case ked sa ktomu budem chcet vratit, tak to tu budem pisat.
obacktestovat chcem indikatory, trendy ma zajimaju a sak uvidime co este. ak z toho bude aspon nieco trocha pouzitelne tak to chcem nacpat do finvizu, teoreticky mozno nieco aj trejdovat, ale to som dost skepticky...
prvy problem: v com
vsetko som si zatial backtestoval vo vlastnych softoch, ale docela ma desi ze v tom mozem mat chybu, takze by to chcelo 2 nezavisle platformy (a zdroje dat) a aspon na te jednoduchsie veci snad by mohlo byt nieco pouzitelne.
na vyber je napr:
http://www.tradestation.com" onclick="window.open(this.href);return false;
http://www.wealth-lab.com" onclick="window.open(this.href);return false;
http://www.ninjatrader.com" onclick="window.open(this.href);return false;
http://www.tradingblox.com/" onclick="window.open(this.href);return false;
http://www.smartquant.com/openquant.php" onclick="window.open(this.href);return false;
http://www.mechanicasoftware.com" onclick="window.open(this.href);return false;
rozne moznosti, rozne ceny, moc to nepoznam, ale open quant vypada celki gut, cenovo aj pouzitelne, aspon teda premna ze sa tam da snad rovno pisat c# kod, co myslim ne vsade. no uvidime, idem to pozret
obacktestovat chcem indikatory, trendy ma zajimaju a sak uvidime co este. ak z toho bude aspon nieco trocha pouzitelne tak to chcem nacpat do finvizu, teoreticky mozno nieco aj trejdovat, ale to som dost skepticky...
prvy problem: v com
vsetko som si zatial backtestoval vo vlastnych softoch, ale docela ma desi ze v tom mozem mat chybu, takze by to chcelo 2 nezavisle platformy (a zdroje dat) a aspon na te jednoduchsie veci snad by mohlo byt nieco pouzitelne.
na vyber je napr:
http://www.tradestation.com" onclick="window.open(this.href);return false;
http://www.wealth-lab.com" onclick="window.open(this.href);return false;
http://www.ninjatrader.com" onclick="window.open(this.href);return false;
http://www.tradingblox.com/" onclick="window.open(this.href);return false;
http://www.smartquant.com/openquant.php" onclick="window.open(this.href);return false;
http://www.mechanicasoftware.com" onclick="window.open(this.href);return false;
rozne moznosti, rozne ceny, moc to nepoznam, ale open quant vypada celki gut, cenovo aj pouzitelne, aspon teda premna ze sa tam da snad rovno pisat c# kod, co myslim ne vsade. no uvidime, idem to pozret
Re: JCPKO automated trading development ws turbo 2000
este pozeram ze v ninjatrader-y sa da programovat aj "klikanim" a nieco je zadarmo
![Obrázok](http://www.ninjatrader.com/webnew/TradingSysDev_Cond_LG.jpg)
http://www.ninjatrader.com/webnew/tradi ... r_free.htm" onclick="window.open(this.href);return false;
tak jak sa doktor inzinier profesor lobista csc pytal jak sa da backtestovat, tak toto teoreticky by mohlo byt pouzitelne aj pre ludi co nevedia programovat. neviem sice jak velmi, ale sak treba vyskusat.
![Obrázok](http://www.ninjatrader.com/webnew/TradingSysDev_Cond_LG.jpg)
http://www.ninjatrader.com/webnew/tradi ... r_free.htm" onclick="window.open(this.href);return false;
tak jak sa doktor inzinier profesor lobista csc pytal jak sa da backtestovat, tak toto teoreticky by mohlo byt pouzitelne aj pre ludi co nevedia programovat. neviem sice jak velmi, ale sak treba vyskusat.
Re: JCPKO automated trading development ws turbo 2000
K ninjatraderu, je dost info aj tu: http://www.financnik.cz/komodity/recenz ... der-7.html" onclick="window.open(this.href);return false; (vlavo v menu je cela seria clankov)
Re: JCPKO automated trading development ws turbo 2000
a ty si sufo co inac pouzival?
openquant som nainstaloval (30 day trial zatial), musel som koli tomu instalovat net 3.5 a dost to hadze crash tabulky ze sa nieco posralo...
no a prvy problem co mam - data:
nechcem to testovat na 5, ani 10, ani 20 akciach, ja tam chcem namackat aspon sp500 a neni odveci to pustit na celu burzu (7000 akcii), jak som to robil vo svojom backtestovatku. snad to tam pojde nacpat, 500-2000 akcii aspon...
data zadarmo openquant ma yahoo a google. na ninjatrader-y vyzeraju dobre te zenfire data, ale ninjatrader ze ma byt naprd voci openquantu, co sa tyka programovania:
http://www.elitetrader.com/vb/showthrea ... did=130182" onclick="window.open(this.href);return false;
openquant vyzera +/- ok, ak sa mi tam podari nacpat vsetky data (asi z ib). to som este snival ze by mali historicke data vratane delistovanych akcii... zadarmo...![Laughing :lol:](./images/smilies/icon_lol.gif)
openquant som nainstaloval (30 day trial zatial), musel som koli tomu instalovat net 3.5 a dost to hadze crash tabulky ze sa nieco posralo...
no a prvy problem co mam - data:
nechcem to testovat na 5, ani 10, ani 20 akciach, ja tam chcem namackat aspon sp500 a neni odveci to pustit na celu burzu (7000 akcii), jak som to robil vo svojom backtestovatku. snad to tam pojde nacpat, 500-2000 akcii aspon...
data zadarmo openquant ma yahoo a google. na ninjatrader-y vyzeraju dobre te zenfire data, ale ninjatrader ze ma byt naprd voci openquantu, co sa tyka programovania:
http://www.elitetrader.com/vb/showthrea ... did=130182" onclick="window.open(this.href);return false;
openquant vyzera +/- ok, ak sa mi tam podari nacpat vsetky data (asi z ib). to som este snival ze by mali historicke data vratane delistovanych akcii... zadarmo...
