My new Algo

by trend_meanreversion in category Trend at 18/12/2015
Description

Hi Everyone,

You can contact me @ "trend_meanreversion@yahoo.com"

I have recently built a couple of bots in cAlgo which are showing promising results in back testing using tick data and i have been testing them in live environment with very similar results.

Please find the back-testing results of them below.

All of them have high risk reward ratio so that you can leverage accordingly. I always seek at least 2 or 3:1 annualized return to max DD  .  This allows one to leverage if needed without blowing their accounts within limited risk appetite.

Please check them at

[ CFD Bot ]  -> http://ctdn.com/forum/calgo-support/7584  

MyFxbook attached for CFD Bot -> http://www.myfxbook.com/members/TRMR/cfd-bot/1459477 ( it is removed now since i am live )

[ use http://www.myfxbook.com/members/TRMR/cfd-bot-backup/1502743  for Feb month and onward as i accidentally ran my 'work in progress' strategies on the CFD (main) bot account ]  ( it is removed now since i am live )

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[ BinaryOptions Indicator ] ->  http://ctdn.com/forum/calgo-support/7602 ( link to backtest file -> http://www.filedropper.com/binaryoptionsmodel )

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[ DAX Scalper ] -> http://ctdn.com/forum/calgo-support/8208

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Free DAX (basic) strategy -> http://www.filedropper.com/de30gapmodel   ( read this as well -> http://ctdn.com/forum/calgo-support/8622 )

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[ DAX HFT- Martingale ] -> http://ctdn.com/forum/calgo-support/10110

https://www.myfxbook.com/members/TRMR/dax-hft/2059675

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[ FX Martingale ] -> http://ctdn.com/forum/calgo-support/11265

https://www.myfxbook.com/members/TRMR/martingale-fx-v0/1977124

Risky 'Martingale'

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DAX Portfolio

Mix of DAX strategies

  • 2 Versions of CFD Bot
  • 3 min Scalper
  • 2 min Scalper
  • HFT

http://www.myfxbook.com/members/TRMR/dax-portfolio/1953723

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Note: algo attached is dummy

Download
2321 downloads
How to install
Warning! Executing the following cBot may result in loss of funds. Use it at your own risk.
Notification Publishing copyrighted material is strictly prohibited. If you believe there is copyrighted material in this section you may use the Copyright Infringement Notification form to submit a claim.
Formula / Source Code
Language: C#
Trading Platform: cAlgo
// -------------------------------------------------------------------------------
//
//    Takes all data from the market and writes each bar to a csv file called data.csv
//		The first line is the name of the indicator 
//
// -------------------------------------------------------------------------------

using System;
using System.IO;
using System.Text;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.Indicators;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC)]
    public class ToCSV : Robot
    {
        private StreamWriter file;
        private AccumulativeSwingIndex _ASI;
        private Aroon _aroon;
        private BollingerBands _boll;
        private ChaikinVolatility _chaikinVolatility;
        private CommodityChannelIndex _commodityChannelIndex;
        private DetrendedPriceOscillator _slowDetrendedPriceOscillator;
        private DetrendedPriceOscillator _fastDetrendedPriceOscillator;
        private DirectionalMovementSystem _dms;
        private ExponentialMovingAverage _emaFast;
        private ExponentialMovingAverage _emaSlow;
        private FractalChaosBands _fcb;
        //private HighLowBands _hlb;
        private HighMinusLow _hml;
        private HistoricalVolatility _HisVol;
        private LinearRegressionForecast _linRF;
        private LinearRegressionIntercept _linRI;
        private LinearRegressionRSquared _linRRSqr;
        private LinearRegressionSlope _linRS;
        private MacdCrossOver _MACDcross;
        private MacdHistogram _MACDHis;
        private MassIndex _masIn;
        private MedianPrice _medPrice;
        private MomentumOscillator _MomOsc;
        private MovingAverage _movingAv;
        //private MovingAverage _movingAv25;
        private ParabolicSAR _parSAR;
        //private PerformanceIndex _perIndex;
        private PriceOscillator _priceOsc;
        private RainbowOscillator _rainOsc;
        private RelativeStrengthIndex _relStrengthIndex;
        private StandardDeviation _standardDer;
        private StochasticOscillator _stochsticOsc;
        private SwingIndex _swingIndex;
        private Trix _trix;
        private TrueRange _TrueRange;
        private TypicalPrice _TypicalPrice;
        private UltimateOscillator _UltimateOsc;
        private VerticalHorizontalFilter _VHF;
        private Vidya _Vidya;
        private WeightedClose _WightClose;
        private WeightedMovingAverage _WMA;
        private WellesWilderSmoothing _WWilderSmoothing;
        private WilliamsAccumulationDistribution _WAccDis;
        private WilliamsPctR _WPctR;

