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Synthetic hedges, cointegration, mean reversion and similar stuff

  • #41
  • Nov 11, 2010 9:17am Nov 11, 2010 9:17am
The above plots have been produced from within metatrader (using R) with the following MQL4 code:

Inserted Code
[color=#717ab3]/**[/color]
[color=#717ab3]* this is meant to be run as an EA (not an indicator!).[/color]
[color=#717ab3]*[/color]
[color=#717ab3]* It needs R and the mt4R.dll (version 1.3) to work,[/color]
[color=#717ab3]* please do a google search for mt4R.dll and download[/color]
[color=#717ab3]* and install R and mt4R.dll (everything is GPL).[/color]
[color=#717ab3]*/[/color]
[color=#3f5fbf]#include <mt4R.mqh>[/color]

[color=#3f5fbf]#define RPATH[/color] [color=#7f9fbf]"C:/Programme/R/R-2.11.1/bin/Rterm.exe --no-save"[/color]
[color=#3f5fbf]#define RDEBUG 1[/color]  [color=#2f9956]// debug level (0: none, 1: warnings, 2:all)[/color]

string symb[color=#000000][] = {[/color][color=#0000ff]"AUDUSD"[/color][color=#000000],[/color] [color=#0000ff]"EURUSD"[/color][color=#000000],[/color] [color=#0000ff]"GBPUSD"[/color][color=#000000],[/color] [color=#0000ff]"NZDUSD"[/color][color=#000000],[/color] [color=#0000ff]"USDCAD"[/color][color=#000000],[/color] [color=#0000ff]"USDCHF"[/color][color=#000000],[/color] [color=#0000ff]"USDJPY"[/color][color=#000000]};[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]int[/b][/color] back [color=#000000]=[/color] [color=#000000]500[/color][color=#000000];[/color]      [color=#2f9956]// how many bars back[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]int[/b][/color] plot_alpha [color=#000000]=[/color] [color=#000000]50[/color][color=#000000];[/color] [color=#2f9956]// transparency of plotted points [0..255], 0=transparent[/color]

[color=#7f0055][b]int[/b][/color] last_bar_time[color=#000000];[/color]          [color=#2f9956]// needed for detecting a new bar[/color]
[color=#7f0055][b]int[/b][/color] last_back_line_time[color=#000000];[/color]    [color=#2f9956]// optional vertical line moved by user to override the back value[/color]

[color=#2f9956]// start and initialize the R engine[/color]
[color=#7f0055][b]int[/b][/color] [color=#000000]init[/color][color=#000000](){[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]UninitializeReason[/color][color=#000000]() !=[/color] REASON_CHARTCHANGE[color=#000000]){[/color]
      [color=#000000]StartR[/color][color=#000000]([/color]RPATH[color=#000000],[/color] RDEBUG[color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"options(device='windows')"[/color][color=#000000]);[/color]
   [color=#000000]}[/color]
   last_bar_time [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
[color=#000000]}[/color]

[color=#2f9956]// stop the R engine[/color]
[color=#7f0055][b]int[/b][/color] [color=#000000]deinit[/color][color=#000000](){[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]UninitializeReason[/color][color=#000000]() !=[/color] REASON_CHARTCHANGE[color=#000000]){[/color]
      [color=#000000]StopR[/color][color=#000000]();[/color]
   [color=#000000]}[/color]
[color=#000000]}[/color]

[color=#2f9956]// a new tick has arrived[/color]
[color=#7f0055][b]int[/b][/color] [color=#000000]start[/color][color=#000000](){[/color]
   [color=#7f0055][b]int[/b][/color] nrow[color=#000000],[/color] ncol[color=#000000];[/color]
   [color=#7f0055][b]int[/b][/color] i[color=#000000],[/color] j[color=#000000],[/color] ishift[color=#000000];[/color]
   [color=#7f0055][b]int[/b][/color] back_line_time[color=#000000];[/color]
   [color=#7f0055][b]double[/b][/color] matrix[color=#000000][];[/color] [color=#2f9956]// this actually represents the flattened data of a 2d array[/color]
   