![Laughing :lol:](./images/smilies/icon_lol.gif)
Re: JCPKO automated trading development ws turbo 2000
chcel som pozret ninjatrader, ale asi budem muset pockat na 7.0
http://www.ninjatrader-support2.com/vb/ ... p?p=102595" onclick="window.open(this.href);return false;
http://www.ninjatrader-support2.com/vb/ ... p?p=102595" onclick="window.open(this.href);return false;
Re: JCPKO automated trading development ws turbo 2000
ach jaj
podarilo sa mi nadrbat do openquantu 500 akcii - zatial len zoznam a teraz stahujem historicke data - IB potrebuje ku akcii vedet exchange, co asi rucne ku kazdej akcii nastavovat nebudem. takze budem muset pouzit yahoo/google.
importujem to a je to PRISERNE pomale, nechapem co stymi datami openquant robi.
![Mad :x](./images/smilies/icon_mad.gif)
podarilo sa mi nadrbat do openquantu 500 akcii - zatial len zoznam a teraz stahujem historicke data - IB potrebuje ku akcii vedet exchange, co asi rucne ku kazdej akcii nastavovat nebudem. takze budem muset pouzit yahoo/google.
importujem to a je to PRISERNE pomale, nechapem co stymi datami openquant robi.
Re: JCPKO automated trading development ws turbo 2000
Ja som najprv testoval v mojom vlastnom skripte (napisany v jazyku Perl), potom som skusal male veci aj v Exceli a nakoniec som skoncil v XTB platforme, lebo u nich mam aj ucet a celkom rychlo som sa chytil v jazyku co maju v platforme. Robil som len testy na kukurici a neskor som skusal len tak cvicne cukor, kavu ale ziadne akcie. Ninjatrader som neskusal, ja si to radsej nakodujem ako by som mal vyklikavat v nejakej pseudo anglictine pravidla.
Neviem si najst cas aby som sa zasa tomu trochu zacal venovat, pretoze si chcem backtestnut aj forex. Hneva ma, ze zabijam vsetok cas v praci. Ale dost bolo vyplakavania.
Neviem si najst cas aby som sa zasa tomu trochu zacal venovat, pretoze si chcem backtestnut aj forex. Hneva ma, ze zabijam vsetok cas v praci. Ale dost bolo vyplakavania.
Re: JCPKO automated trading development ws turbo 2000
mam naimportovane data, trvalo to asi 10 hodin.
pustil som naky crossover demo backtest primitivny co tam je, 1990-2009 daily, 500 akcii.... desne sa to vlece (vypada to na 15 minut).
ach jaj, tak to asi nebol tak uzasny napad jak sa mi zdalo na zaciatku.
pustil som naky crossover demo backtest primitivny co tam je, 1990-2009 daily, 500 akcii.... desne sa to vlece (vypada to na 15 minut).
ach jaj, tak to asi nebol tak uzasny napad jak sa mi zdalo na zaciatku.
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Re: JCPKO automated trading development ws turbo 2000
skus este amibroker ... problemom je, ze ta trial verzia ti nedovoli moc vela veci savnut, ale skus najst niekde crack na to ... mas tam kopu rozhrani na data, je tam aj rozhranie priamo na stahovanie dat z yahoo (aj ODBC rozhranie tam je ak mas nejaku databazu kde mas data) ... len to ma trosku divny jazyk na kodenie ... ale je to vcelku svizne na testy ...
to ze sa to vlece - no to je dovod preco maju velke hedge fund housy vecsinou vlastny IT vyvoj a programatorov (a velke preto, ze to je desne drahe) ... aby to mali postavene na niecom sviznejsom ...
to ze sa to vlece - no to je dovod preco maju velke hedge fund housy vecsinou vlastny IT vyvoj a programatorov (a velke preto, ze to je desne drahe) ... aby to mali postavene na niecom sviznejsom ...
http://www.Quantpedia.com - the leading quantitative trading research company
Re: JCPKO automated trading development ws turbo 2000
vcera som pustil rsi backtest
asi o 1 v noci.. o 2:20 som to vzdal a isiel spat... dneska pridem a privita ma "out of memory exception" tabulka
pozrem ten amibroker ale zazrak od toho necakam.
![Laughing :lol:](./images/smilies/icon_lol.gif)
asi o 1 v noci.. o 2:20 som to vzdal a isiel spat... dneska pridem a privita ma "out of memory exception" tabulka
![Laughing :lol:](./images/smilies/icon_lol.gif)
pozrem ten amibroker ale zazrak od toho necakam.
