Bot Marco Baruzzi QTA Forum

Maurizio-Ciullo

Jun 11th, 2024

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// Bot Marco Baruzzi QTA Forum //
Questa strategia è stata pubblicata da Marco Baruzzi sul forum della quant
ma bisogna spulciarla tutta dalla a alla z passo passo.
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La strategia lavora su questi sottostanti tutti insieme intesi come portafoglio:
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Date Tested: 2014-2024
TF: 15 min
Symbols: AMZN, AVGO, TSLA, AMD
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Inputs: isSampleOutOfSampleActive(0), displayMode(1);
if isSampleOutOfSampleActive = 0 or (
((displayMode = 1 or displayMode = 3) and isSampleOutOfSampleActive = 1 and ((Date >= 1140102 and Date <= 1163554) or (Date >= 1173607 and Date <= 1197059) or (Date >= 1207112 and Date <= 1230564) or marketposition <> 0)) or
((displayMode = 2 or displayMode = 3) and isSampleOutOfSampleActive = 1 and ((Date > 1163555 and Date <= 1173606) or (Date > 1197060 and Date <= 1207111) or (Date > 1230565 and Date <= 1240616) or marketposition <> 0))) then begin
inputs: lookback(10), consecFallingATR(4), periodATR(5), periodAVG(5);
vars: Nshares(0), ATRMovingAverage(0), CurrentAtr(0);
CurrentAtr = averagetruerange(periodATR);
ATRMovingAverage = Average(currentatr, periodATR);
AvgVolume = Average(Volume, periodAVG);
condition1 = c > Average(c,periodAVG);
condition2 = CountIf (CurrentAtr < CurrentAtr[1], lookback) >= consecFallingATR; //CurrentAtr < ATRMovingAverage; //
Nshares = (InitialCapital+netprofit)/4/Close;
if condition1 and condition2 then buy Nshares shares next bar HighD(0) stop;
sell next bar LowD(0) stop;
end;

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