   [color=#2f9956]// optional: the user might have drawn a vertical line named "back"[/color]
   [color=#2f9956]// this will override the value of back, otherwise this code does nothing[/color]
   back_line_time [color=#000000]=[/color] [color=#000000]ObjectGet[/color][color=#000000]([/color][color=#0000ff]"back"[/color][color=#000000],[/color] OBJPROP_TIME1[color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]back_line_time [color=#000000]!=[/color] [color=#000000]0[/color][color=#000000]){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]back_line_time [color=#000000]!=[/color] last_back_line_time[color=#000000]){[/color]
         last_back_line_time [color=#000000]=[/color] back_line_time[color=#000000];[/color]
         last_bar_time [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color] [color=#2f9956]// force a new bar when the user moved the line[/color]
      [color=#000000]}[/color]
      back [color=#000000]=[/color] [color=#000000]iBarShift[/color][color=#000000]([/color]NULL[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] back_line_time[color=#000000]);[/color]
   [color=#000000]}[/color]
   
   [color=#2f9956]// not a new bar? --> exit[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]last_bar_time [color=#000000]==[/color] Time[color=#000000][[/color][color=#000000]0[/color][color=#000000]])[/color] [color=#7f0055][b]return[/b][/color][color=#000000]([/color][color=#000000]0[/color][color=#000000]);[/color]
   last_bar_time [color=#000000]=[/color] Time[color=#000000][[/color][color=#000000]0[/color][color=#000000]];[/color]
   
   
   [color=#2f9956]// we have reached this point because there was either a new[/color]
   [color=#2f9956]// bar or the user moved the back line and we make a new plot now[/color]
   
      
   [color=#2f9956]// create the matrix of past prices,[/color]
   [color=#2f9956]// each row is a bar, each column is a currency pair.   [/color]
   ncol [color=#000000]=[/color] [color=#000000]ArraySize[/color][color=#000000]([/color]symb[color=#000000]);[/color]
   nrow [color=#000000]=[/color] back[color=#000000];[/color]
   [color=#000000]ArrayResize[/color][color=#000000]([/color]matrix[color=#000000],[/color] nrow [color=#000000]*[/color] ncol[color=#000000]);[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color]nrow[color=#000000]-[/color][color=#000000]1[/color][color=#000000];[/color] i[color=#000000]>=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]--){[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]j[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] j[color=#000000]<[/color]ncol[color=#000000];[/color] j[color=#000000]++){[/color]
         ishift [color=#000000]=[/color] [color=#000000]iBarShift[/color][color=#000000]([/color]symb[color=#000000][[/color]j[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] Time[color=#000000][[/color]i[color=#000000]]);[/color]
         matrix[color=#000000][[/color]i [color=#000000]*[/color] ncol [color=#000000]+[/color] j[color=#000000]] =[/color] [color=#000000]iClose[/color][color=#000000]([/color]symb[color=#000000][[/color]j[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] ishift[color=#000000]);[/color]
      [color=#000000]}[/color] 
   [color=#000000]}[/color]
   
   [color=#2f9956]// assign the data to the matrix "currencies"[/color]
   [color=#000000]Rm[/color][color=#000000]([/color][color=#0000ff]"currencies"[/color][color=#000000],[/color] matrix[color=#000000],[/color] nrow[color=#000000],[/color] ncol[color=#000000]);[/color]
   
   [color=#2f9956]// assign the column names[/color]
   [color=#000000]Rf[/color][color=#000000]([/color][color=#0000ff]"names"[/color][color=#000000],[/color] symb[color=#000000]);[/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"colnames(currencies) <- names"[/color][color=#000000]);[/color] 
   
