안녕하세요 예스스탁입니다. 1 수식내 LRSsignal가 어떤 함수인지 알수 없습니다. 2 input: period(20), usefutures(false), printfile(true); vars: nhigh(0), nlow(0), adate(" "), totalPL(0), dailyPL(0), psignal(0), ATR(0), ATRperiod(20), size(0), futuresinvestment(25000), stockinvestment(10000);; if usefutures then size = futuresinvestment/(atr(ATRperiod)*bigpointvalue); else size = stockinvestment/close[1]; if close > close[period] then begin Buy("b"); end; if close < close[period] then begin Sell("s"); end; totalpl = netprofit + openpositionprofit; dailyPL = psignal*CurrentContracts*(close - close[1]); psignal = marketposition; 3 inputs: period(20), volfactor(2.0), usefutures(false); vars: ATRv(0), change(0), sizeper(20), size(0), stockinvestment(10000), futuresinvestment(25000); ATRv = ATR(period); change = close - close[1]; // size for new positions if usefutures then size = futuresinvestment/(ATR(sizeper)*bigpointvalue); else size = stockinvestment/close; if marketposition <= 0 and change > volfactor*ATRv[1] then buy("b",AtMarket); if marketposition >= 0 and change < -volfactor*ATRv[1] then sell("s",AtMarket); 4 inputs: period(20), factor(2.0); vars: alpha(0), mt(0), ut(0), dt(0), mt2(0), ut2(0), dt2(0), but(0), blt(0); alpha = 2/(period + 1); mt = alpha*close + (1 - alpha)*mt; ut = alpha*mt + (1 - alpha)*ut; dt = ((2 - alpha)*mt - ut)/(1 - alpha); mt2 = alpha*absvalue(close - dt) + (1 - alpha)*mt2; ut2 = alpha*mt2 + (1 - alpha)*ut2; dt2 = ((2 - alpha)*mt2 - ut2)/(1 - alpha); but = dt + factor*dt2; blt = dt - factor*dt2; if CrossUp(c,but) Then Buy(); if CrossDown(c,but) Then Sell(); 5 inputs: period(20), bandwidth(2.0); vars: slope(0), lrvalue(0), resid(0), sdresid(0), angle(0), intercept(0), upperband(0), lowerband(0), size(0), investment(25000); lrvalue = LRL(close,period); resid = Close - lrvalue; If Currentbar > period then begin size = investment / (ATR(30)*bigpointvalue); size = maxlist(size,1); sdresid = std(close,period); Upperband = lrvalue + slope + bandwidth*sdresid; Lowerband = lrvalue + slope - bandwidth*sdresid; End; plot1(upperband,"UB"); Plot2(lowerband,"LB"); plot3(lrvalue,"LR"); 6 input: type(0), swing(2.5), usefutures(false), printfile(true); vars: pcswing(0), lastswing(0), curhigh(0), curlow(0), swhigh(0), swlow(0) , highbar(0), lowbar(0), chighbar(0), clowbar(0), lowp(0), highp(0), xclose(0), xhigh(0), xlow(0), divide(4), par(800), prevhigh(0), prevlow(0), adate(" "), totalPL(0), dailyPL(0), psignal(0), ATR(0), ATRperiod(20), size(0), futuresinvestment(25000), stockinvestment(10000); pcswing = swing / 100.; if usefutures then size = futuresinvestment/(ATR(ATRperiod)*bigpointvalue); else size = stockinvestment/close[1]; if type == 0 then { xhigh = high; xlow = low; xclose = close; } else if type == 1 then { xhigh = 100 - low; xlow = 100 - high; xclose = 100 - close; } else if type == 2 then { xhigh = par / low; xlow = par / high; xclose = par / close; } if currentbar == 1 then { curhigh = xclose; curlow = xclose; } if type == 0 then { if marketposition <= 0 and xhigh > swhigh then { Buy(); } else if marketposition >= 0 and xlow < swlow then { Sell(); } } else { if marketposition >= 0 and xhigh > swhigh then { Sell(); } else if marketposition <= 0 and xlow < swlow then { Buy(); } } if lastswing<>1 then { if xlow < curhigh - curhigh*pcswing then { lastswing = 1; swhigh = curhigh; highbar = chighbar; curlow = xlow; lowp = xlow; clowbar = currentbar; } else { if xhigh > curhigh then { curhigh = xhigh; chighbar = currentbar; } } } if lastswing <> -1 then { if xhigh > curlow + curlow*pcswing then { lastswing = -1; swlow = curlow; lowbar = clowbar; curhigh = xhigh; highp = xhigh; chighbar = currentbar; } else { if xlow < curlow then { curlow = xlow; clowbar = currentbar; } } } totalpl = netprofit + openpositionprofit; dailyPL = psignal*CurrentContracts*(close - close[1]); psignal = marketposition; 7. inputs: period(40); vars: SD(0), SDV(0), stdavg(0); SD = std(close,period); SDV = (SD - SD[1])/SD; StdAvg = ma(close,period/2) + .05*SDV; plot1(stdavg,"StdAvg"); 8. input: usemovingaverage(true), usebreakout(false), useslope(false), useexponential(false), period(80), entryoption(0), crossoption(0), longonly(false), exitvol(0), reentervol(0), stoploss(0), usestocks(true),usefutures(false),variablesize(true), reinvest(false), futuresinvestment(25000), stockinvestment(10000), printfiles(false); vars: signal(0), price(0), size(1), investment(1000), slope(0), ATRper(20), smooth(1.0), atrange(0), MAV(0), adate(" "), equity(0), PL(0), PLlong(0), PLshort(0), exposure(0), expsmooth(0), tradeentry(0), tradeentrybar(0), tradeprice(0),dailyreturn(0), NAV(100), volper(20), returns(0), vol(0), exitvolOK(true), reentervolOK(true), exitonstop(0), bestprice(0); If Currentbar == 1 then { if usestocks then { investment = stockinvestment; if variablesize == false then size = 100; } else { investment = futuresinvestment; if variablesize == false then size = 1; } if useexponential then smooth = 2/(period + 1); } if variablesize then { if usefutures then { atrange = ATr(ATRper); if atrange == 0 then size = 1; else if atrange <> 0 then size = investment/(atrange*bigpointvalue); } if usestocks then { if close[1] <> 0 then size = investment/close[1]; } } if usemovingaverage then { MAV = ma(close,period); if crossoption == 0 then { if MAV > MAV[1] then signal = 1; else if MAV < MAV[1] then signal = -1; } else if crossoption == 1 then { if close >= MAV then signal = 1; else signal = -1; } } else if usebreakout then { if high > highest(high[1],period) then signal = 1; else if low < lowest(low[1],period) then signal = -1; } else if useslope then { slope = LRS(close,period); if slope > 0 then signal = 1; else if slope < 0 then signal = -1; } else if useexponential then { if currentbar == 1 then expsmooth = close; else { expsmooth = expsmooth + smooth*(close - expsmooth); } if expsmooth > expsmooth[1] then signal = 1; else if expsmooth < expsmooth[1] then signal = -1; } // reset exit on stop if exitonstop <> 0 then { if exitonstop > 0 and signal < 0 then exitonstop = 0; else if exitonstop < 0 and signal > 0 then exitonstop = 0; } // exit percentage trailing stop-loss if stoploss <> 0 and marketposition <> 0 then { if marketposition > 0 then { if close/entryprice - 1 < -stoploss then { ExitLong("XLstop",AtMarket); exitonstop = marketposition; } } else if marketposition < 0 then { bestprice = minlist(bestprice,low); if bestprice/close - 1 < -stoploss then { ExitShort("XSstop",AtMarket); exitonstop = marketposition; } } } if exitvol <> 0 then { returns = close/close[1] - 1; vol = std(returns,volper)*squareroot(252.); if reentervol <> 0 and vol < reentervol then exitvolOK = true; if vol > exitvol then exitvolOK = false; if marketposition <> 0 and exitvolOK == false then { if marketposition > 0 then ExitLong("XLvol",AtMarket); else if marketposition < 0 then ExitShort("XSvol",AtMarket); reentervolOK = false; } } if marketposition == 0 and reentervolOK == false and vol < reentervol then reentervolOK = true; If entryoption == 0 and exitvolOK and exitonstop == 0 then { if signal == 1 