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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
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。
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。
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。
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。
Broker opsi biner terbaik untuk tahun 2020!
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)
下載後，直接在 Power language editor 輸入
XXX 為數字，由 001 至 101, 分別對應原文的Alpha 101 公式
前面的Price，代表要輸入的是價格，你可以輸入 Close,High, Low, Open。
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。
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。
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
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。
共11個指標：由Algo_001 至 Algo_010, 及 Algo_101
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Algorithmic Trading Blog
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AlgorithmicTrading.net Review: 2020 Performance Summary
*U.S. Government Required Disclaimer – Commodity Futures, Trading Commission Futures, Derivatives and Options trading has large potential rewards, but also large potential risk. You must be aware of the.
AlgorithmicTrading.net Webinar (video): Pro & Swing Trader YTD Performance
AlgorithmicTrading.net Review: 2020 YTD Performance *U.S. Government Required Disclaimer – Commodity Futures, Trading Commission Futures, Derivatives and Options trading has large potential rewards, but.
AlgorithmicTrading.net Review: 8/9/17-4/24/18 (Since Last Blog, Swing Trader +19.39%*)
Watch the following video blog to see the algorithmic trading review for 8/9/17-4/24/18. Get caught up on the Swing Traders performance the last video blog. AlgorithmicTrading.net Review: 8/9/17 – 4/24/18 Watch this video to see all the trades for this period. Since.
AlgorithmicTrading.net Review: 6/10/17-8/8/17 (For this period Crusher +12.97%*, Swing Trader +12.50%*)
Watch the following video blog to see the algorithmic trading review for 6/10/17 – 8/8/17. Get caught up on all the trades we’ve seen since the last video blog. AlgorithmicTrading.net Review: 6/10/17-8/8/17 Watch this video to see all the trades for this week. Both.
AlgorithmicTrading.net Review: 5/1/17-6/9/17 (For this period Crusher +5.16%*, Swing Trader +16.24%*)
Watch the following video blog to see the algorithmic trading review for 5/1/17-6/9/17. Get caught up on all the trades we’ve seen since the last video blog. AlgorithmicTrading.net Review: 5/1/17-6/9/17 Watch this video to see all the trades for this week. Both the.
How have our original NQ Legacy algorithms done since we stopped offering them?
Back when AlgorithmicTrading.net started (August 2020) – we offered the NQ Legacy algorithms through the tradestation platform. This package traded the NQ (NASDAQ Eminis) with three algorithms; the T1-Burst, O1-Overnight Gap and B1-Breakout. We capped these.
- Day Trading Strategy (1)
- Performance Update (16)
- Swing Trading Strategy (2)
- Video Blog (18)
AlgorithmicTrading.net provides trading algorithms based on a computerized system, which is also available for use on a personal computer. All customers receive the same signals within any given algorithm package. All advice is impersonal and not tailored to any specific individual’s unique situation. AlgorithmicTrading.net, and its principles, are not required to register with the NFA as a CTA and are publicly claiming this exemption. Information posted online or distributed through email has NOT been reviewed by any government agencies — this includes but is not limited to back-tested reports, statements and any other marketing materials. Carefully consider this prior to purchasing our algorithms. For more information on the exemption we are claiming, please visit the NFA website: http://www.nfa.futures.org/nfa-registration/cta/index.html. If you are in need of professional advice unique to your situation, please consult with a licensed broker/CTA.
DISCLAIMER: Commodity Futures Trading Commission Futures trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures markets. Don’t trade with money you can’t afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website or on any reports. The past performance of any trading system or methodology is not necessarily indicative of future results.
Unless otherwise noted, all returns posted on this site and in our videos is considered Hypothetical Performance. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
With the exception of the statements posted from live accounts on Tradestation and/or Gain Capital, all results, graphs and claims made on this website and in any video blogs and/or newsletter emails are from the result of back-testing our algorithms during the dates indicated. These results are not from live accounts trading our algorithms. They are from hypothetical accounts which have limitations (see CFTC RULE 4.14 below and Hypothetical performance disclaimer above). Actual results do vary given that simulated results could under — or over — compensate the impact of certain market factors. Furthermore, our algorithms use back-testing to generate trade lists and reports which does have the benefit of hind-sight. While back-tested results might have spectacular returns, once slippage, commission and licensing fees are taken into account, actual returns will vary. Posted maximum draw downs are measured on a closing month to closing month basis. Furthermore, they are based on back-tested data (refer to limitations of back-testing below). Actual draw downs could exceed these levels when traded on live accounts.
CFTC RULE 4.41 – Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under — or over — compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
Statements posted from our actual customers trading the algorithms (algos) include slippage and commission. Statements posted are not fully audited or verified and should be considered as customer testimonials. Individual results do vary. They are real statements from real people trading our algorithms on auto-pilot and as far as we know, do NOT include any discretionary trades. Tradelists posted on this site also include slippage and commission.
This strictly is for demonstration/educational purposes. AlgorithmicTrading.net does not make buy, sell or hold recommendations. Unique experiences and past performances do not guarantee future results. You should speak with your CTA or financial representative, broker dealer, or financial analyst to ensure that the software/strategy that you utilize is suitable for your investment profile before trading in a live brokerage account. All advice and/or suggestions given here are intended for running automated software in simulation mode only. Trading futures is not for everyone and does carry a high level of risk. AlgorithmicTrading.net, nor any of its principles, is NOT registered as an investment advisor. All advice given is impersonal and not tailored to any specific individual.
* Published percentage per month is based on back-tested results (see limitations on back-testing above) using the corresponding package. This includes reasonable slippage and commission. This does NOT include fees we charge for licensing the algorithms which varies based on account size. Refer to our license agreement for full risk disclosure.
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.
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.
Broker opsi biner terbaik untuk tahun 2020!