OPEN-SOURCE SCRIPT
Correlation Strategy
This is strategy determines a level (expressed in a scale from 1 to 100) of correlation
between security A (user defined) and security B (used on the chart) closing prices. If the correlation
is less than the user defined threshold, a buy signal will be possible. To determine the direction
of the trade we can choose between a Simple Moving Average or a Relative Strength Index indicator,
both with user defined lengths.
WFA Explained
This strategy includes a simple Walk Forward Optimisation, which is a technique used to evaluate the robustness
of the strategy, simulating a live trading environment where the future (the "out-of-sample" period) is not visible yet. The "in-sample" period is where you should optimise the values of the Strategy Inputs that match the ones in the WFA section. Default period value is 1 (or 1/3 of all the candles in the chart).
After optimising the first period, the "All" period can be chosen to evaluate the results of
our "in-sample" optimisation in an "out-of-sample" period (="All"-"1"). It is also possible (and recommended) to optimise
each period (1 and 2) independently and then replace the corresponding values in the WFA section of the inputs panel.
The WFA input is used to make those values effective in their corresponding periods.
More info on WFA: en.wikipedia.org/wiki/Walk_forward_optimization
between security A (user defined) and security B (used on the chart) closing prices. If the correlation
is less than the user defined threshold, a buy signal will be possible. To determine the direction
of the trade we can choose between a Simple Moving Average or a Relative Strength Index indicator,
both with user defined lengths.
WFA Explained
This strategy includes a simple Walk Forward Optimisation, which is a technique used to evaluate the robustness
of the strategy, simulating a live trading environment where the future (the "out-of-sample" period) is not visible yet. The "in-sample" period is where you should optimise the values of the Strategy Inputs that match the ones in the WFA section. Default period value is 1 (or 1/3 of all the candles in the chart).
After optimising the first period, the "All" period can be chosen to evaluate the results of
our "in-sample" optimisation in an "out-of-sample" period (="All"-"1"). It is also possible (and recommended) to optimise
each period (1 and 2) independently and then replace the corresponding values in the WFA section of the inputs panel.
The WFA input is used to make those values effective in their corresponding periods.
More info on WFA: en.wikipedia.org/wiki/Walk_forward_optimization
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun das Script auch andere Trader verstehen und prüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden. Die Nutzung dieses Codes in einer Veröffentlichung wird in unseren Hausregeln reguliert. Sie können es als Favoriten auswählen, um es in einem Chart zu verwenden.
Möchten Sie dieses Skript auf einem Chart verwenden?
Haftungsausschluss
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