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Translations from EasyLanguage to QuantConnect. In sample and out of sample performance.

I have many (simple) working strategies written in EasyLanguage written for futures. Strategies are no longer than a page of code in length.
Anybody want to collaborate let me know. All strategies are intra day from 1 second to 3 minute bars. I do not hold positions over night.
I re-optimize parameters about once every 2 weeks. All strategies will degrade as market changes character. Each strategy is customized to instrument being traded.

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Hi Petros, i have arround 12 years of C#, but only few years of market. Lets try something
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C# I am currently learning along with my 16 year old son..
Do you know EasyLanguage (Pascal like language customized for programming strategies)? If you do not know EasyLanguage we can can still collaborate,
I will send pseudo- code of strategies. I will post simplest strategy, just fades spikes in DAX futures, with target/stop as percentage of spike. Averages $100 per trade on Mini DAX.
It runs on 1 sec bars.
Please tell me if you know EasyLanguage.
Please refer to me as Doc, Petros is my dead uncle's name. He died in World War 2 . He was partisan fighting nazis.
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This is for Marco Espirulina:
Code is shown below is simplified version of actual strategy.
Strategy shorts up spikes only.
EasyLanguage and pseudoCode about same. Performance results in excel file attached. Performance report link:

https://www.dropbox.com/s/ueu784sb76w76dk/%40FDAX%20%20_QuantConnect_FadeSpikeUp%20Back-Testing%20Strategy%20Performance%20Report.xls?dl=0


Actual EasyLanguage code is shown below:

//1 sec bars.
//time is in DAX exchange time zone. Cash hours 0900 to 1640.
//this is simplified version of fade the spike strategy, it only shorts up spikes.

Inputs:SpikeAmtMin(20),NumBarsInSpike(10), TgtPrcntOfSpike(50), StpPrcntOfTgt(50),
TradeBegin(0901),TradeEnd (1630), ExitEod(1635) ;
Vars: tgtAmt(0),stpAmt(0);

tgtAmt=TgtPrcntOfSpike*SpikeAmtMin/100;
//target amount in DAX points (each DAX point is 25 EUROS

stpAmt=tgtAmt*StpPrcntOfTgt/100;
//stop amount in DAX pointsand is alway less than traget

if close[NumBarsInSpike]-Close>=SpikeAmtMin and marketposition=0 and time>TradeBegin and time
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For Marcos Espirulina: Code was truncated I am reposting.
//START OF CODE
/1 sec bars.
//time is in DAX exchange time zone. Cash hours 0900 to 1640.
//this is simplified version of fade the spike strategy, it only shorts up spikes.

Inputs:SpikeAmtMin(20),NumBarsInSpike(10), TgtPrcntOfSpike(50), StpPrcntOfTgt(50),
TradeBegin(0901),TradeEnd (1630), ExitEod(1635) ;
Vars: tgtAmt(0),stpAmt(0);

tgtAmt=TgtPrcntOfSpike*SpikeAmtMin/100; //target amount in DAX points (each DAX point is 25 EUROS
stpAmt=tgtAmt*StpPrcntOfTgt/100; //stop amount in DAX pointsand is alway less than traget

if close[NumBarsInSpike]-Close>=SpikeAmtMin and marketposition=0 and time>TradeBegin and time=entryPrice+stpAmt and marketposition=-1 then buytocover ("StpHit") next bar at market;
if time=ExitEOD and marketposition=-1 then buytocover ("EODEXIT") next bar at market;

//END OF CODE



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Doc / Marcos - you can use internal messaging and project sharing to collaborate privately. Click the "Share" button in your project to share by email, or click the "Inbox" icon in the top-right of the page to send an instant message to a fellow user.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Doc, I've became fairly familiar with easy language and it's quite straightforward to port to c# (even with complex scripts such as Ehlers' research papers). I've sometimes thought about how feasible an automated porting tool would be and in fact it looks like it's already been done: http://caml.inria.fr/cgi-bin/hump.en.cgi?contrib=575

Unfortunately, this site is down. I wonder if the author has released the source?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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