   [color=#2f9956]// make a pairs plot. the points are semi-transparent (plot_alpha)[/color]
   [color=#000000]Ri[/color][color=#000000]([/color][color=#0000ff]"plot_alpha"[/color][color=#000000],[/color] plot_alpha[color=#000000]);[/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"pairs(currencies, gap=0, col=rgb(0,0,0,plot_alpha,maxColorValue=255))"[/color][color=#000000]);[/color]
   
[color=#000000]}[/color]


[color=#7f0055][b]void[/b][/color] [color=#000000]Rf[/color][color=#000000]([/color]string name[color=#000000],[/color] string factor[color=#000000][]){[/color]
   [color=#000000]RAssignStringVector[/color][color=#000000]([/color]hR[color=#000000],[/color] name[color=#000000],[/color] factor[color=#000000],[/color] [color=#000000]ArraySize[/color][color=#000000]([/color]factor[color=#000000]));[/color]
   [color=#000000]Rx[/color][color=#000000]([/color]name [color=#000000]+[/color] [color=#0000ff]" <- as.factor("[/color] [color=#000000]+[/color] name [color=#000000]+[/color] [color=#0000ff]")"[/color][color=#000000]);[/color]
[color=#000000]}[/color]
  • #42
  • Nov 12, 2010 11:19am Nov 12, 2010 11:19am
Looks interesting. But have you found a working combination of pairs with hedge weights yet?

Can you tell us, how to draw the resulting graph after applying the weights. If you can give us the indicator (if its in mt4) then we can try different currency pairs and different weights and probably can find out the best combination for ranging and trending.

Thanks,
Prakash
  • #43
  • Nov 15, 2010 3:58am Nov 15, 2010 3:58am
Hi 7bit,

Thanks again for all your inputs.

I’m experiment a bit with different models and I think a have a wrong calculation for each unit.

Can you please provides us the correct formula (code would be better ) for calculating the units out of the coefficient.

Examples
.....
Rx("model <- lm(this ~ others)");
Rx("pred <- as.vector(predict(model))");
Rx("spread <- this - pred");

…after I’m missing a bit the calculation of how to get the correct size of each currency out of the model created…

Thanks
Claudio
  • #44
  • Nov 15, 2010 5:11am Nov 15, 2010 5:11am
The coefficients are in the model. To extract them I use:

Inserted Code
   // get the coefficients
   Rgv("coef(model)[-1]", coef);   // remove the first one (the constant term)

coef is a double array of the size of the number of pairs. [-1] means the whole vector except the first element (counting always start at 1 and negative indices are used to indicate that we want to negate the selection, [1] would be only the first oine). The model returns a constant term (the intercept) and one coefficient for each pair and we only need the coefficients.

then I have something like this:
Inserted Code
   for (i=0; i<pairs; i++){
      // if we fit a spread then all pairs except this one are on the other 
      // side (negative) and this one (the regressand) is 1 by definition
      if (!trend){
         if (i == this){
            coef[i] = 1;
         }else{
            coef[i] = -coef[i];
         }
      }
      
      // convert to units
      if (StringSubstr(symb[i], 0, 3) == "USD"){ 
         coef[i] = coef[i] * iClose(symb[i], 0, 0);
      }
   }

trend is always set to false, it is some other (not fully working) mode of this EA for experimental reasons only.

Two problems here: This calculation does only work for xxx/usd and usd/xxx pairs, not for other crosses. A more correct approach would use MODE_TICKVALUE, MODE_TICKSIZE and MODE_LOTSIZE.

I have spent some time with the oanda profit calculator to verify it, to make sure I did not mess it up because you can easily twist your brain while thinking about this, and I tried it with some hypotetical extreme cases and coefficients like for example

1 * USDJPY - 1 * EURUSD

which would mean a move of EURUSD of 1 (from 1.38 to 2.38) must offset a move of USDJPY of 1 (from 82 to 81) and this would need 1 unit for EURUSD and 82 units of USDJPY.

