Sorry Angio, I don't do any real time work. Everything is strictly end of day for me. The existing walk forward works just fine for end of day ;)
Mike --- In [email protected], "angio" <angio1...@...> wrote: > > up for Mike, if you have ... a lot of time ! > > thanks > angio > > --- In [email protected], "Angio" <angio1967@> wrote: > > > > I would add in this formula a sliding window that auto-optimizes in > > real-time mode the values of kappa1 and kappa2 in according to the best > > ProfitFactor of previous 100 days. In practice ... an automatic Walk > > Foreward . > > > > Invest = 100000; > > SetOption( "InitialEquity",Invest); > > SetOption( "MaxOpenPositions",1); > > PositionSize=Invest; > > ApplyStop(0,0,0,0); > > ApplyStop(1,0,0,0); > > ApplyStop(2,0,0,0); > > SetTradeDelays(0,0,0,0); > > SetBarsRequired( 10000, 10000); > > > > TimeFrameSet(in5Minute); > > > > Timeopen=TimeNum()==090000; > > Timeclose=TimeNum()==173000 ; > > Time1630=TimeNum()==163000 ; > > > > O_OGGI=ValueWhen(Timeopen,O,1); > > C_OGGI=ValueWhen(Timeclose,C,1); > > T_1630=ValueWhen(Time1630,C,1); > > > > Yield1=((T_1630/O_OGGI)-1)*100; > > alpha=0.02; > > > > for( i = 100; i < BarCount; i++ ) > > { > > avrg1[0]=yield1[0]; > > avrg1[i]=(1-alpha)*avrg1[i-1]+alpha*yield1[i]; > > dvst1[0]=yield1[0]; > > dvst1[i]=sqrt((1-alpha)*dvst1[i-1]^2+alpha*(yield1[i]-avrg1[i])^2); > > } > > > > Input1=IIf((Yield1>2*dvst1),1,IIf((Yield1<-2*dvst1),-1,(Yield1/(2*dvst1)))); > > > > kappa1=Optimize("kappa1", 0.45, 0, 1, 0.05); > > kappa2=Optimize("kappa2", -0.95, -1, 0, 0.05 ); > > > > Buy=Time1630 AND Input1 >= kappa1; > > Sell=Timeopen; > > Short=Time1630 AND Input1 <= kappa2; > > Cover=Timeclose; > > > > BuyPrice=C; > > SellPrice=O; > > ShortPrice=C; > > CoverPrice=C; > > > > Buy=ExRem(Buy,Sell); > > Sell=ExRem(Sell,Buy); > > Short=ExRem(Short,Cover); > > Cover=ExRem(Cover,Short); > > > > PlotShapes( shapeUpArrow* Buy , colorBlue ,0,L); > > PlotShapes( shapeHollowUpArrow* Cover ,colorBlue ,0,L); > > PlotShapes( shapeHollowDownArrow* Sell,colorRed ,0,H); > > PlotShapes( shapeDownArrow* Short, colorRed ,0, H); > > > > Plot(C,"",colorBlack,styleCandle); > > _N(Title = StrFormat("{{NAME}} - ANG Last_H System - {{INTERVAL}} {{DATE}} > > - Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" > > {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) )); > > > > eq=Param("equity",1,0,1,1); > > equi=IIf(eq==0,Null,Equity( )); > > Cover1=Flip(Cover,Short); > > Short1=Flip(Short,Cover); > > Buy1=Flip(Buy,Sell); > > Sell1=Flip(Sell,Buy); > > Plot( > > Equi-Invest,"\n\Equity",IIf(Buy1,colorPaleTurquoise,IIf(Short1,colorRose,colorLightGrey)), > > styleArea+styleLeftAxisScale); > > dr = Equi- Highest(Equi); > > Plot(dr, "Drawdown", colorDarkRed, styleArea+styleLeftAxisScale ); > > Maxdr=LLV(dr,100000); > > Plot( Maxdr , "Max Drawdown", colorDarkRed, styleLine+styleLeftAxisScale ); > > > > > > which is the way ? > > > > UseCustomBacktestProc ? > > > > > > thanks for any reply > > > > Angio > > >
