커뮤니티
함수수정요청(11-1호)_특이치제거
2015-10-28 15:13:20
184
글번호 91835
아래는 최근 10일동안 해외선물의 일중 움직임(시가와 고가, 고가와 저가, 시가와 저가)을 관찰하여 매매의 전략을 세우고자 했었습니다.
단순평균을 사용하다보니 특이치를 제거하고 싶습니다.
즉 최근 10일동안 (고가-저가) 의 값이 가장 큰 값과 가장 작은 값을 제거하고
8개 값을 평균하고 싶습니다.
만약에 동일한 값이 여러 개라면 각각 1개씩만 제거하여 8개의 변수를 평균내고가 합니다.
var : entry1(0);
var : ho1(0),OL1(0),HL1(0);
var : maho1(0),maOL1(0),maHL1(0);
var : cnt1(0),sumho1(0),sumOL1(0),sumHL1(0);
var : EntryCnt1(0);
var : V1(0),V2(0),V3(0),V4(0),V5(0);
var : V6(0),V7(0),V8(0),V9(0),V10(0);
if bdate != bdate[1] Then
entry1 = 0;
if MarketPosition != 0 and MarketPosition != MarketPosition[1] Then
entry1 = entry1+1;
ho1 = Dayhigh-Dayopen;
OL1 = DayOpen-DayLow;
HL1 = DayHigh-DayLow;
sumho1 = 0;
sumOL1 = 0;
sumHL1 = 0;
for cnt1 = 1 to 10{
sumho1 = sumho1 + (dayhigh(cnt1)-dayopen(cnt1));
sumOL1 = sumOL1 + (DayOpen(cnt1)-DayLow(cnt1));
sumHL1 = sumHL1 + (DayHigh(cnt1)-DayLow(cnt1));
}
maho1 = sumho1/10;
maOL1 = sumOL1/10;
maHL1 = sumHL1/10;
V1 =
V2 =
V3 =
V4 =
V5 =
V6 =
V7 =
V8 =
V9 =
V10 =
if MarketPosition == 0 and entry1 == 0 Then{
if V7 > V8 Then
sell("s1",AtStop,V7-0.02);
if V7 < V8 Then
sell("s2",Atlimit,V8-0.02);
}
if MarketPosition == -1 and IsEntryName("s1") == true Then{
ExitShort("sp1",atlimit,V9-0.03);
ExitShort("sl1",AtStop,V6);
}
if MarketPosition == -1 and IsEntryName("s2") == true Then{
ExitShort("sp2",atlimit,V9-0.03);
ExitShort("sl2",AtStop,V6);
}
var : TF(0);
var : Xtime(0), Etime(false),cnt(0),mav1(0),mav2(0);
var : HV(0),LV(0),HV1(0),LV1(0),HV2(0),LV2(0);
Array : HH[50](0),LL[50](0),CC[50](0);
mav1 = ma(c,5);
mav2 = ma(C,20);
TF = TimeToMinutes(stime)%30;
if Bdate != Bdate[1] Then{
Etime = true;
if stime >= 090000 Then
Xtime = 050000;
Else
Xtime = 060000;
}
if Bdate != Bdate[1] or (TF < TF[1] and stime > stime[1]) or date != date[1] Then{
HH[0] = H;
LL[0] = L;
for cnt = 1 to 49{
HH[cnt] = HH[cnt-1][1];
LL[cnt] = LL[cnt-1][1];
CC[cnt] = CC[cnt-1][1];
}
}
if H > HH[0] Then
HH[0] = H;
if L < LL[0] Then
LL[0] = L;
CC[0] = C;
if HH[25+2] > 0 Then{
HV = HH[0];
LV = LL[0];
HV1 = HH[1];
LV1 = LL[1];
HV2 = HH[2];
LV2 = LL[2];
for cnt = 0 to 25{
if HH[cnt] > HV Then
HV = HH[cnt];
if LL[cnt] < LV Then
LV = LL[cnt];
if HH[cnt+1] > HV Then
HV = HH[cnt+1];
if LL[cnt+1] < LV Then
LV = LL[cnt+1];
if HH[cnt+2] > HV Then
HV = HH[cnt+2];
if LL[cnt+2] < LV Then
LV = LL[cnt+2];
}
var1 = (HV+LV)/2;
var2 = (HV1+LV1)/2;
var3 = (HV2+LV2)/2;
if Etime == true then{
if MarketPosition == 0 and CC[0] > var1 and CC[1] < var2 and CC[2] < var3 and C >= daylow+0.5 Then
buy("b",AtMarket);
if MarketPosition == 1 and c <= highest(H,BarsSinceEntry)-0.5 and CrossDown(mav1,mav2) Then
ExitLong("bx",AtMarket);
}
}
if stime == Xtime or (stime > Xtime and stime[1] < Xtime) Then{
Etime = false;
ExitLong();
}
답변 1
예스스탁 예스스탁 답변
2015-10-28 17:18:34
안녕하세요
예스스탁입니다.