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Re: JCPKO automated trading development ws turbo 2000
ak to chces robit na 7tis akciach, tak sa bojim, ze ti nic ine neostane ako si to urobit na Ccku sam (mas v tom inak aj delisted, merged a discontinued veci ked si sa uz tak rozbehol? ... lebo ak to budes mat bez toho tak na 10 rokoch na celom univerze ti uz zacnu vychadzat dobre haluze podla mna) ...
http://www.Quantpedia.com - the leading quantitative trading research company
Re: JCPKO automated trading development ws turbo 2000
staci na 2 tisic tradovatelnych (najlepsie vsetko samozrejme funguje na low volume akciach, akorat je to realne nepouzitelne, kedze tam moze naskakat riadne slippage, ak vobec to pojde/kupit predat)radvan napísal:ak to chces robit na 7tis akciach, tak sa bojim, ze ti nic ine neostane ako si to urobit na Ccku sam (mas v tom inak aj delisted, merged a discontinued veci ked si sa uz tak rozbehol? ... lebo ak to budes mat bez toho tak na 10 rokoch na celom univerze ti uz zacnu vychadzat dobre haluze podla mna) ...
delistovane data nemam, co som pozeral tu sa daju napr kupit
http://www.premiumdata.net/products/pre ... /price.php" onclick="window.open(this.href);return false;
Delisted US Data History back to 1985 $232.00
Delisted US Data History back to 1950 +$240.00
do tych 1985 by to malo stacit
chcel som to asi tak, ze zoberem bar jaky indikator, napr. cci
vo volakej platforme napisem 1 riadok, run..
ak to bude dobre, zacnem to riesit v mojom softe
a ak to bude dobre aj tam, potom mozem kupit te delistovane data
nainstaloval som ten amibroker, posobi to cele trocha smejdovo ale je to dost svizne.. akorat ten ich programovaci jazyk sa budem muset naucit...
snad nake buy na cci(14) sa tam bude dat spravit lahko...
no a ty co, nebacktestujes volaco? ten amibroker si realne pouzival/skusal si v tom nieco backtestovat?
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Re: JCPKO automated trading development ws turbo 2000
ten ami som z rychlika (par dni) pozeral a testoval ... ma tam moznot cez jeden klik si tam nastavit ze ked rsi je tolko tak buy, ked inak tak sell aj bez programovania - je tam taka featurka, ze si vyklikas len podmienky a ono ti to uz napise kod ... da sa dat na jakom bare to ma kupit, optimalizacie a podobne srandy a da sa to robit relativne rychlo aj bez kodenia ...
ono v com testovat neni az taky problem ako data ... kedze plati trash in, trash out ... lebo to jake mas data tak to ti vyjde ... ak nemas delisted a skusas to na micro capoch, tak ti rsi vyjde ako strasne super napr. lebo tam mas survivorship bias jak svina ... a podobne chutovky ...
takze na toto je podla mna ten ami vcelku fajn ...chcel som to asi tak, ze zoberem bar jaky indikator, napr. cci
vo volakej platforme napisem 1 riadok, run..
ak to bude dobre, zacnem to riesit v mojom softe
ono v com testovat neni az taky problem ako data ... kedze plati trash in, trash out ... lebo to jake mas data tak to ti vyjde ... ak nemas delisted a skusas to na micro capoch, tak ti rsi vyjde ako strasne super napr. lebo tam mas survivorship bias jak svina ... a podobne chutovky ...
http://www.Quantpedia.com - the leading quantitative trading research company
Re: JCPKO automated trading development ws turbo 2000
este toto je moznost
http://www.rightedgesystems.com" onclick="window.open(this.href);return false;
(to ma byt podobne jak openquant, ale skusat to uz asi nebudem, ten amibroker vypada byt idealny)
http://www.elitetrader.com/vb/printthre ... did=120435" onclick="window.open(this.href);return false;
4. AmiBroker... following some other posters, I've been wrestling with AmiBroker for the past 6 weeks. It's a little wierd in places, a little unique and esoteric... but generally it's a fabulous piece of software, backed by one of the best programmers in the industry from wat I've seen. I think I'd have to agree with other posters who use AmiBroker ad their idea generation and backtesting platform (it's VERY quick)... and then they port those ideas over to either RightEdge, Ninja or OpenQuant. I think that's a good system. But AmiBroker can probably do what you want from a backtesting angle... However, forget about AmiBroker as an automated trading platform... it's not built for that. But in terms of raw speed of backtest and optimization it leaves all the others for dead. And it's pretty cheap.
http://www.rightedgesystems.com" onclick="window.open(this.href);return false;
(to ma byt podobne jak openquant, ale skusat to uz asi nebudem, ten amibroker vypada byt idealny)
http://www.elitetrader.com/vb/printthre ... did=120435" onclick="window.open(this.href);return false;
4. AmiBroker... following some other posters, I've been wrestling with AmiBroker for the past 6 weeks. It's a little wierd in places, a little unique and esoteric... but generally it's a fabulous piece of software, backed by one of the best programmers in the industry from wat I've seen. I think I'd have to agree with other posters who use AmiBroker ad their idea generation and backtesting platform (it's VERY quick)... and then they port those ideas over to either RightEdge, Ninja or OpenQuant. I think that's a good system. But AmiBroker can probably do what you want from a backtesting angle... However, forget about AmiBroker as an automated trading platform... it's not built for that. But in terms of raw speed of backtest and optimization it leaves all the others for dead. And it's pretty cheap.