and marketposition <> 1 then { if usemovingaverage then Buy ("BMA",OnClose,def,size); else if usebreakout then Buy ("BBO",OnClose,def,size); else if useslope then buy ("BLRS",OnClose,def,size); else if useexponential then buy ("BEXP",OnClose,def,size); tradeentry = date; tradeentrybar = currentbar; tradeprice = close; bestprice = close; } else if signal == -1 and marketposition <> -1 then { if longonly then { if usemovingaverage then ExitLong("XMA"); else if usebreakout then ExitLong ("XBO"); else if useslope then ExitLong ("XLRS"); else if useexponential then ExitLong ("XEXP"); tradeentry = date; tradeentrybar = currentbar; tradeprice = close; bestprice = close; } else { if usemovingaverage then sell("SMA",OnClose,def,size); else if usebreakout then sell("SBO",OnClose,def,size); else if useslope then sell("SLRS",OnClose,def,size); else if useexponential then Sell("SEXP",OnClose,def,size); tradeentry = date; tradeentrybar = currentbar; tradeprice = close; bestprice = close; } } } else if entryoption == 1 and exitvolOK then { If signal == 1 and marketposition <> 1 then buy("b",OnClose,Def,size); Else if signal == -1 and marketposition <> -1 then { if longonly then ExitLong("",AtMarket); else sell("s",AtMarket,Def,size); } } else if entryoption == 2 and exitvolOK then { If signal[1] == 1 and marketposition <> 1 then buy("",OnClose,Def,size); Else if signal[1] == -1 and marketposition <> -1 then { if longonly then ExitLong("",AtMarket); else sell("",AtMarket,Def,size); } } if lastbaronchart then if marketposition > 0 then ExitLong(); else if marketposition < 0 then ExitShort(); equity = netprofit + openpositionprofit; PL = equity - equity[1]; dailyreturn = 0; if investment <> 0 then dailyreturn = PL/investment; NAV = NAV*(1 + dailyreturn); if marketposition > 0 then PLlong = PLlong + PL; else if marketposition < 0 then PLshort = PLshort + PL; if reinvest then investment = stockinvestment + equity; 9. 수식내 TSMStdevStop가 어떤 함수인지 알수 없습니다. 10 input: period(20); vars: change(0), noise(0), diff(0), ratio(0), signal(0), sumratio(0), avgratio(0); ratio = 0; diff = AbsValue(close - close[1]); if currentbar > period then { change = close - close[period]; signal = AbsValue(change); noise = AccumN(diff,period); ratio = 0; if noise <> 0 then ratio = signal/noise; sumratio = sumratio + ratio; } if lastbaronchart then avgratio = sumratio/(currentbar - period); 즐거운 하루되세요 > 고민중 님이 쓴 글입니다. > 제목 : TS이지랭귀지를 예스랭귀지로 변환하고 싶습니다. > 예스랭귀지로 변환해서 거래하고 싶습니다. 양이 좀 많아서 죄송합니다. 잘부탁드립니다. 1. 기울기관련수식 { period = length of exponential trend filter = whole percent trend change to give signal lag = enter after a lag of "lag" } input: period(20), filter(0), lag(0); vars: signal(0); { Linear regression slope } signal = LRSsignal(period,filter,lag); if signal = 1 then Buy This Bar on close; if signal = -1 then Sell Short This Bar on close; 2. 모멘텀 관련 수식 { period = length of calculation } input: period(20), usefutures(false), printfile(true); vars: nhigh(0), nlow(0), adate(" "), totalPL(0), dailyPL(0), psignal(0), ATR(0), ATRperiod(20), size(0), futuresinvestment(25000), stockinvestment(10000);; if usefutures then begin size = futuresinvestment/(avgtruerange(ATRperiod)*bigpointvalue); end else size = stockinvestment/close[1]; { 매수, 매도 수식 } if close > close[period] then begin buy to cover all contracts this bar on close; Buy size contracts This Bar on close; end; if close < close[period] then begin sell all contracts this bar on close; Sell Short size contracts This Bar on close; end; totalpl = netprofit + openpositionprofit; dailyPL = psignal*currentshares*(close - close[1]); psignal = marketposition; end; 3. 