var : entry1(0);
var : ho1(0),OL1(0),HL1(0);
var : maho1(0),maOL1(0),maHL1(0);
var : cnt1(0),sumho1(0),sumOL1(0),sumHL1(0);
var : EntryCnt1(0);
var : V1(0),V2(0),V3(0),V4(0),V5(0);
var : V6(0),V7(0),V8(0),V9(0),V10(0);
var : H1(0),L1(0),H2(0),L2(0),H3(0),L3(0),cnt(0);
if bdate != bdate[1] Then
entry1 = 0;
if MarketPosition != 0 and MarketPosition != MarketPosition[1] Then
entry1 = entry1+1;
ho1 = Dayhigh-Dayopen;
OL1 = DayOpen-DayLow;
HL1 = DayHigh-DayLow;
H1 = dayhigh(1)-dayOpen(1);
L1 = dayhigh(1)-dayOpen(1);
H2 = dayOpen(1)-dayLow(1);
L2 = dayOpen(1)-dayLow(1);
H3 = dayhigh(1)-dayLow(1);
L3 = dayHigh(1)-dayLow(1);
for cnt = 1 to 10{
if dayhigh(cnt)-dayOpen(cnt) > H1 Then
H1 = dayhigh(cnt)-dayOpen(cnt);
if dayhigh(cnt)-dayOpen(cnt) < L1 Then
L1 = dayhigh(cnt)-dayOpen(cnt);
if dayopen(cnt)-DayLow(cnt) > H1 Then
H1 = DayOpen(cnt)-DayLow(cnt);
if dayopen(cnt)-DayLow(cnt) < L1 Then
L1 = dayopen(cnt)-DayLow(cnt);
if dayhigh(cnt)-DayLow(cnt) > H1 Then
H1 = dayhigh(cnt)-DayLow(cnt);
if dayhigh(cnt)-DayLow(cnt) < L1 Then
L1 = dayhigh(cnt)-DayLow(cnt);
}
sumho1 = 0;
sumOL1 = 0;
sumHL1 = 0;
for cnt1 = 1 to 10{
sumho1 = sumho1 + (dayhigh(cnt1)-dayopen(cnt1));
sumOL1 = sumOL1 + (DayOpen(cnt1)-DayLow(cnt1));
sumHL1 = sumHL1 + (DayHigh(cnt1)-DayLow(cnt1));
}
maho1 = (sumho1-H1-L1)/8;
maOL1 = (sumOL1-H2-L2)/8;
maHL1 = (sumHL1-H3-L3)/8;
V1 =
V2 =
V3 =
V4 =
V5 =
V6 =
V7 =
V8 =
V9 =
V10 =
if MarketPosition == 0 and entry1 == 0 Then{
if V7 > V8 Then
sell("s1",AtStop,V7-0.02);
if V7 < V8 Then
sell("s2",Atlimit,V8-0.02);
}
if MarketPosition == -1 and IsEntryName("s1") == true Then{
ExitShort("sp1",atlimit,V9-0.03);
ExitShort("sl1",AtStop,V6);
}
if MarketPosition == -1 and IsEntryName("s2") == true Then{
ExitShort("sp2",atlimit,V9-0.03);
ExitShort("sl2",AtStop,V6);
}
var : TF(0);
var : Xtime(0), Etime(false),mav1(0),mav2(0);
var : HV(0),LV(0),HV1(0),LV1(0),HV2(0),LV2(0);
Array : HH[50](0),LL[50](0),CC[50](0);
mav1 = ma(c,5);
mav2 = ma(C,20);
TF = TimeToMinutes(stime)%30;
if Bdate != Bdate[1] Then{
Etime = true;
if stime >= 090000 Then
Xtime = 050000;
Else
Xtime = 060000;
}
if Bdate != Bdate[1] or (TF < TF[1] and stime > stime[1]) or date != date[1] Then{
HH[0] = H;
LL[0] = L;
for cnt = 1 to 49{
HH[cnt] = HH[cnt-1][1];
LL[cnt] = LL[cnt-1][1];
CC[cnt] = CC[cnt-1][1];
}
}
if H > HH[0] Then
HH[0] = H;
if L < LL[0] Then
LL[0] = L;
CC[0] = C;
if HH[25+2] > 0 Then{
HV = HH[0];
LV = LL[0];
HV1 = HH[1];
LV1 = LL[1];
HV2 = HH[2];
LV2 = LL[2];
for cnt = 0 to 25{
if HH[cnt] > HV Then
HV = HH[cnt];
if LL[cnt] < LV Then
LV = LL[cnt];
if HH[cnt+1] > HV Then
HV = HH[cnt+1];
if LL[cnt+1] < LV Then
LV = LL[cnt+1];
if HH[cnt+2] > HV Then
HV = HH[cnt+2];
if LL[cnt+2] < LV Then
LV = LL[cnt+2];
}
var1 = (HV+LV)/2;
var2 = (HV1+LV1)/2;
var3 = (HV2+LV2)/2;
if Etime == true then{
if MarketPosition == 0 and CC[0] > var1 and CC[1] < var2 and CC[2] < var3 and C >= daylow+0.5 Then
buy("b",AtMarket);
if MarketPosition == 1 and c <= highest(H,BarsSinceEntry)-0.5 and CrossDown(mav1,mav2) Then
ExitLong("bx",AtMarket);
}
}
if stime == Xtime or (stime > Xtime and stime[1] < Xtime) Then{
Etime = false;
ExitLong();
}
즐거운 하루되세요
> 통큰베팅 님이 쓴 글입니다.