Re: JCPKO automated trading development ws turbo 2000
tak naco cakas, v praci sa isto nudis, zober si naky zoznam indikatorov....radvan napísal:ten ami som z rychlika (par dni) pozeral a testoval ...
![Laughing :lol:](./images/smilies/icon_lol.gif)
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Re: JCPKO automated trading development ws turbo 2000
uplne sa stotoznujem ...jonatanus napísal: http://www.elitetrader.com/vb/printthre ... did=120435" onclick="window.open(this.href);return false;
4. AmiBroker... following some other posters, I've been wrestling with AmiBroker for the past 6 weeks. It's a little wierd in places, a little unique and esoteric... but generally it's a fabulous piece of software, backed by one of the best programmers in the industry from wat I've seen. I think I'd have to agree with other posters who use AmiBroker ad their idea generation and backtesting platform (it's VERY quick)... and then they port those ideas over to either RightEdge, Ninja or OpenQuant. I think that's a good system. But AmiBroker can probably do what you want from a backtesting angle... However, forget about AmiBroker as an automated trading platform... it's not built for that. But in terms of raw speed of backtest and optimization it leaves all the others for dead. And it's pretty cheap.
jak som pisal vyssie ... vybrat indikator je simple ... zabezpecit, aby to nebol trash in a trash out (data) a overit, ze ci to "out" neni blud (data mining) aj ked to "in" je OK, to je to umenietak naco cakas, v praci sa isto nudis, zober si naky zoznam indikatorov....
![Smile :)](./images/smilies/icon_smile.gif)
http://www.Quantpedia.com - the leading quantitative trading research company
Re: JCPKO automated trading development ws turbo 2000
to uz je ten lepsi problem, vacsina z tych indikatorov stoji za prd na prvy pohlad.. takze najprv to chcem vyfiltrovat aspon na tie co stoja za prd az na druhy pohladradvan napísal:jak som pisal vyssie ... vybrat indikator je simple ... zabezpecit, aby to nebol trash in a trash out (data) a overit, ze ci to "out" neni blud (data mining) aj ked to "in" je OK, to je to umenie
Re: JCPKO automated trading development ws turbo 2000
ten amibroker vypada bajecne.. cele to robi jeden poliak, keby si spravil normalnu stranku, trocha prerobil UI a predaval to 10x drahsie tak je to paradny high-endovy software. ![Laughing :lol:](./images/smilies/icon_lol.gif)
![Laughing :lol:](./images/smilies/icon_lol.gif)
Re: JCPKO automated trading development ws turbo 2000
On nevypada, on je dobry. Tu stránku ma odfláknutú.
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Re: JCPKO automated trading development ws turbo 2000
sak mu navrhni dajaku spolupracu ... tvoj edge neni v trading systemoch, ale v tom co vies -> finviz a spol ... a tym, ze je poliak, tak sa s nim skorej na dacom dohodnes jak s dakym z ameriky pre koho si z jak ked ku nam pride dakto z nigerie a snazi sa robit business ...jonatanus napísal:ten amibroker vypada bajecne.. cele to robi jeden poliak, keby si spravil normalnu stranku, trocha prerobil UI a predaval to 10x drahsie tak je to paradny high-endovy software.
http://www.Quantpedia.com - the leading quantitative trading research company
Re: JCPKO automated trading development ws turbo 2000
tiez ma to napadlo, ale...radvan napísal:sak mu navrhni dajaku spolupracu ... tvoj edge neni v trading systemoch, ale v tom co vies -> finviz a spol ... a tym, ze je poliak, tak sa s nim skorej na dacom dohodnes jak s dakym z ameriky pre koho si z jak ked ku nam pride dakto z nigerie a snazi sa robit business ...
1. poznam take typi co si 100 rokov bastlia jednu svoju vec a nic ine ich nezajima, ved to ze by si mal zlepsit tu stranku mu snad povedalo uz milion ludi
2. netusim kolko toho ma predaneho, ale obavam sa ze aspon na polske pomery uz asi bude zavodou, teda neviem ci sa ma preco somnou vobec bavit
3. ten soft je dobry pre ludi co potrebuju konkretne taky software a.. pozri si fora a vsade je openquant, tradestation, wealthlab, ninja.. toto prakticky nikdo nespomina, malo ludi potrebuje backtestovat milion akcii.
4. te grafy co to ma su pouzitelne ale dost debilne sa mi to zda byt.. aj ked to by sa dalo prerobit, len obavam ze on si to robi podla seba a basta
5. teto softy su zajimave koli vysokej cene, ale to ide uz do prdele, moc velka konkurencia, vela veci zadarmo, atd.. vid tradestation co stalo neviem kolko, teraz to davaju zadarmo ak si otvoris konto a spravis aspon 50 trejdov tusim.. wealthlab detto, ninju mas zadarmo, openquant+rightedge $50/month..