        //user defined variables
        [Parameter()]
        public DataSeries Source { get; set; }

        [Parameter("Slow Periods", DefaultValue = 25, MinValue = 3)]
        public int SlowPeriods { get; set; }

        [Parameter("Fast Periods", DefaultValue = 5, MinValue = 2)]
        public int FastPeriods { get; set; }

        [Parameter("Std", DefaultValue = 14)]
        public int std { get; set; }

        [Parameter("MAType")]
        public MovingAverageType MAType { get; set; }

        [Parameter("Rate of Change", DefaultValue = 10)]
        public int roc { get; set; }

        [Parameter("R", DefaultValue = 0.65)]
        public double R { get; set; }

        [Parameter("Bar History", DefaultValue = 256)]
        public int barHis { get; set; }

        [Parameter("Rainbow Oscillator level", DefaultValue = 9)]
        public int RainOscLevel { get; set; }


        //called when robot is started
        protected override void OnStart()
        {
            // Create new file 
            file = new System.IO.StreamWriter("c:\\data.csv");

            // Write the first line with the names of each variable
            file.WriteLine("Time,OpenP, HighP, LowP, Close Price,Accumulative Swing Index,Aroon Up,Aroon Down,Bollinger Bands Main,Bollinger Bands Top,Bollinger Bands Bottom,Chaikin Volatility,Commodity Channel Index,Detrended Price Oscillator Slow,Detrended Price Oscillator Fast,Directional Movement System ADX,Directional Movement System DIMinus,Directional Movement System DIPlus,Exponential Moving Average Fast,Exponential Moving Average Slow,Fractal Chaos Bands High,Fractal Chaos Bands Low,High Minus Low,Historical Volatility,Linear Regression Forecast,Linear Regression Intercept,Linear Regression R Squared,Linear Regression Slope,Macd Cross Over Signal,Macd Histogram,Macd Signal,Mass Index,Median Price,Momentum Oscillator,Moving Average Slow,Parabolic SAR,Performance Index,Price Oscillator,Rainbow Oscillator,Relative Strength Index,Standard Deviation,Stochastic Oscillator Percent D,Stochastic Oscillator Percent K,SwingIndex,Trix,True Range,Typical Price,Ultimate Oscillator,Vertical Horizontal Filter,Vidya,Weighted Close,Weighted Moving Average,Welles Wilder Smoothing,Williams Accumulation Distribution,Williams Pct R");

            //Setup the variable calls
            _ASI = Indicators.AccumulativeSwingIndex(SlowPeriods);

            _aroon = Indicators.Aroon(SlowPeriods);

            _boll = Indicators.BollingerBands(Source, SlowPeriods, std, MAType);

            _chaikinVolatility = Indicators.ChaikinVolatility(SlowPeriods, roc, MAType);

            _commodityChannelIndex = Indicators.CommodityChannelIndex(SlowPeriods);

            _slowDetrendedPriceOscillator = Indicators.DetrendedPriceOscillator(Source, SlowPeriods, MAType);
            _fastDetrendedPriceOscillator = Indicators.DetrendedPriceOscillator(Source, FastPeriods, MAType);