변동성 시스템 inputs: period(20), volfactor(2.0), usefutures(false); vars: ATR(0), change(0), sizeper(20), size(0), stockinvestment(10000), futuresinvestment(25000); ATR = avgtruerange(period); change = close - close[1]; // size for new positions if usefutures then begin size = futuresinvestment/(avgtruerange(sizeper)*bigpointvalue); end else begin size = stockinvestment/close; end; if marketposition <= 0 and change > volfactor*ATR[1] then buy size contracts next bar on open else if marketposition >= 0 and change < -volfactor*ATR[1] then sell short size contracts next bar on open; 4. 볼린저밴드관련 수식 inputs: period(20), factor(2.0); vars: alpha(0), mt(0), ut(0), dt(0), mt2(0), ut2(0), dt2(0), but(0), blt(0); { smoothing constant } alpha = 2/(period + 1); mt = alpha*close + (1 - alpha)*mt; ut = alpha*mt + (1 - alpha)*ut; dt = ((2 - alpha)*mt - ut)/(1 - alpha); mt2 = alpha*absvalue(close - dt) + (1 - alpha)*mt2; ut2 = alpha*mt2 + (1 - alpha)*ut2; dt2 = ((2 - alpha)*mt2 - ut2)/(1 - alpha); but = dt + factor*dt2; blt = dt - factor*dt2; 종가가 볼린저밴드 상단 돌파시 매수, 종가가 볼린저밴드 하단 돌파시 매도 5.선형회귀 밴드 inputs: period(20), bandwidth(2.0); vars: slope(0), lrvalue(0), resid(0), sdresid(0), angle(0), intercept(0), upperband(0), lowerband(0), size(0), investment(25000); Value1 = LinearReg( close, period, currentbar, slope, angle, intercept, lrvalue ) ; { slope = LinearRegSlope(close,period); lrvalue = linearRegValue(close,period,currentbar);} resid = Close - lrvalue; If Currentbar > period then begin { position size } size = investment / (avgtruerange(30)*bigpointvalue); size = maxlist(size,1); sdresid = stddev(close,period); Upperband = lrvalue + slope + bandwidth*sdresid; Lowerband = lrvalue + slope - bandwidth*sdresid; { plot1(upperband,"UB"); Plot2(lowerband,"LB"); } plot3(lrvalue,"LR"); { If Close > upperband[1] then buy size contracts this bar on close Else if Close < lowerband[1] then sell short size contracts this bar on close; } end; 6. 스윙인덱스 관련 수식 Inputs for TSM SWING: type = 0, normal price = 1, 3-month rate = 2, bond price at par swing = price swing in whole % (e.g., 2% = 2.0) } input: type(0), swing(2.5), usefutures(false), printfile(true); vars: pcswing(0), lastswing(0), curhigh(0), curlow(0), swhigh(0), swlow(0) , highbar(0), lowbar(0), chighbar(0), clowbar(0), lowp(0), highp(0), xclose(0), xhigh(0), xlow(0), divide(4), par(800), prevhigh(0), prevlow(0), adate(" "), totalPL(0), dailyPL(0), psignal(0), ATR(0), ATRperiod(20), size(0), futuresinvestment(25000), stockinvestment(10000); pcswing = swing / 100.; if usefutures then begin size = futuresinvestment/(avgtruerange(ATRperiod)*bigpointvalue); end else size = stockinvestment/close[1]; if type = 0 then begin xhigh = high; xlow = low; xclose = close; end else if type = 1 then begin xhigh = 100 - low; xlow = 100 - high; xclose = 100 - close; end else if type = 2 then begin xhigh = par / low; xlow = par / high; xclose = par / close; end; { INITIALIZE MOST RECENT HIGH AND LOW } if currentbar = 1 then begin curhigh = xclose; { current high } curlow = xclose; { current low } end; { Buy or sell signals } if type = 0 then begin if marketposition <= 0 and xhigh > swhigh then begin Buy to cover all contracts this bar on close; Buy size contracts This Bar on close; end else if marketposition >= 0 and xlow < swlow then begin sell all contracts this bar on close; Sell Short size contracts This Bar on close; end; end else begin if marketposition >= 0 and