6. nasi uzivatelia nesu moc kompatibilny s "potrebujem backtester na milion akcii"
7. on ma edge v programovani backtestovatka, lenze nam by sa skorej hodilo edge v tradingu
sak porozmyslam este...
inac my uz sme americka firma ak si si nevsimol
![Laughing :lol:](./images/smilies/icon_lol.gif)
http://finviz.com/services.ashx" onclick="window.open(this.href);return false;
Re: JCPKO automated trading development ws turbo 2000
tak naimportoval som sp500 historicke data 1990-dnes (yahoo), trvalo to miesto 10 hodin ani ne 10 minut.
a takto vychadza naky benchmark na backtesty (miesto hodin to trva sekundy):
co ak by tie akcie nemali long bias (v sp500 su samozrejme len neskrachovane akcie), tak by takyto trejdovaci system mal v priemere zarobit presnu nulu a 50% trejdov by malo byt ziskovych a 50% stratovych. (neratame poplatky a slippage)
realita je takato:
All trades 99129
Avg. Profit/Loss 0.40-0.45%
Winners 53%
Losers 47%
teda na 100tisic trejdoch to robi pri nahodnom nakupe za 10 dni v priemere +0.4%
takze ked budem testovat entry signaly, stym ze od nakupu podrzim 10 dni, ak ten signal ma za nieco stat, musi to byt viacej jak 0.4% (alebo menej pokial je to short)
teto data nesu uzasne, ale ako prvy pass vylucovacej metody totalnych hovadin by mali bohate stacit.
a takto vychadza naky benchmark na backtesty (miesto hodin to trva sekundy):
nahodne nakupim zhruba kazdy 10. bar (daily) a po 10 baroch predamBuy=Random() > 0.90;
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
co ak by tie akcie nemali long bias (v sp500 su samozrejme len neskrachovane akcie), tak by takyto trejdovaci system mal v priemere zarobit presnu nulu a 50% trejdov by malo byt ziskovych a 50% stratovych. (neratame poplatky a slippage)
realita je takato:
All trades 99129
Avg. Profit/Loss 0.40-0.45%
Winners 53%
Losers 47%
teda na 100tisic trejdoch to robi pri nahodnom nakupe za 10 dni v priemere +0.4%
takze ked budem testovat entry signaly, stym ze od nakupu podrzim 10 dni, ak ten signal ma za nieco stat, musi to byt viacej jak 0.4% (alebo menej pokial je to short)
teto data nesu uzasne, ale ako prvy pass vylucovacej metody totalnych hovadin by mali bohate stacit.
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Re: JCPKO automated trading development ws turbo 2000
to je to co som pisal o datach ...jonatanus napísal:v tych datach su posrane splity
to je korektne ... nemalo by to mat ~0%, kedze ak maju akcie rocne ~10%, tak za 10 dni ti spravia v priemere 0,4% ... takze to neni moc tym long bias (aj ked v S&P samozrejme je, ale ne az tak velky) ...nahodne nakupim zhruba kazdy 10. bar (daily) a po 10 baroch predam
co ak by tie akcie nemali long bias (v sp500 su samozrejme len neskrachovane akcie), tak by takyto trejdovaci system mal v priemere zarobit presnu nulu a 50% trejdov by malo byt ziskovych a 50% stratovych. (neratame poplatky a slippage)
realita je takato:
All trades 99129
Avg. Profit/Loss 0.40-0.45%
Winners 53%
Losers 47%
teda na 100tisic trejdoch to robi pri nahodnom nakupe za 10 dni v priemere +0.4%
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Re: JCPKO automated trading development ws turbo 2000
no sak tych 10% rocne je long biasradvan napísal:to je korektne ... nemalo by to mat ~0%, kedze ak maju akcie rocne ~10%, tak za 10 dni ti spravia v priemere 0,4% ... takze to neni moc tym long bias (aj ked v S&P samozrejme je, ale ne az tak velky) ...
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Re: JCPKO automated trading development ws turbo 2000
skor by som povedal ze 1-2% z tych 10% su napr. ten bias ze tam su firmy co nekrachuju a ked dajaka krachuje tak ide von z indexu ... zvysnych 8-9% su jednoducho akciovy vynos ... celych 10% dat len tomu neni dobre ... ked si pozries na nete studie, tak to je plus minus tak ...
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Re: JCPKO automated trading development ws turbo 2000
ja to volam cele bias.. je mi jedno kolko z toho je priemerny akciovy vynos, dividendy alebo chybajuce delistovane akcie..radvan napísal:skor by som povedal ze 1-2% z tych 10% su napr. ten bias ze tam su firmy co nekrachuju a ked dajaka krachuje tak ide von z indexu ... zvysnych 8-9% su jednoducho akciovy vynos ... celych 10% dat len tomu neni dobre ... ked si pozries na nete studie, tak to je plus minus tak ...
nebude proste rovnako dobre fungovat short jak long, to je podstatne, ze sa to bude furt priklanat do plusu.
