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Algo_101 計劃

Algo_101 計劃:
大部分傳統指標其實早已完成歷史任務。
2020年尾,WorldQuant 發布101條 Formula,你可以當成指標現代版。
本站會將 Alpha 101 條公式化為 MC 的版本,而原文:在此
**本篇為付費項目,$1一個指標

一:每天都有新指標面世,為甚麼只編程 Alpha101?
Alpha101 是由一個有公信力的 Algo Trading 公司:由WorldQuant 所發表。 而且該論文面世時,聲稱有八成均在使用。坊間也有人將Alpha101編程, 而本站是首個將Alpha101 變成 MC的程式。

二:利益衝突,為甚麼要公開自己使用中的指標?
實際原因沒有人知道,以下純屬猜測。

1.原有的策略來源已經失效
Algo Trading 已經到達成熟期,如果仍然依照以往的模式,即是以高成本地聘請基金經理以得到策略的模式,競爭力只會不斷下降。在競爭不斷增加的情況下,用 Crowdsourcing 的方式去增加現有的策略是其中一個出路。例如有名的 Quantopian ,甚至國內以相同模式的基金公司,同樣地會製作大量的教學,目的就是希望有人能寫出更好的策略。

2.它只是公布了指標的結果,並沒有跟你說為甚麼/甚麼時候要使用這些參數?
只有 WorldQuant 知道使用的細節和背後的原因,情況是有人給了你一部電話,但你對於如何製作電話仍然一無所知。此情況下,WorldQuant 仍持有使用這些指標的優勢。

三:這個是百分百依照Alpha101 公式所編程的嗎?
不是,因為原指標只是用作比較股票,因此有以下更改

1.所有指標可以在單商品使用。
2.由於Alpha101, 大量使用 Volume, vwap。如果沒有成交量數據,可以用其他參數代替 Volume,而vwap 則可以設定成移動平均線。
3.indneutralize 則全部變成 demean normalisation。

四:單指標代表一個策略還是可以組合使用?
原文並沒有指出,但是依照慣例是這些指標是互相組合使用才形成策略。
而你的策略亦必須加入風險管理才可完成。

五:Alpha101可以自行編程嗎?
事實上,本站鼓勵你自行編程,因為這樣才可以實際知道發生甚麼事。

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以下是心得:
1.難度最高的是 Array,decay_linear 之中會使用到,MC 的 Array 請由1開始計算,和外面的編程由0開始計算不一樣。
2.注意 除0 的Debug 和 outbound index。
3.公式的使用定義,例如原文的 max 和 min, 其實是 max(x,y) 而不是 max(x,d)

六:Algo101 的使用方式:
和使用移動平均線一樣簡單。

一:
使用方法:
下載後,直接在 Power language editor 輸入
Algo_XXX

XXX 為數字,由 001 至 101, 分別對應原文的Alpha 101 公式

Price_c
前面的Price,代表要輸入的是價格,你可以輸入 Close,High, Low, Open。
後面的c,顯示原文使用的設定,c代表的是close。

Len_std_20
由中間得知這是一個 Standard deviation 的參數設定,同樣地,後面的20代表原文使用的設定。

Len_rank_5
由中間得知這是一個 rank 的參數設定,同樣地,後面的5代表原文使用的設定。

所以輸入 Algo_001(close,20,5) 就是完全使用原文設定,當然你可以自由更改。

七:Algo101 的注意事項:

1.所有同時有 Len_rank_x 和 Len_corr_x 的公式

Len_rank_x 必須 大於或等於 Len_corr_x,否則出來的會變成Constant。
(因為當Len_rank_x 小於 Len_corr_x,所需計算的數值不足)

2. 使用volume weighted average price ,但有些數據沒有成交量時,你可以在第一個設定輸入1的數字,會自然轉變成使用 移動平均線。

4. 所有有decay_linear 和 Correlation 的指標,由於對於第一數值的偏好和公式,這類指標的改變程度會比較低,如果你發現都是 1 / -1, 這是正常情況,己經反覆測試。