xhigh > swhigh then begin sell all contracts this bar on close; Sell Short size contracts This Bar on close; end else if marketposition <= 0 and xlow < swlow then begin Buy to cover all contracts This Bar on close; buy size contracts this bar on close; end; end; { SEARCH FOR A NEW HIGH -- favor reversals } if lastswing<>1 then begin { REVERSE FROM HIGH IF MINIMUM % SWING } if xlow < curhigh - curhigh*pcswing then begin lastswing = 1; { lastswing high fixed } swhigh = curhigh; { new verified high } highbar = chighbar; curlow = xlow; { initialize new lows } lowp = xlow; { swing low for plot } clowbar = currentbar; end else begin if xhigh > curhigh then begin curhigh = xhigh; { new current high } chighbar = currentbar; end; end; end; { SEARCH FOR A NEW LOW - favor reversal } if lastswing <> -1 then begin { REVERSAL FROM LOW IF MINIMUM % SWING } if xhigh > curlow + curlow*pcswing then begin lastswing = -1; swlow = curlow; lowbar = clowbar; curhigh = xhigh; { initialize current high } highp = xhigh; { swing high for plot } chighbar = currentbar; end else begin if xlow < curlow then begin curlow = xlow; clowbar = currentbar; end; end; end; totalpl = netprofit + openpositionprofit; dailyPL = psignal*currentshares*(close - close[1]); psignal = marketposition; end; 7. 표준편차 이동평균 관련 수식 inputs: period(40); vars: SD(0), SDV(0), stdavg(0); SD = stddev(close,period); SDV = (SD - SD[1])/SD; StdAvg = Average(close,period/2) + .05*SDV; plot1(stdavg,"StdAvg"); 8. 추세추종 시스템 관련 수식 { period = length of calculaton entryoption = 0 buy/sell on current close = 1 buy/sell on next open = 2 buy/sell next close crossoption = 0 using trendline, = 1 use price crossing trendline longonly true then only long positions high-vol filter } input: usemovingaverage(true), usebreakout(false), useslope(false), useexponential(false), period(80), entryoption(0), crossoption(0), longonly(false), exitvol(0), reentervol(0), stoploss(0), usestocks(true),usefutures(false),variablesize(true), reinvest(false), futuresinvestment(25000), stockinvestment(10000), printfiles(false); vars: signal(0), price(0), size(1), investment(1000), slope(0), ATRper(20), smooth(1.0), atrange(0), MA(0), adate(" "), equity(0), PL(0), PLlong(0), PLshort(0), exposure(0), expsmooth(0), tradeentry(0), tradeentrybar(0), tradeprice(0),dailyreturn(0), NAV(100), volper(20), returns(0), vol(0), exitvolOK(true), reentervolOK(true), exitonstop(0), bestprice(0); If Currentbar = 1 then begin if usestocks then begin investment = stockinvestment; if variablesize = false then size = 100; end else begin investment = futuresinvestment; if variablesize = false then size = 1; end; if useexponential then smooth = 2/(period + 1); end; if variablesize then begin if usefutures then begin atrange = avgtruerange(ATRper); if atrange = 0 then size = 1 else if atrange <> 0 then size = investment/(atrange*bigpointvalue); end; if usestocks then begin if close[1] <> 0 then size = investment/close[1]; end; end; if usemovingaverage then begin MA = average(close,period); if crossoption = 0 then begin if MA > MA[1] then signal = 1 else if MA < MA[1] then signal = -1; end else if crossoption = 1 then begin if close >= MA then signal = 1 else signal = -1; end; end else if usebreakout then begin if high > highest(high[1],period) then signal = 1 else if low < lowest(low[1],period) then signal = -1; end else if useslope then begin slope = linearregslope(close,period); if slope > 0 then signal = 1 else if slope < 0 then signal = -1; end else if useexponential then begin if