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Re: JCPKO automated trading development ws turbo 2000
ok, aj tak sa da ![Smile :)](./images/smilies/icon_smile.gif)
![Smile :)](./images/smilies/icon_smile.gif)
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Re: JCPKO automated trading development ws turbo 2000
zobral som google data (split adjusted, yahoo je naprd ze ma uplne neadjusted alebo potom split+dividend ajdusted, takze na split adjusted treba zobrat split+dividend adjusted a odratat dividendy, resp. este aj o tom sa da diskutovat ci tam te dividendy byt maju zaratane alebo ne)ne-split-adjusted-yahoo-data napísal:All trades 99129
Avg. Profit/Loss 0.40-0.45%
Winners 53%
Losers 47%
All trades 104304
Avg. Profit/Loss 0.65-0.7%
Avg. Bars Held 10.94
Winners 52.5%
Losers 47.5%
tak aspon ten win:loss pomer je zhruba rovnaky
![Laughing :lol:](./images/smilies/icon_lol.gif)
pustim teda volaco na tychto google datach
Re: JCPKO automated trading development ws turbo 2000
data berem radsej 1995-dnes, pred 1995 tam bolo viacej chyb...
takze ten random 1995-dnes je zhruba takto (google):
All trades 80817
Avg. Profit/Loss 0.53-0.56%
Avg. Bars Held 10.93
Winners 42616 (~52.5 %) Avg. Profit 5.82%
Losers 38201 (~47.5 %) Avg. Loss -5.30%
------------------------------------------------
MACD 12,26,9
exit: 10 barov
All trades 52398
Avg. Profit/Loss 0.34%
Avg. Bars Held 10.97
Winners 27003 (51.53 %) Avg. Profit 5.68%
Losers 25395 (48.47 %) Avg. Loss -5.35%
ak toto ma byt long signal, tak je to nielenze nanic, ale este aj nahovno, lebo to underperformuje - na random datach je 52.5% winnerov, macd ma 51.5%, avg. profit random 0.5%, macd avg profit 0.34%
takze ten random 1995-dnes je zhruba takto (google):
All trades 80817
Avg. Profit/Loss 0.53-0.56%
Avg. Bars Held 10.93
Winners 42616 (~52.5 %) Avg. Profit 5.82%
Losers 38201 (~47.5 %) Avg. Loss -5.30%
------------------------------------------------
MACD 12,26,9
entry: ked macd presekne signal (cervena z dola hore) (long only)Buy=Cross(MACD(12, 26), Signal(12,26,9));
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
exit: 10 barov
All trades 52398
Avg. Profit/Loss 0.34%
Avg. Bars Held 10.97
Winners 27003 (51.53 %) Avg. Profit 5.68%
Losers 25395 (48.47 %) Avg. Loss -5.35%
ak toto ma byt long signal, tak je to nielenze nanic, ale este aj nahovno, lebo to underperformuje - na random datach je 52.5% winnerov, macd ma 51.5%, avg. profit random 0.5%, macd avg profit 0.34%
Re: JCPKO automated trading development ws turbo 2000
pre srandu MACD aj s exitom
exit: signal presekne macd
All trades 54516
Avg. Profit/Loss 0.38%
Avg. Bars Held 13.06
Winners 19706 (36.15 %) Avg. Profit 8.41%
Losers 34810 (63.85 %) Avg. Loss -4.17%
ze to stoji za uplne hovno snad netreba ani rozoberat
zelena siPICKA buy
cervena siPICKA sell
(sipicka je financnik.cz tm)
entry: macd presekne z dola signalBuy=Cross(MACD(12, 26), Signal(12,26,9));
Sell=Cross(Signal(12,26,9), MACD(12, 26));
PositionSize=100;
exit: signal presekne macd
All trades 54516
Avg. Profit/Loss 0.38%
Avg. Bars Held 13.06
Winners 19706 (36.15 %) Avg. Profit 8.41%
Losers 34810 (63.85 %) Avg. Loss -4.17%
ze to stoji za uplne hovno snad netreba ani rozoberat
zelena siPICKA buy
cervena siPICKA sell
(sipicka je financnik.cz tm)
Re: JCPKO automated trading development ws turbo 2000
RSI 14
exit: 10 bars
All trades 13760
Avg. Profit/Loss 1.25%
Avg. Bars Held 10.91
Winners 7531 (54.73%) Avg. Profit 7.94%
Losers 6229 (45.27%) Avg. Loss -6.84%
toto uz je trocha lepsie. len je otazka jaky maju na to vplyv te delistovane akcie ktore tam chybaju.
ale je to v sulade s mojimy starymi backtestami, macd stal za prd, rsi uplne naprd neni.
entry: rsi(14) < 30Buy=RSI(14) < 30;
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
exit: 10 bars
All trades 13760
Avg. Profit/Loss 1.25%
Avg. Bars Held 10.91
Winners 7531 (54.73%) Avg. Profit 7.94%
Losers 6229 (45.27%) Avg. Loss -6.84%
toto uz je trocha lepsie. len je otazka jaky maju na to vplyv te delistovane akcie ktore tam chybaju.
ale je to v sulade s mojimy starymi backtestami, macd stal za prd, rsi uplne naprd neni.