The other problem is an implementation detail here in my version: "this" means the currency that is also on the left side of the equation, it must not be present in the regressors. In my version it has a column there but the whole column has been set to NA before fitting the model, therefore there is a coefficient for it in the returned array but it has no value and I set it to 1 by definition.)

I will try to put together a usable (and stripped down) version of what I have here to upload it. It currently contains a lot of hackish code and some references to my MT4 -> oanda framework and I must make a working version without this first (but it will only be for documentation purposes and as a starting point for your own experiments, I will not further maintain it, I cannot permanently maintain two versions of the same EA).
  • #45
  • Nov 15, 2010 5:19am Nov 15, 2010 5:19am
Hi, thank you for yor brillant work

It is posible to do indicator who draw in a single horizontal line (like moving average) the sum of all the position of the basket thru "x" weeks ago and lot size established by the user.

Regard

PD. Sorry english is not my first language
  • #46
  • Nov 15, 2010 5:33am Nov 15, 2010 5:33am
Quoting abroco
Hi, thank you for yor brillant work

It is posible to do indicator who draw in a single horizontal line (like moving average) the sum of all the position of the basket thru "x" weeks ago and lot size established by the user.
I will upload an indicator¹ that will plot the sum of all other pairs into the chart of the pair that is on the left side and also plot an oscillator that represents the spread between the two into the chart and also as a separate R plot soon. It will look like the screenshots I posted already (the one with the red and green areas around price which represent the sum of the 6 other pairs and the spread between them). It will allow you to move a vertical line with the mouse that marks the start of the calculation and update the ratios and all the plots in real time.

¹) the "indicator" will be implemented as an EA to make programming easier because you cannot easily do long-running calculations in an indicator without freezing MT4.
  • #47
  • Nov 15, 2010 5:35am Nov 15, 2010 5:35am
That’s fantastic I can’t wait for the “usable (and stripped down) version”…In the meantime I will experiment with the calculation that you posted.

Again thanks
Claudio
  • #48
  • Nov 15, 2010 6:28am Nov 15, 2010 6:28am
[quote=7bit;4172913]I will upload an indicator¹ that will plot the sum of all other pairs into the chart of the pair that is on the left side and also plot an oscillator that represents the spread between the two into the chart and also as a separate R plot soon.

Thank you very much 7bit
I will wait for your EA.

Regard Abroco
  • #49
  • Edited 2:55pm Nov 15, 2010 8:49am | Edited 2:55pm
Ok. Here is some code. This is basically the tool I am experimenting with, I made it compile and run without any proprietary libraries but you will not be able to use the oanda buttons because nothing will pick up the tickets that it creates, you will have to hook something else in there that does the buy and sell for you.

some backslashes in the following might be messed up due to the forum software, please use the attached downwload file instead.

Make sure you have R installed and the Path to the R binary is set correctly. Don't tell me about errors without first running it on debug level 2 and looking at the output of debugview. See the thread about the MT4->R bindings for details. Read the documentation in mt4R.mqh
Inserted Code
[color=#2f9956]//+------------------------------------------------------------------+[/color]
[color=#2f9956]//|                   EXPERT ADVISOR                arbomat_demo.mq4 |[/color]
[color=#2f9956]//|                                                   © Bernd Kreuss |[/color]
[color=#2f9956]//+------------------------------------------------------------------+[/color]

[color=#717ab3]/** @file[/color]
[color=#717ab3]* This code is released under Gnu General Public License (GPL) V3[/color]
[color=#717ab3]* You know what this means. Otherwise don't use it or buy a license.[/color]
[color=#717ab3]*/[/color]

[color=#3f5fbf]#property copyright[/color] [color=#7f9fbf]"(c) 2010 Bernd Kreuss"[/color]
[color=#3f5fbf]#property link[/color]      [color=#7f9fbf]"mailto:[email="[email protected]"][email protected][/email]"[/color]