currentbar = 1 then expsmooth = close else begin expsmooth = expsmooth + smooth*(close - expsmooth); end; if expsmooth > expsmooth[1] then signal = 1 else if expsmooth < expsmooth[1] then signal = -1; end; // reset exit on stop if exitonstop <> 0 then begin if exitonstop > 0 and signal < 0 then exitonstop = 0 else if exitonstop < 0 and signal > 0 then exitonstop = 0; end; // exit percentage trailing stop-loss if stoploss <> 0 and marketposition <> 0 then begin // return on trade as of close // PL = marketposition*currentcontracts*(close - entryprice); if marketposition > 0 then begin // bestprice = maxlist(bestprice,high); // if close/bestprice - 1 < -stoploss then begin if close/entryprice - 1 < -stoploss then begin sell ("XLstop") all contracts next bar on open; exitonstop = marketposition; end; end else if marketposition < 0 then begin bestprice = minlist(bestprice,low); if bestprice/close - 1 < -stoploss then begin buy to cover ("XSstop") all contracts next bar on open; exitonstop = marketposition; end; end; end; // exit volatility filter if exitvol <> 0 then begin returns = close/close[1] - 1; vol = stddev(returns,volper)*squareroot(252.); if reentervol <> 0 and vol < reentervol then exitvolOK = true; if vol > exitvol then exitvolOK = false; // exit on volatility filter if marketposition <> 0 and exitvolOK = false then begin if marketposition > 0 then sell ("XLvol") all contracts next bar on open else if marketposition < 0 then buy to cover ("XSvol") all contracts next bar on open; reentervolOK = false; end; end; if marketposition = 0 and reentervolOK = false and vol < reentervol then reentervolOK = true; { entry and entry options, always reverse position } If entryoption = 0 and exitvolOK and exitonstop = 0 then begin if signal = 1 and marketposition <> 1 then begin if usemovingaverage then Buy ("BMA") size contracts this bar on close else if usebreakout then Buy ("BBO") size contracts this bar on close else if useslope then buy ("BLRS") size contracts this bar on close else if useexponential then buy ("BEXP") size contracts this bar on close; // adate = ELdatetostring(tradeentry); // print(file("c:￦tradestation￦Trend_trade_length.csv"), adate, ",", currentbar - tradeentrybar:5:0, // ",", size*(close - tradeprice):8:2); tradeentry = date; tradeentrybar = currentbar; tradeprice = close; bestprice = close; end else if signal = -1 and marketposition <> -1 then begin if longonly then begin if usemovingaverage then sell ("XMA") all contracts this bar on close else if usebreakout then sell ("XBO") all contracts this bar on close else if useslope then sell ("XLRS") all contracts this bar on close else if useexponential then sell ("XEXP") all contracts this bar on close; // adate = ELdatetostring(tradeentry); // print(file("c:￦tradestation￦Trend_trade_length.csv"), adate, ",", currentbar - tradeentrybar:5:0, // ",", size*(close - tradeprice):8:2); tradeentry = date; tradeentrybar = currentbar; tradeprice = close; bestprice = close; end else begin if usemovingaverage then sell short ("SMA") size contracts this bar on close else if usebreakout then sell short ("SBO") size contracts this bar on close else if useslope then sell short ("SLRS") size contracts this bar on close else if useexponential then sell short ("SEXP") size contracts this bar on close; // adate = ELdatetostring(tradeentry); // print(file("c:￦tradestation￦Trend_trade_length.csv"), adate, ",", currentbar - tradeentrybar:5:0, // ",", size*(close - tradeprice):8:2); tradeentry = date; tradeentrybar = currentbar; tradeprice = close; bestprice = close; end; end; end else if entryoption = 1 and exitvolOK then begin If signal = 1 and marketposition <> 1 then buy size contracts next bar on open Else if signal = -1 and marketposition <> -1 then begin if longonly then sell all contracts next bar on open else sell short size contracts next bar on open; end; end else if entryoption = 2 and exitvolOK then begin If signal[1] = 1 and marketposition <> 1 then buy size contracts this bar on close Else if signal[1] = -1 and marketposition <> -1 then begin if longonly then sell all contracts next bar on open else sell short size contracts next bar on open; end; end; if lastbaronchart then if marketposition > 0 then sell all contracts this bar on close else if marketposition < 0 then buy to cover all contracts this bar on close; equity = netprofit + openpositionprofit; PL = equity - equity[1]; dailyreturn = 0; if investment <> 0 then dailyreturn = PL/investment; NAV = NAV*(1 + dailyreturn); if marketposition > 0 then PLlong = PLlong + PL else if marketposition < 0 then PLshort = PLshort + PL; if reinvest then investment = stockinvestment + equity; If printfiles then begin adate = ELdatetostring(date); // if currentbar = 1 then begin // print(file("c:￦tradestation￦Trend_trade_length.csv"), "Enter,Days,PL"); // end; // if usemovingaverage then begin If Currentbar = 1 then begin print(file("c:￦tradestation￦Trend_PL.csv"),"Date,TotalPL"); print(file("c:￦tradestation￦Trend_Detail.csv"), "Date,Open,High,Low,Close,MA,size,marketposition,PLtoday,PLlong,", "PLshort,TotalPL,Return,NAV"); end; print(file("c:￦tradestation￦Trend_PL.csv"),adate, ",", PL:8:4); print(file("c:￦tradestation￦Trend_Detail.csv"),adate, ",", open:8:4, ",", high:8:4, ",", low:8:4, ",", close:8:4, ",", MA:8:4, ",", currentcontracts:6:2, ",", marketposition:6:2, ",", PL:8:4, ",", PLlong:8:4, ",", PLshort:8:4, ",", equity:8:4, ",", dailyreturn:6:5, ",", NAV:10:3); // end // else if usebreakout then begin // If Currentbar = 1 then print(file("c:￦tradestation￦BO_PL.csv"), "Date,size,netPL,PLlong,PLshort,PLtoday"); // print(file("c:￦tradestation￦BO_PL.csv"),adate, ",", size:8:3, ",", equity:8:4, ",", PLlong:8:4, ",", // PLshort:8:4, ",", PL:8:4); // end // else if useslope then begin // If Currentbar = 1 then print(file("c:￦tradestation￦LRS_PL.csv"), "Date,size,netPL,PLlong,PLshort,PLtoday"); // print(file("c:￦tradestation￦LRS_PL.csv"),adate, ",", size:8:3, ",", equity:8:4, ",", PLlong:8:4, ",", // PLshort:8:4, ",", PL:8:4); // end; end; 9.표준편차 청산수식 { inputs: length = average true range calculation period (normally 30 for intraday, 20 for daily) factor = standard deviation value for stop } inputs: length(20), factor1(2.06), factor2(3.2); vars: up1(0), up2(0), dn1(0), dn2(0); up1 = highest(high,length) - TSMStdevStop(length, factor1); up2 = highest(high, length) - TSMStdevStop(length, factor2); dn1 = lowest(low, length) + TSMStdevStop(length, factor1); dn2 = lowest(low, length) + TSMStdevStop(length, factor2); plot1(up1,"TSMup1"); plot2(up2,"TSMup2"); plot3(dn1,"TSMdn1"); plot4(dn2,"TSMdn2"); 10. 효율비 관련 수식 input: period(20); vars: change(0), noise(0), diff(0), ratio(0), signal(0), sumratio(0), avgratio(0); ratio = 0; diff = AbsValue(close - close[1]); if currentbar > period then begin change = close - close[period]; signal = AbsValue(change); noise = summation(diff,period); ratio = 0; if noise <> 0 then ratio = signal/noise; sumratio = sumratio + ratio; end; if lastbaronchart then begin avgratio = sumratio/(currentbar - period);