Re: JCPKO automated trading development ws turbo 2000
pokial sprisnime podmienky na rsi(14) < 20 je to este lepsie (ale o to viac tam mozu chybat te delistovane akcie)
All trades 1734
Avg. Profit/Loss 1.72%
Avg. Bars Held 11.00 11.00
Winners 945 (54.50%) Avg. Profit 9.70%
Losers 789 (45.50%) Avg. Loss -7.84%
All trades 1734
Avg. Profit/Loss 1.72%
Avg. Bars Held 11.00 11.00
Winners 945 (54.50%) Avg. Profit 9.70%
Losers 789 (45.50%) Avg. Loss -7.84%
Re: JCPKO automated trading development ws turbo 2000
CCI 14
exit: 10 bars
All trades 20098
Avg. Profit/Loss 0.68%
Avg. Bars Held 10.98
Winners 10756 (53.52%) Avg. Profit 6.32%
Losers 9342 (46.48%) Avg. Loss -5.82%
tak to je nic moc.
ked to sprisnime na -300
entry: CCI(14) pod -300
exit: 10 bars
All trades 1995
Avg. Profit/Loss 0.07%
Avg. Bars Held 11.00
Winners 997 (49.97%) Avg. Profit 6.36%
Losers 998 (50.03 %) Avg. Loss -6.21%
stoji to za uplne hovno
entry: CCI(14) pod -200Buy=CCI(14) < -200;
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
exit: 10 bars
All trades 20098
Avg. Profit/Loss 0.68%
Avg. Bars Held 10.98
Winners 10756 (53.52%) Avg. Profit 6.32%
Losers 9342 (46.48%) Avg. Loss -5.82%
tak to je nic moc.
ked to sprisnime na -300
entry: CCI(14) pod -300
exit: 10 bars
All trades 1995
Avg. Profit/Loss 0.07%
Avg. Bars Held 11.00
Winners 997 (49.97%) Avg. Profit 6.36%
Losers 998 (50.03 %) Avg. Loss -6.21%
stoji to za uplne hovno
Re: JCPKO automated trading development ws turbo 2000
CCI 50
exit: 10 bars
All trades 10246
Avg. Profit/Loss 0.48%
Avg. Bars Held 10.95
Winners 5400 (52.70 %) Avg. Profit 7.00%
Losers 4846 (47.30 %) Avg. Loss 6.80%
tento indikator vyzera beznadejne.. pozdravujem financnikov
este aby bolo jasne.. realne funkcny indikator musi byt robustny, to znamena ze by mal fungovat na bar jakych periodach, nie ze ked spravim kombinaciu CCI 4.5 skrizeny s CCI 67.34 vo stvrtok rano tak to uzasne funguje (pokial je priestupny rok)
CCI stoji za hovno
entry: CCI(50) pod -200Buy=CCI(50) < -200;
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
exit: 10 bars
All trades 10246
Avg. Profit/Loss 0.48%
Avg. Bars Held 10.95
Winners 5400 (52.70 %) Avg. Profit 7.00%
Losers 4846 (47.30 %) Avg. Loss 6.80%
tento indikator vyzera beznadejne.. pozdravujem financnikov
este aby bolo jasne.. realne funkcny indikator musi byt robustny, to znamena ze by mal fungovat na bar jakych periodach, nie ze ked spravim kombinaciu CCI 4.5 skrizeny s CCI 67.34 vo stvrtok rano tak to uzasne funguje (pokial je priestupny rok)
CCI stoji za hovno
Re: JCPKO automated trading development ws turbo 2000
Stochastics
exit: 10 bars
All trades 38685
Avg. Profit/Loss 0.55%
Avg. Bars Held 10.94
Winners 20250 (52.35 %) Avg. Profit 6.49%
Losers 18435 (47.65 %) Avg. Loss -5.98%
o nicom
samotny stoch %d(14) < 20
All trades 46259
Avg. Profit/Loss 0.79%
Avg. Bars Held 10.84
Winners 24651 (53.29 %) Avg. Profit 6.65%
Losers 21608 (46.71 %) Avg. Loss -5.90%
je na tom trocha lepsie, ale.... len velmi malo trocha
entry: stoch %d (14) < 20 a stoch %k(14) presekne stoch %d(14)Buy=StochD(14, 3, 3) < 20 AND Cross(StochK(14, 3), StochD(14, 3, 3));
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
exit: 10 bars
All trades 38685
Avg. Profit/Loss 0.55%
Avg. Bars Held 10.94
Winners 20250 (52.35 %) Avg. Profit 6.49%
Losers 18435 (47.65 %) Avg. Loss -5.98%
o nicom
samotny stoch %d(14) < 20
All trades 46259
Avg. Profit/Loss 0.79%
Avg. Bars Held 10.84
Winners 24651 (53.29 %) Avg. Profit 6.65%
Losers 21608 (46.71 %) Avg. Loss -5.90%
je na tom trocha lepsie, ale.... len velmi malo trocha
Re: JCPKO automated trading development ws turbo 2000
Moving Averages
SMA 50
entry: ked cena presekne 50 dnove simple moving average zo spoda
exit: 10 bars
All trades 38582
Avg. Profit/Loss 0.31%
Winners 20042 (51.95 %) Avg. Profit 5.44%
Losers 18540 (48.05 %) Avg. Loss -5.24%
nanic
EMA 50
All trades 42950
Avg. Profit/Loss 0.31%
Winners 22201 (51.69 %) Avg. Profit 5.48%
Losers 20749 (48.31 %) Avg. Loss -5.23%
nanic
DEMA 50
All trades 58959
Avg. Profit/Loss 0.41%