[color=#3f5fbf]#define RPATH[/color] [color=#7f9fbf]"C:/Programme/R/R-2.11.1/bin/Rterm.exe --no-save"[/color]
[color=#3f5fbf]#define RDEBUG 1[/color]

[color=#3f5fbf]#include <mt4R.mqh>[/color]                [color=#2f9956]// <-- its on forexfactory. need version 1.3[/color]
[color=#3f5fbf]#include <common_functions.mqh>[/color]    [color=#2f9956]// <-- is on my website. google it![/color]

[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]int[/b][/color] back_bars [color=#000000]=[/color] [color=#000000]2000[/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]int[/b][/color] base_units [color=#000000]=[/color] [color=#000000]100[/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] trend [color=#000000]=[/color] [color=#7f0055][b]false[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] Rplot [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] AUDUSD [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] EURUSD [color=#000000]=[/color] [color=#7f0055][b]false[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] GBPUSD [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] NZDUSD [color=#000000]=[/color] [color=#7f0055][b]false[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] USDCAD [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] USDCHF [color=#000000]=[/color] [color=#7f0055][b]false[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] [color=#7f0055][b]bool[/b][/color] USDJPY [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] color clr_spreadline [color=#000000]=[/color] Yellow[color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] color clr_above [color=#000000]=[/color] FireBrick[color=#000000];[/color]
[color=#7f0055][b]extern[/b][/color] color clr_below [color=#000000]=[/color] DarkGreen[color=#000000];[/color]

[color=#3f5fbf]#define GLOBALNAME[/color] [color=#7f9fbf]"arb-o-mat"[/color] [color=#2f9956]// prefix for global variable names[/color]

string symb[color=#000000][[/color][color=#000000]0[/color][color=#000000]];[/color]
[color=#7f0055][b]double[/b][/color] coef[color=#000000][];[/color]
[color=#7f0055][b]double[/b][/color] regressors[color=#000000][];[/color] [color=#2f9956]// this flat array is actually representing a matrix[/color]
[color=#7f0055][b]double[/b][/color] prices[color=#000000][];[/color]
[color=#7f0055][b]double[/b][/color] pred[color=#000000][];[/color]
[color=#7f0055][b]double[/b][/color] stddev[color=#000000];[/color]
[color=#7f0055][b]int[/b][/color] pairs[color=#000000];[/color]
[color=#7f0055][b]int[/b][/color] back[color=#000000];[/color]
[color=#7f0055][b]int[/b][/color] [color=#7f0055][b]this[/b][/color][color=#000000];[/color]
string ratios[color=#000000];[/color]
[color=#7f0055][b]int[/b][/color] time_last[color=#000000];[/color]  [color=#2f9956]// time of last bar[/color]

[color=#7f0055][b]void[/b][/color] [color=#000000]append[/color][color=#000000]([/color]string symbol[color=#000000]){[/color]
   pairs[color=#000000]++;[/color]
   [color=#000000]ArrayResize[/color][color=#000000]([/color]symb[color=#000000],[/color] pairs[color=#000000]);[/color]
   symb[color=#000000][[/color]pairs[color=#000000]-[/color][color=#000000]1[/color][color=#000000]] =[/color] symbol[color=#000000];[/color]
[color=#000000]}[/color]

[color=#7f0055][b]int[/b][/color] [color=#000000]init[/color][color=#000000](){[/color]
   [color=#7f0055][b]int[/b][/color] i[color=#000000];[/color]
   
