??????????? ????? ?????, ????????, ??????? ???? ??? ?? ????????? «renga», ??? ???????? «??????». ? ???????????? ??? ??????? ???? ??????? ?????? ???????. ??????? ????? ?????? ?? ?????? ???? «three line break». ?? ??????? ?? ????????? ??????????? ? ???, ??
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Разместил:   Дата: 2005-09-01 20:31
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?????????? Renko

??????? ????????? ???? ? ???????? Renko ?? ????? ??????? "??????????? ?????? ?? ? ?? ?":

"??????????? ????? ?????, ????????, ??????? ???? ??? ?? ????????? «renga», ??? ???????? «??????». ? ???????????? ??? ??????? ???? ??????? ?????? ???????.
??????? ????? ?????? ?? ?????? ???? «three line break». ?? ??????? ?? ????????? ??????????? ? ???, ??? ????? (??? «?????????») ???????? ? ???????? ??????????? ????, ?????? ???? ??????? ???????? (box size) ???? ?????????. ????????? ?????? ????? ?????????? ??????. ????????, ???? ??????? ?????? ?????????? 5 ???????, ? ???? ??????? ?? 20, ?? ????? ?????????? 4 «?????????» ??????????? ???????. ????? ????????? «????????? ?????», ??????? ???? ???????? ???????????? ? ?????????? ? ????????? ??????????? «?????????» (?????? ??? ??????? ?????). ???? ???? ???????? ???? ????????? ??????????? «?????????» ?? ???????? ???????? ??????? ??? ??????, ?? ? ????????? ??????? ???????? ???? ??? ??????? ?????????? ????? ?????? ?????????? ??????. ???? ????? ???? ????? ?? ???????? ???????, ??? ????????? ??? ?????? «?????????», ?? ?? ?? ???????, ????? ?????????? ??? «?????????», ?? ???????? ?????? ???? «????????». ????????, ?? ??????? ????? ? ??????? ????????? ?????? 2 ? ??????? ????? ?????? 100, ??? ????????? ???? ?? 102, ????? ????????? ???? ????? «????????». ????? ?? ?????????? ???? ?? ??????????, ???? ?? ???? ?????????? ?? 103. ?????????? ???????? ?? 102 ?? 103 ?? ???????????? ?? ???????. ?????????? ????????? ? ??? ??????? ????, ???? ??????? ?? ????????? ???????? ??????? ??????? ???????? (box size).
?????????????:
?????? ? ????????? ????????? ?????? ?????????, ????? ?????????? ?????????? ?? ????????? ???? ????? ??? ?????? «????????». ????? ????? «????????» ?????????? ????????????? ?????? ??????????? ??????. ? ?? ????? ??? ????? ?????? «????????» ?????? ?????????????? ?????? ???????????. ??????? ????? ????????? ? ??????? ???????? ?? ??????? ? ??? ?????????????? ?? «????????????» ???????????? ?????. ??????, ???????? ???????? ?? ??????? ????????? ????????? «?????????? ?? ????» ??????? ????? ??????? ? ??????? ?????????? ???????? ???????. ?.?. ????? ????????? ?????????????? ????????? ???? ?????-????, ???? ????? ??????????? ???????? ? ??????????? ??????? ?????????/?????????????."

???????? ????? ?????????? ??????????? ? ?????????, ?????? ??? ?? ?? ???? ?? ?????????? ??? ? ????????????? ?? ??????????. ??? ?????? ??? ?? ??????? ?????????? ?????? ? ????? "??????????", ??????? ????????????? ?? ?????? ???????? ?????????? ???????????? Equis? ??-??????, ?????? ??? ?????????????? ? ????????, ????? ????? ?????? ???? ?????????? ? ??????????? ????????????? ?? ???????????? ??????. ?????????? ?????? ????????????? ????????????????? ?????????, ?????????? ? ????????????? ??????????? ?????? ??????. ??-??????, ??????? ??????? ????? (?????? ????????? ?????) ? ?????????? ??????? (???????? ?? ????? ?????) ?????? ?????????? ??????. ??????, ??? ???????? ??????????, ???? ????? ?????? ????? ???????? ?????? ?????????????, ? ?????? ?? ?????????? ????????? ???? ??????.

???? ???????????? ? ???????? ????????? ????? ????? ??????????? ?????????? ????????? ??? ? ??????? ????????? ????? (??? Lohinson ?? "?????? ? ?????"). ??????, ??? ?????? ? ?????? - ???????? ?????? "?????????" ? ???????? Average True Range (ATR).

