Trading system copiato da un libro - Andrea Angiolini...TRADERS’ MAGAZINE EUROPEAN ROAD SHOW...
Transcript of Trading system copiato da un libro - Andrea Angiolini...TRADERS’ MAGAZINE EUROPEAN ROAD SHOW...
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Trading systems: battere il mercato con un trading system
semplicemente copiato da un libro
Andrea Angiolini Algoritmica.pro S.r.l.
TRADERS’ MAGAZINE EUROPEAN ROAD SHOWPADOVA, 16/11/2013
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Trading system?
Strategia operativa codificata in un linguaggio di programmazione
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Dove trovare i trading system?
Letteratura, siti web specializzati, colleghi traders, corsi, riviste, ecc…
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Letteratura
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Libro: Forex Trading Secrets
A Trading System Revealedby David Bean
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Non dobbiamo far altro che…
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Trading sistematico
Prima di tutto il backtest
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Un buon backtest!
1. Dati affidabili e profondi2. Piattaforma di trading3. Analisi del backtest
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Costi operativi?
1. Slippage2. Commissioni
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Ottimizzazione inputs
Stop loss a 240$, riusciamo ad individuare un'area stabile?
Nostro nuovo valore: 400
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Ottimizzazione inputs
Stocastico a 14 periodi, riusciamo ad individuare un'area stabile?
Utilizziamo 7
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Ottimizzazione inputsPrezzi massimi e minimi per ingresso,
riusciamo ad individuare un'area stabile?
Utilizziamo il PICCO: 9
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Attenzione alla sovra-ottimizzazione!ottimizzazione!
Over-fitting…
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Ottimizzazione parametri nascostinascosti
Spesso i programmatori inseriscono direttamente inputs all’interno del codice, nascondendo dei parametri
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Nuova combinazione input
0 – 400 – 7 – 12 – 70 – 45
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Conclusioni
L’analisi è la chiave del successo!
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{**************************************************Market: EURUSDTime : 60 minuti**************************************************}{Times are based on Eastern Standard/New York Time}input: AdjustTime(0), StpLs(240), SlK(14), HighLow(12), HLevel(70), LLevel(30);{Rule One}If Time>1659+AdjustTime and Time<=1900 and EntriesToday(date)<1 and SlowK(SlK)of data2<HLevel and SlowK(SlK) of data2>LLevel//And TrueRange > AvgTrueRange(60)
Then Sell Short next bar at Highest(High,HighLow)[1] Limit;Then Sell Short next bar at Highest(High,HighLow)[1] Limit;If Time=2100+AdjustTime Then Buy to Cover This bar on close;{Rule Two}If Time>=2100+AdjustTime and Time<=2200 and EntriesToday(date)<1 and SlowK(SlK)of data2<HLevel and SlowK(SlK) of data2>LLevel//And TrueRange > AvgTrueRange(60)
Then Buy next bar at Lowest(Low,HighLow)[1] Limit;If Time=0000+AdjustTime Then Sell This bar on close;SetStopContract;SetStopLoss(StpLs/100000);
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