   pairs [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]AUDUSD[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"AUDUSD"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]EURUSD[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"EURUSD"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]GBPUSD[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"GBPUSD"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]NZDUSD[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"NZDUSD"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]USDCAD[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"USDCAD"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]USDCHF[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"USDCHF"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]USDJPY[color=#000000])[/color] [color=#000000]append[/color][color=#000000]([/color][color=#0000ff]"USDJPY"[/color][color=#000000]);[/color]
   [color=#7f0055][b]this[/b][/color] [color=#000000]= -[/color][color=#000000]1[/color][color=#000000];[/color]
   [color=#7f0055][b]for[/b][/color][color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#7f0055][b]if[/b][/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]] ==[/color] [color=#000000]Symbol[/color][color=#000000]()){[/color]
         [color=#7f0055][b]this[/b][/color] [color=#000000]=[/color] i[color=#000000];[/color]
         [color=#7f0055][b]break[/b][/color][color=#000000];[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#7f0055][b]this[/b][/color] [color=#000000]== -[/color][color=#000000]1[/color][color=#000000]){[/color]
      [color=#000000]append[/color][color=#000000]([/color][color=#000000]Symbol[/color][color=#000000]());[/color]
      [color=#7f0055][b]this[/b][/color] [color=#000000]=[/color] pairs[color=#000000]-[/color][color=#000000]1[/color][color=#000000];[/color]
   [color=#000000]}[/color]
   
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]UninitializeReason[/color][color=#000000]() !=[/color] REASON_CHARTCHANGE[color=#000000]){[/color]
      [color=#000000]StartR[/color][color=#000000]([/color]RPATH[color=#000000],[/color] RDEBUG[color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"options(device='windows')"[/color][color=#000000]);[/color]
   [color=#000000]}[/color]
   
   
   time_last [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color] [color=#2f9956]// force new bar[/color]
[color=#000000]}[/color]

[color=#7f0055][b]int[/b][/color] [color=#000000]deinit[/color][color=#000000](){[/color]
   [color=#2f9956]//Rx("save.image('c:/Programme/BestDirectMT4/experts/files/arbomat.R')");[/color]
   [color=#000000]plotRemove[/color][color=#000000]([/color][color=#0000ff]"others"[/color][color=#000000]);[/color]
   [color=#000000]plotRemove[/color][color=#000000]([/color][color=#0000ff]"spread"[/color][color=#000000]);[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]UninitializeReason[/color][color=#000000]() !=[/color] REASON_CHARTCHANGE[color=#000000]){[/color]
      [color=#000000]StopR[/color][color=#000000]();[/color]
   [color=#000000]}[/color]
[color=#000000]}[/color]

[color=#7f0055][b]void[/b][/color] [color=#000000]onTick[/color][color=#000000](){[/color]
   [color=#7f0055][b]int[/b][/color] units[color=#000000],[/color] units1[color=#000000];[/color] 
   [color=#7f0055][b]int[/b][/color] i[color=#000000];[/color] 
   
   [color=#2f9956]// update the last row[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000](![/color]trend[color=#000000]){[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
         [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]] !=[/color] [color=#000000]Symbol[/color][color=#000000]()){[/color]
            prices[color=#000000][[/color]i[color=#000000]] =[/color] [color=#000000]iClose[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000]);[/color]
         [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
            prices[color=#000000][[/color]i[color=#000000]] =[/color] [color=#000000]0[/color][color=#000000];[/color]
         [color=#000000]}[/color]
      [color=#000000]}[/color]
      [color=#000000]Rv[/color][color=#000000]([/color][color=#0000ff]"current_others"[/color][color=#000000],[/color] prices[color=#000000]);[/color]
      [color=#000000]Rd[/color][color=#000000]([/color][color=#0000ff]"current_this"[/color][color=#000000],[/color] Close[color=#000000][[/color][color=#000000]0[/color][color=#000000]]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"regressors[1,] <- current_others"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"regressand[1] <- current_this"[/color][color=#000000]);[/color]
   [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
         prices[color=#000000][[/color]i[color=#000000]] =[/color] [color=#000000]iClose[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000]);[/color]
      [color=#000000]}[/color]
      [color=#000000]Rv[/color][color=#000000]([/color][color=#0000ff]"current_all"[/color][color=#000000],[/color] prices[color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"regressors[1,] <- current_all"[/color][color=#000000]);[/color]
   [color=#000000]}[/color]
   