5.Algo_084 由Power 更改為 Multiply,因為使用 Power 的數值會過大以致出錯

6.公式類
Correlation/ Covariance 使用 Sample method.
StandardDev 使用 Sample method.
Log 使用 Natural logarithm, Base e
Rank 使用 Descending method, Rank 1代表第一名,數字愈大,排名愈後
Ts_argmax / Ts_argmin ,數字愈前,代表愈近期
indneutralize 全部變成 demean normalisation

所有 Array 由 1 開始計算。

試用版:
共11個指標:由Algo_001 至 Algo_010, 及 Algo_101
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What is a Forex EA/Algo Trading, and How Algo Trading Works?

Forex trading (FX) doesn’t always go smoothly, and sometimes it can be frustrating. Some Forex traders can become greedy or fearful, and for this reason, they are often inclined to make bad decisions that can negatively affect their accounts. One way to avoid this issue would be to use an Expert Advisor, or EA.

An EA is an automated trading system, which automatically opens and closes trades based on preset rules.

Though we do not recommend specific EAs due to their unpredictability, some professional traders have found them to be of benefit.

FX trading is a 24/5 market. Being active round the clock isn’t possible for humans, however, a machine can trade for several days without ever needing to take a break. In addition, EAs can be used on a number of FX trading platforms. Some of them allow traders to fully customise their trading systems, and then use them on a personal account, such as MetaTrader 4 and MetaTrader 5.

This article will focus on what EAs are and how they work.

What Is an Expert Advisor?

The first question is – what is an Expert Advisor? As mentioned earlier, an EA is an FX automated trading system. In MetaTrader, they are written in MetaQuotes Language 4, and are developed for use under the MT4 and MT5 trading platforms.

EAs can be programmed to automatically generate trading signals and notify you of trading opportunities. Another type of automated trading system is a Forex robot which, like an EA is a program that can identify market patterns and generate trading signals. However, unlike an EA, a Forex robot can automatically trade on a trader’s behalf. An EA, on the other hand, will always require a trader to manually authorise a trade.

Every Expert Advisor is based on preset rules, but EAs can differ in the rules they follow in order to trade. As with any automated software, they reduce the chance of making emotional and irrational trading decisions, which commonly affects novices or inexperienced Forex traders. A Forex Expert Advisor follows a very strict and consecutive plan, free from any human intervention.

Which Functions Does a Forex Expert Advisor Have?

The best Forex Expert Advisors can be programmed to work in multiple ways (e.g. by utilising a selection of technical indicators, such as the moving average indicator, or the MACD – moving average convergence/divergence indicator) or by searching for necessary trends and breakouts.

By applying those diverse indicators, the EA can analyse the market, as well as the behaviour of individual financial instruments, and can generate a signal about trading opportunities.

EAs are similar to Forex robots, which are another type of automated trading software. When using strict definitions, the difference between an EA and a Forex robot is that an EA will generate signals while a robot will perform trades without any manual sign-off required. However, the terms are often used interchangeably, which means that many so-called Expert Advisors are capable of far more than just generating signals.

Some Expert Advisors are designed to take full control of your account. The idea here is that it will look at your current account balance, before deciding how much of your balance can be put at risk. The general rule of thumb is to only risk 1 – 2% of your account balance.

Furthermore, it may review the trades and decide whether there should be a trailing stop, or a simple take-profit, or a stop-loss. As soon as Forex Expert Advisors have the necessary information, they also take into account the dominating market conditions. Consequently, you will be notified when to open a particular position.

Advantages of an EA

Forex markets are open somewhere in the world 24 hours a day/seven days a week. Using an expert advisor, or a similar trading tool called a forex robot, to carry out trades in your absence enables you to take advantage of trading opportunities while you’re working, asleep, or otherwise occupied.