            _dms = Indicators.DirectionalMovementSystem(SlowPeriods);

            _emaFast = Indicators.ExponentialMovingAverage(Source, FastPeriods);
            _emaSlow = Indicators.ExponentialMovingAverage(Source, SlowPeriods);

            _fcb = Indicators.FractalChaosBands(SlowPeriods);

            //_hlb = Indicators.HighLowBands(SlowPeriods);

            _hml = Indicators.HighMinusLow();

            _standardDer = Indicators.StandardDeviation(Source, SlowPeriods, MAType);


            _HisVol = Indicators.HistoricalVolatility(Source, SlowPeriods, barHis);


            _linRF = Indicators.LinearRegressionForecast(Source, SlowPeriods);

            _linRI = Indicators.LinearRegressionIntercept(Source, SlowPeriods);

            _linRRSqr = Indicators.LinearRegressionRSquared(Source, SlowPeriods);

            _linRS = Indicators.LinearRegressionSlope(Source, SlowPeriods);

            _MACDcross = Indicators.MacdCrossOver(SlowPeriods, FastPeriods, 3);

            _MACDHis = Indicators.MacdHistogram(SlowPeriods, FastPeriods, 3);

            _masIn = Indicators.MassIndex(SlowPeriods);

            _medPrice = Indicators.MedianPrice();

            _MomOsc = Indicators.MomentumOscillator(Source, SlowPeriods);

            _movingAv = Indicators.MovingAverage(Source, SlowPeriods, MAType);
            // _movingAv25 = Indicators.MovingAverage(Source, SlowPeriods, MAType);

            _parSAR = Indicators.ParabolicSAR(FastPeriods, SlowPeriods);

            //_perIndex = Indicators.PerformanceIndex(Source);

            _priceOsc = Indicators.PriceOscillator(Source, SlowPeriods, FastPeriods, MAType);

            _rainOsc = Indicators.RainbowOscillator(Source, RainOscLevel, MAType);

            _relStrengthIndex = Indicators.RelativeStrengthIndex(Source, SlowPeriods);

            _stochsticOsc = Indicators.StochasticOscillator(SlowPeriods, FastPeriods, SlowPeriods, MAType);

            _swingIndex = Indicators.SwingIndex(SlowPeriods);

            _trix = Indicators.Trix(Source, SlowPeriods);

            _TrueRange = Indicators.TrueRange();

            _TypicalPrice = Indicators.TypicalPrice();

            _UltimateOsc = Indicators.UltimateOscillator(FastPeriods, (SlowPeriods - FastPeriods), SlowPeriods);

            _VHF = Indicators.VerticalHorizontalFilter(Source, SlowPeriods);

            _Vidya = Indicators.Vidya(Source, SlowPeriods, R);

            _WightClose = Indicators.WeightedClose();

            _WMA = Indicators.WeightedMovingAverage(Source, SlowPeriods);

            _WWilderSmoothing = Indicators.WellesWilderSmoothing(Source, SlowPeriods);

            _WAccDis = Indicators.WilliamsAccumulationDistribution();