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

????????? ?????????? ??????? ?????? ?????????????, ??????, ????? ??, ??????? ?? ????????? ????????????. ??? ???? ???? ??????? ????? ??????? ?????????? ???????? ????? ? ???? ???????????? ??????. ?????? ??????? ?????? ????? ??????????????? ?????? ????? ?????????, ??????? ???????, ?????????????? - ???????. ? ???? ??, ????? ??????????? ????? ???? ?????? ????????? ????????? ????????. ???????? ???? ???? ??????? ??????? ?????? ?????? ??? ?? 1ATR ?????????? ??? ??????? ????? ?? 1ATR ?????. ??? ???? ?????? ??????? ?????? ???????? ????? ?? 1ATR ???? ???????. ???????? ????? ????? ??? ???????? ???? ???? ?????? ??????? ?????? ?? ???????? ??????????? 1ATR. ? ?????????? ?? ????? ??????? ????? ? ???????? ?????????? ???????????????. ???????????? ???????? ???????? ???? ??? ????????? ?????? ?????? ????? ?????????? ?? 3 ATR, ?? ??? ???????????? ????????, ???????? ???? ????? ?????? ATR ??? ???????? ? ???????? ?????? ??????. ????? ???????, ????? ?????????? ??????????? - ?????????? ? ???????? ????????? ????????? ?????????. ? ?????????? - ??? ?????? ? ?????? "????????????" (?????????? ?????????? ?????????) ???????? ? ??????????? ?? ??????? ?? ????? ? ???????? ???.

???????? ????????? ???????? ???????? - ???????????? ??? ?????. ????????? "?????? ?????????", ??? ? ????? ?????????????, ???????? (?????????) ?????? ?????, ???? ?????? ?? ???????. ????????? "??????? ?????????", ??? ???????? ?????? ???? ???? ?????? ?? ???????.

?????????? ?????? ???????? ????? ???? ??????????? ?????????? ?????????. ????? ????????? ????????? ATR ?? ?????? ????, ????? ???????? ????????? "?????????" ?? ??????? (?????? ????? ????? ? ????? ????? - ??? ????, ??? ? ???). ??????, ?????????????? ????? ??????? ????, ??? ????? ????? ???????? ATR "????-???-??-??????", ?????? ? ?????? ???????????? ?????? (?????????? ??????????/????????? ??????????). ? ?????????? ?????????? ?????????????? ??????????? ?????? ???????? (? ???????? ? ??????? ?????????? ATR). ???????????, ????? ??? ?????, ? ??????????????? ??????????? ?, ??????????????, ?????? ????????? ATR. ??????????? ?????? ???????? ??? (??? ???? ????? ? ?????????? ????? "??????") ??????? ????? ????????? "??????????" ? ??????????? ???????? ????, ?? ?????? ?????????? ?????? ?? ?????????, ??? ???????? ????? ????? ?????????????? ????????. ?? ??????????? ???? ??????? ?????? ?????, ??? ? ?????? 2002 ????, ????? ??????? ????? ???, ?????? ?????????? ????????? ????????? ???? ?????? ??????????, ??? ????????? ???????????? ????????????? ??????? ?? ???????? ?????, ????????? ??? ? ??????? 2001 ?.

?? ?????, ??? ???? ????? ????????? ???????? ???????????? ????????? ?????? ?????? ??????. ?????? ?????? ???? ????????? ?????? ?????????? ????????? ????????? ???????? ????????? ????????? (ATR). ????? ???????? ????????, ??? ??? ????? ?????? (?????????? "??????" ?????????), ?????? ??????? ?????? ?? ????? ?????????? ??????? ???????, ??? ??? ???? ?? ??? ????????????? ?????????? ??????? ? ????????? ?????? ????????? (??????????? box size). ?? ?? ??????????? ?????? ???????????? ? ??? ???????? ?????? (?????????? "??????" ??????????). ??? ??????? ?????? ? ??????????, ?????????? ??????? ??????????, ? ??????????? ?? ????????? ?????.

??????? ????????, ??? ? ???????? ??????????? ???? ??? ??????????? ?????? ?????????? ????? ????? ???????????? ? ?????? ????????? "??????????" ??????? ?????. ??? ????? ???? ? ??????????? ?????????? ????, ? ??????? ?????? ?????????? ??? ???????? ? ?????? ??????.

???? ????????? ???? ?????????? ? ??????? ????????? Renko_Adaptive ??? ????? ?? Easy Language. (? ?????????, ???????? Short ?????? ??? ?????????? (true) ??? ?????????? (false) "????????" ???????.)