Winners 30658 (52.00 %) Avg. Profit 5.69%
Losers 28301 (48.00 %) Avg. Loss -5.32%
nanic
TEMA 50
All trades 65903
Avg. Profit/Loss 0.44%
Winners 34113 (51.76 %) Avg. Profit 5.81%
Losers 31790 (48.24 %) Avg. Loss -5.32%
nanic
WMA 50
All trades 48161
Avg. Profit/Loss 0.36%
Winners 24960 (51.83 %) Avg. Profit 5.60%
Losers 23201 (48.17 %) Avg. Loss -5.28%
nanic
Wilders MA 50
All trades 31600
Avg. Profit/Loss 0.20%
Winners 16196 (51.25 %) Avg. Profit 5.28%
Losers 15404 (48.75 %) Avg. Loss -5.14%
nanic
Golden Cross (SMA 50 presekne z dola SMA 200)
All trades 4747
Avg. Profit/Loss 0.25%
Winners 2414 (50.85 %) Avg. Profit 5.01%
Losers 2333 (49.15 %) Avg. Loss -4.68%
nanic
...atd![Laughing :lol:](./images/smilies/icon_lol.gif)
SMA 50
entry: ked cena presekne 50 dnove simple moving average zo spoda
exit: 10 bars
All trades 38582
Avg. Profit/Loss 0.31%
Winners 20042 (51.95 %) Avg. Profit 5.44%
Losers 18540 (48.05 %) Avg. Loss -5.24%
nanic
EMA 50
All trades 42950
Avg. Profit/Loss 0.31%
Winners 22201 (51.69 %) Avg. Profit 5.48%
Losers 20749 (48.31 %) Avg. Loss -5.23%
nanic
DEMA 50
All trades 58959
Avg. Profit/Loss 0.41%
Winners 30658 (52.00 %) Avg. Profit 5.69%
Losers 28301 (48.00 %) Avg. Loss -5.32%
nanic
TEMA 50
All trades 65903
Avg. Profit/Loss 0.44%
Winners 34113 (51.76 %) Avg. Profit 5.81%
Losers 31790 (48.24 %) Avg. Loss -5.32%
nanic
WMA 50
All trades 48161
Avg. Profit/Loss 0.36%
Winners 24960 (51.83 %) Avg. Profit 5.60%
Losers 23201 (48.17 %) Avg. Loss -5.28%
nanic
Wilders MA 50
All trades 31600
Avg. Profit/Loss 0.20%
Winners 16196 (51.25 %) Avg. Profit 5.28%
Losers 15404 (48.75 %) Avg. Loss -5.14%
nanic
Golden Cross (SMA 50 presekne z dola SMA 200)
All trades 4747
Avg. Profit/Loss 0.25%
Winners 2414 (50.85 %) Avg. Profit 5.01%
Losers 2333 (49.15 %) Avg. Loss -4.68%
nanic
...atd
![Laughing :lol:](./images/smilies/icon_lol.gif)
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Re: JCPKO automated trading development ws turbo 2000
Jonatanus, netrap seba ani pocitac. Automaticky obchodny system bez obcasneho zasahu cloveka nenajdes, na to je ekonomika moc zlozita, aby sa dala popisat algoritmom,ktory by zahrnoval vsetky vplyvy.
Cital som, ze v sachu najlepsi sachista uz nedokaze porazit najlepsie pocitace ale v japonskej hre GO este najlepsi goisti porazaju pocitace.Pritom pravidla GO su ovela jednoduchsie ako sachu.Problem je v tom,ze GO sa hra na goovnici o rozmeroch 17x17 poli, kym sach sa hra len na sachovnici o rozmeroch 8x8 poli.Potom je tych kombinacii ovela viac pri GO a terajsie pocitace to este nedokazu dostatocne spocitat.
Cital som, ze v sachu najlepsi sachista uz nedokaze porazit najlepsie pocitace ale v japonskej hre GO este najlepsi goisti porazaju pocitace.Pritom pravidla GO su ovela jednoduchsie ako sachu.Problem je v tom,ze GO sa hra na goovnici o rozmeroch 17x17 poli, kym sach sa hra len na sachovnici o rozmeroch 8x8 poli.Potom je tych kombinacii ovela viac pri GO a terajsie pocitace to este nedokazu dostatocne spocitat.
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Re: JCPKO automated trading development ws turbo 2000
Jonatanus, to mas ale iba interday data? Keby si tie data zobral minutove, alebo sekundove, mohlo by to vyzerat inak -- v kratsom case by TA mala teoreticky fungovat lepsie. Ci?
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Re: JCPKO automated trading development ws turbo 2000
S tymto suhlasim. Fakt, ze ked na akekolvek historicke data nasadim dostatok filtrov, ktore mi odfiltruju najviac stratove obchody, mam ziskovy system.jonatanus napísal:
este aby bolo jasne.. realne funkcny indikator musi byt robustny, to znamena ze by mal fungovat na bar jakych periodach, nie ze ked spravim kombinaciu CCI 4.5 skrizeny s CCI 67.34 vo stvrtok rano tak to uzasne funguje (pokial je priestupny rok)
Problem je, ze do buducna uz az taky ziskovy vecsinou nie je a chce to vymyslat dalsie filtre az to dopadne tak, ze filtre ti nakoniec vylucia vsetky obchody.
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