            _WPctR = Indicators.WilliamsPctR(SlowPeriods);
        }

        // called at the end of each time interval 
        protected override void OnBar()
        {
            //crete a string builder to build up each line of the csv file
            StringBuilder tmp = new StringBuilder();
            int currBar = MarketSeries.Close.Count - 2;
            //Add each of the indicators to the string builder
            tmp.Append(MarketSeries.OpenTime.LastValue);
            tmp.Append(",");
            tmp.Append(MarketSeries.Open[currBar]);
            tmp.Append(",");
            tmp.Append(MarketSeries.High[currBar]);
            tmp.Append(",");
            tmp.Append(MarketSeries.Low[currBar]);
            tmp.Append(",");
            tmp.Append(MarketSeries.Close[currBar]);
            tmp.Append(",");
            tmp.Append(_ASI.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_aroon.Up.LastValue);
            tmp.Append(",");
            tmp.Append(_aroon.Down.LastValue);
            tmp.Append(",");
            tmp.Append(_boll.Main.LastValue);
            tmp.Append(",");
            tmp.Append(_boll.Top.LastValue);
            tmp.Append(",");
            tmp.Append(_boll.Bottom.LastValue);
            tmp.Append(",");
            tmp.Append(_chaikinVolatility.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_commodityChannelIndex.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_slowDetrendedPriceOscillator.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_fastDetrendedPriceOscillator.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_dms.ADX.LastValue);
            tmp.Append(",");
            tmp.Append(_dms.DIMinus.LastValue);
            tmp.Append(",");
            tmp.Append(_dms.DIPlus.LastValue);
            tmp.Append(",");
            tmp.Append(_emaFast.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_emaSlow.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_fcb.High.LastValue);
            tmp.Append(",");
            tmp.Append(_fcb.Low.LastValue);
            tmp.Append(",");
            // tmp.Append(_hlb.Median.LastValue);
            // tmp.Append(",");
            //tmp.Append(_hlb.Top.LastValue);
            //tmp.Append(",");
            //tmp.Append(_hlb.Bottom.LastValue);
            //tmp.Append(",");
            tmp.Append(_hml.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_HisVol.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_linRF.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_linRI.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_linRRSqr.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_linRS.Result.LastValue);
            tmp.Append(",");

            tmp.Append(_MACDcross.MACD.LastValue);
            tmp.Append(",");
            tmp.Append(_MACDcross.Histogram.LastValue);
            tmp.Append(",");
            tmp.Append(_MACDcross.Signal.LastValue);
            tmp.Append(",");
            //tmp.Append(_MACDHis.Histogram.LastValue);
            //tmp.Append(",");
            tmp.Append(_MACDHis.Signal.LastValue);
            tmp.Append(",");
            tmp.Append(_masIn.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_medPrice.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_MomOsc.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_movingAv.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_parSAR.Result.LastValue);
            tmp.Append(",");
            //tmp.Append(_perIndex.Result.LastValue);
            //tmp.Append(",");
            tmp.Append(_priceOsc.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_rainOsc.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_relStrengthIndex.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_standardDer.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_stochsticOsc.PercentD.LastValue);
            tmp.Append(",");
            tmp.Append(_stochsticOsc.PercentK.LastValue);
            tmp.Append(",");
            tmp.Append(_swingIndex.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_trix.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_TrueRange.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_TypicalPrice.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_UltimateOsc.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_VHF.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_Vidya.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_WightClose.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_WMA.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_WWilderSmoothing.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_WAccDis.Result.LastValue);
            tmp.Append(",");
            tmp.Append(_WPctR.Result.LastValue);
            tmp.Append(",");

            //write the sring builder to the file
            file.WriteLine(tmp.ToString());
        }

        // called when the robot stops 
        protected override void OnStop()
        {
            //close the file 
            file.Close();
        }
    }
}
Comments

tradermatrix - December 18, 2015 @ 10:58

the robot does not work ... can you look

log backtesting ;

18/11/2015 02:00:00.000 | Backtesting was stopped

18/11/2015 02:00:00.000 | Crashed in OnStop with NullReferenceException: La référence d'objet n'est pas définie à une instance d'un objet.

18/11/2015 02:00:00.000 | Crashed in OnStart with UnauthorizedAccessException: L'accès au chemin d'accès 'c:\data.csv' est refusé.

Thank you

 

 

trend_meanreversion - December 18, 2015 @ 13:56

The bot attached is dummy mate. Please check " http://ctdn.com/forum/calgo-support/7584" if you are interested in the bots mentioned there.

jumpsolid1 - April 13, 2016 @ 08:33

@trend_meanreversion

The comments tab is there to help each other by the subject of the creator, 

The comments tab is not there to spam and sell your own Cbot  ^^

By the way, ... the link you gave does not give any code about any Bot just simple pictures of backtesting

 

 

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