> 제목 : 함수수정요청(11-1호)_특이치제거
> 아래는 최근 10일동안 해외선물의 일중 움직임(시가와 고가, 고가와 저가, 시가와 저가)을 관찰하여 매매의 전략을 세우고자 했었습니다.
단순평균을 사용하다보니 특이치를 제거하고 싶습니다.
즉 최근 10일동안 (고가-저가) 의 값이 가장 큰 값과 가장 작은 값을 제거하고
8개 값을 평균하고 싶습니다.
만약에 동일한 값이 여러 개라면 각각 1개씩만 제거하여 8개의 변수를 평균내고가 합니다.
var : entry1(0);
var : ho1(0),OL1(0),HL1(0);
var : maho1(0),maOL1(0),maHL1(0);
var : cnt1(0),sumho1(0),sumOL1(0),sumHL1(0);
var : EntryCnt1(0);
var : V1(0),V2(0),V3(0),V4(0),V5(0);
var : V6(0),V7(0),V8(0),V9(0),V10(0);
if bdate != bdate[1] Then
entry1 = 0;
if MarketPosition != 0 and MarketPosition != MarketPosition[1] Then
entry1 = entry1+1;
ho1 = Dayhigh-Dayopen;
OL1 = DayOpen-DayLow;
HL1 = DayHigh-DayLow;
sumho1 = 0;
sumOL1 = 0;
sumHL1 = 0;
for cnt1 = 1 to 10{
sumho1 = sumho1 + (dayhigh(cnt1)-dayopen(cnt1));
sumOL1 = sumOL1 + (DayOpen(cnt1)-DayLow(cnt1));
sumHL1 = sumHL1 + (DayHigh(cnt1)-DayLow(cnt1));
}
maho1 = sumho1/10;
maOL1 = sumOL1/10;
maHL1 = sumHL1/10;
V1 =
V2 =
V3 =
V4 =
V5 =
V6 =
V7 =
V8 =
V9 =
V10 =
if MarketPosition == 0 and entry1 == 0 Then{
if V7 > V8 Then
sell("s1",AtStop,V7-0.02);
if V7 < V8 Then
sell("s2",Atlimit,V8-0.02);
}
if MarketPosition == -1 and IsEntryName("s1") == true Then{
ExitShort("sp1",atlimit,V9-0.03);
ExitShort("sl1",AtStop,V6);
}
if MarketPosition == -1 and IsEntryName("s2") == true Then{
ExitShort("sp2",atlimit,V9-0.03);
ExitShort("sl2",AtStop,V6);
}
var : TF(0);
var : Xtime(0), Etime(false),cnt(0),mav1(0),mav2(0);
var : HV(0),LV(0),HV1(0),LV1(0),HV2(0),LV2(0);
Array : HH[50](0),LL[50](0),CC[50](0);
mav1 = ma(c,5);
mav2 = ma(C,20);
TF = TimeToMinutes(stime)%30;
if Bdate != Bdate[1] Then{
Etime = true;
if stime >= 090000 Then
Xtime = 050000;
Else
Xtime = 060000;
}
if Bdate != Bdate[1] or (TF < TF[1] and stime > stime[1]) or date != date[1] Then{
HH[0] = H;
LL[0] = L;
for cnt = 1 to 49{
HH[cnt] = HH[cnt-1][1];
LL[cnt] = LL[cnt-1][1];
CC[cnt] = CC[cnt-1][1];
}
}
if H > HH[0] Then
HH[0] = H;
if L < LL[0] Then
LL[0] = L;
CC[0] = C;
if HH[25+2] > 0 Then{
HV = HH[0];
LV = LL[0];
HV1 = HH[1];
LV1 = LL[1];
HV2 = HH[2];
LV2 = LL[2];
for cnt = 0 to 25{
if HH[cnt] > HV Then
HV = HH[cnt];
if LL[cnt] < LV Then
LV = LL[cnt];
if HH[cnt+1] > HV Then
HV = HH[cnt+1];
if LL[cnt+1] < LV Then
LV = LL[cnt+1];
if HH[cnt+2] > HV Then
HV = HH[cnt+2];
if LL[cnt+2] < LV Then
LV = LL[cnt+2];
}
var1 = (HV+LV)/2;
var2 = (HV1+LV1)/2;
var3 = (HV2+LV2)/2;
if Etime == true then{
if MarketPosition == 0 and CC[0] > var1 and CC[1] < var2 and CC[2] < var3 and C >= daylow+0.5 Then
buy("b",AtMarket);
if MarketPosition == 1 and c <= highest(H,BarsSinceEntry)-0.5 and CrossDown(mav1,mav2) Then
ExitLong("bx",AtMarket);
}
}
if stime == Xtime or (stime > Xtime and stime[1] < Xtime) Then{
Etime = false;
ExitLong();
}