Using an EA also removes the emotional factor from your trading. Your fear or greed won’t play a role in whether you choose or decline to respond to trading signals; the EA will carry out trades based on your instructions without considering how it would spend a profit or weather a loss.

If forex trading is your main income generator, using an EA can reduce your stress level and make a potentially emotionally and mentally exhausting and very time-consuming enterprise a lot less so.

On a related note, an EA or robot can consider far more variables at the same time than you could hope to wrap your head around. And it can consider those variables for several different currency pairs at the same time. You can not, no matter how intelligent you are.

Disadvantages of an EA

If your EA isn’t able to respond to real-time news, it would ignore important fundamental reasons for making or not making trades. If you’re at your desk monitoring the news, you can avoid such trading mistakes. We, here at PAFX, monitor all our EA trades 24/5 in order to be completely safe.

And similarly, even though the EA can deal with more variables at once than you can, it can act only according to what you’ve programmed it to do. You’re not as rigid in your thinking and can respond to variables that fall outside those limited parameters. And there may be times when that’s necessary to avoid a big trading error—or take advantage of a significant opportunity.

How Do MetaTrader Expert Advisors Work?

Knowing that anyone with a subscription can write an Expert Advisor, you can assume that there are a vast range MT4 and MT5 Expert Advisors. Some of them have been developed especially to trade news events, and to then remain out of the market at all other times, while other EAs are meant to stay active 24/7.

All Expert Advisors have an identical purpose, and that is to fully automate the Forex trading process and produce a profit while doing it. Expert Advisors utilise technical indicators to gauge conditions on the market, and then make trading decisions. Prior to using an Expert Advisor, it must first be attached to a chart on the MT4 platform.

An MT4 or MT5 Expert Advisor can take into account dozens of factors and elements in order to decide what the next actions will be. This capacity to consider such a wide range of price affecting elements, as well as the discipline of an emotionless automated trading system, can often lead to quite a useful and successful combination.

Is it possible to run more than one EA at once?

The answer is yes. You can use multiple instances of an EA on the MetaTrader client terminal. It is worth noting, however, that not all Expert Advisors work together on one terminal. This is mainly due to the fact that they will try to handle each other’s open trades. Programmers tend to get around this by applying special numbers in the market entrance part of the Expert Advisor’s source code.

There are some platform restrictions, however. For instance, one Expert Advisor in MetaTrader can only communicate with one trading server at any one time. If multiple Expert Advisors display a lot of activity on the same terminal, and more than one tries to communicate with the trading server, you will eventually receive ‘trade context busy’ errors in the logs. This occurs if you have too many EAs on a single client terminal.

Do Expert Advisors work in 2020?

EAs tend to cause quite a lot of debate on the internet. First of all, let us define the positives:

  • An EA does not sleep – it can work 24/5
  • It is deprived of any emotion
  • Nothing can distract an Expert Advisor from working
  • Expert Advisors are available for the MT4 platform

Besides the standard disadvantages, which include the lack of creativity, there is also the fact that it is really hard to verify the accuracy of any EA, unless you have used it yourself. Let’s outline two scenarios that could occur as a result of EA use:

  • The first one is that the Expert Advisor for MetaTrader 4 or 5 tweaks countless times, and it still cannot show steady profits on a demo account.
  • The second one is that the EA actually performs really well on demo accounts, but for some unknown reason, when traders try to apply them on live accounts with their own funds, suddenly the EA does not work as well, and traders lose their money.

Conclusion

By using automated software like an EA, you can benefit from the following advantages: it can trade while you are sleeping, it is not susceptible to emotions, and you can quickly run backtests. However, it is hard to define whether an EA will help you to achieve profits. We, the PriceAction family, are giving the opportunity to you guys to make profits while you are in your sleep. We are here to monitor your trades all the time. So don’t miss out on the opportunity of PriceAction Algo Trading. Subscribe as soon as possible.

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