?????????:

{Renko-Adaptive indicator (based o­n ATR)
Written by konkop 07.03.2002.
*********************
Attention: set MaxBarsBack (f.e. =30) in this study according with
MaxBarsBack value in the Renko_Adaptive strategy
for correct step-by-step calculations of the buy/sell levels
*********************}

Inputs: K(1),
Smooth(10);

vars:Brick(0) ,DN(0), UP(0), BricksUp(0), BricksDn(0);

Value1 = AvgTrueRange(Smooth);

If BarNumber = 1 Then Begin
Up = H;
Dn = L;
Brick = K*(H - L);
End;
If BarNumber > 1 then begin
If C > UP + Brick Then begin
BricksUp = IFF(Brick = 0, 0, Floor((C - Up)/Brick)*Brick);
UP = Up + BricksUp;
Brick = K*Value1;
DN = Up - Brick;
BricksDn = 0;
End;
If C < Dn - Brick Then begin
BricksDn = IFF(Brick = 0, 0, Floor((Dn - C)/Brick)*Brick);
Dn = Dn - BricksDn;
Brick = K*Value1;
Up = Dn + Brick;
BricksUp = 0;
End;
End;

Plot1(UP, "Up");
Plot2(DN, "Dn");
{***************end of code****************}

??????:

{Renko-Adaptive signal (based o­n ATR)
Written by konkop 07.03.2002.
*********************
Attention: set MaxBarsBack (f.e. =30) in this study according with
MaxBarsBack value in the Renko_Adaptive indicator
for correct step-by-step calculations of the buy/sell levels
*********************}

Inputs: K(1),
Smooth(10),
Short(false);

vars: Brick(0) ,DN(0), UP(0), BricksUp(0), BricksDn(0);

Value1 = AvgTrueRange(Smooth);

If BarNumber = 1 Then Begin
Up = H;
Dn = L;
Brick = K*(H-L);
End;

If BarNumber > 1 then begin
If C > UP + Brick Then begin
BricksUp = IFF(Brick = 0, 0, Floor((C - Up)/Brick)*Brick);
UP = Up + BricksUp;
Brick = K*Value1;
DN = Up - Brick;
BricksDn = 0;
End;
If C < Dn - Brick Then begin
BricksDn = IFF(Brick = 0, 0, Floor((Dn - C)/Brick)*Brick);
Dn = Dn - BricksDn;
Brick = K*Value1;
Up = Dn + Brick;
BricksUp = 0;
End;
{Trade Rules with or without short trades}
If Short = false then begin
If Up > Up[1] then buy at C;
If Dn < Dn[1] then exitlong at C;
End;
If Short = true then begin
If Up > Up[1] then buy at C;
If Dn < Dn[1] then sell at C;
{If C < Dn[1] then exitlong;
If C > Up[1] then exitshort;}

End;
End;
{****************end of code***************}

???? ELA ? ???????????? ??????.

??? ?????? ?????????:

1. ? ????? ? ???, ??? ???????? ????? ????????? ??????????? ??????, ??????? ? ??????? ???? ???????, ? ????????? ?????????? ? ????????? ? ????? ??????? ?????????? ?????????? ???????? ????????? MaxBarsBack (???????? 30), ????? ?????? ????? ??????? ????????? ? ?????? ????. ????? ????? ?????????? ????????, ????? ????????? ????????? ?????? ???????????, ? ?????? ????????? ?? ?????????.

2. ? ???? ??????? (??? ????????) ? ?? ???????? ????? ????????: ??? ???????????? ??????????? ATR, ?????? ?????????? "?????????" ????? ????????? ??????? ?????? ??????????? "?????????". ?????, ???????? ??? ???????? ???? ?????, ??????? ??????? ?????? ???????? ???? ??????????, ? ?????? - ???? ??????????. ? ????? ??????, ????? ???????? ???????? ??????? ?? ????? ????, ???? ???? ???????? ?????????????? ???????, ?????? ??? ???????: If Up > Up[1] and C > Up[1] then buy at C; ????????? ???????????? ???????? ? ?????????????? ??????? ????? ???? ????? (????????, ???????? ???? ? ???????? ???????), ??????? ? ?? ???? ????????? ? ??????????? ??? ????? ????????.

? ??????????. ?????????? ?????? ?? ?????????? ??????? ??????? ??? ???. ?????? ?????? ????, ?? - ?????????? ????? ?????? = $10.000. ???????? ????? - ?????? ????????? = 1ATR(21).

Total Net Profit$50 927.40Open position P/L$0.00
Gross Profit$76 583.63Gross Loss($25 656.22)
Total # of trades120Percent profitable51.67%
Number winning trades62Number losing trades58
Largest winning trade$8 009.68Largest losing trade($1 629.03)
Average winning trade$1 235.22Average losing trade($442.35)
Ratio avg win/avg loss2.79Avg trade (win & loss)$424.40
Max consec. Winners6Max consec. losers5
Avg # bars in winners37Avg # bars in losers16
Max intraday drawdown($3 150.65)
Profit Factor2.98Max # contracts held34 602
Account size required$3 150.65Return o­n account1616.41%

(c) konkop 2002



 
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