   [color=#000000]plot[/color][color=#000000]();[/color]
   
   [color=#2f9956]// buttons for oanda[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]labelButton[/color][color=#000000]([/color][color=#0000ff]"sell"[/color][color=#000000],[/color] [color=#000000]10[/color][color=#000000],[/color] [color=#000000]10[/color][color=#000000],[/color] [color=#000000]1[/color][color=#000000],[/color] [color=#0000ff]"sell oanda"[/color][color=#000000])){[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
         units1 [color=#000000]=[/color] [color=#000000]MathRound[/color][color=#000000](-[/color]base_units [color=#000000]*[/color] coef[color=#000000][[/color]i[color=#000000]]);[/color]
         units [color=#000000]=[/color] units1 [color=#000000]-[/color] [color=#000000]GlobalVariableGet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]]);[/color]
         [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]units [color=#000000]!=[/color] [color=#000000]0[/color][color=#000000]){[/color]
            [color=#000000]createOandaTicket[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] units[color=#000000]);[/color]
            [color=#000000]GlobalVariableSet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]],[/color] units1[color=#000000]);[/color]
            time_last [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
         [color=#000000]}[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]labelButton[/color][color=#000000]([/color][color=#0000ff]"buy"[/color][color=#000000],[/color] [color=#000000]10[/color][color=#000000],[/color] [color=#000000]30[/color][color=#000000],[/color] [color=#000000]1[/color][color=#000000],[/color] [color=#0000ff]"buy oanda"[/color][color=#000000])){[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
         units1 [color=#000000]=[/color] [color=#000000]MathRound[/color][color=#000000]([/color]base_units [color=#000000]*[/color] coef[color=#000000][[/color]i[color=#000000]]);[/color]
         units [color=#000000]=[/color] units1 [color=#000000]-[/color] [color=#000000]GlobalVariableGet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]]);[/color]
         [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]units [color=#000000]!=[/color] [color=#000000]0[/color][color=#000000]){[/color]
            [color=#000000]createOandaTicket[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] units[color=#000000]);[/color]
            [color=#000000]GlobalVariableSet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]],[/color] units1[color=#000000]);[/color]
            time_last [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
         [color=#000000]}[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]labelButton[/color][color=#000000]([/color][color=#0000ff]"close"[/color][color=#000000],[/color] [color=#000000]10[/color][color=#000000],[/color] [color=#000000]50[/color][color=#000000],[/color] [color=#000000]1[/color][color=#000000],[/color] [color=#0000ff]"close oanda"[/color][color=#000000]) ||[/color] [color=#000000]autoclose[/color][color=#000000]()){[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
         units [color=#000000]= -[/color][color=#000000]GlobalVariableGet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]]);[/color]
         [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]units [color=#000000]!=[/color] [color=#000000]0[/color][color=#000000]){[/color]
            [color=#000000]createOandaTicket[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] units[color=#000000]);[/color]
            [color=#000000]GlobalVariableSet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000]);[/color]
            time_last [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
         [color=#000000]}[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]ObjectGet[/color][color=#000000]([/color][color=#0000ff]"back"[/color][color=#000000],[/color] OBJPROP_TIME1[color=#000000]) !=[/color] [color=#000000]0[/color][color=#000000]){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]iBarShift[/color][color=#000000]([/color]NULL[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]ObjectGet[/color][color=#000000]([/color][color=#0000ff]"back"[/color][color=#000000],[/color] OBJPROP_TIME1[color=#000000])) !=[/color] back[color=#000000]){[/color]
         time_last [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   
   [color=#717ab3]/*[/color]
[color=#717ab3]   if (crossedValue(MathAbs(pred[0]), stddev)){[/color]
[color=#717ab3]      Alert(Symbol() + " " + Period() + " crossed stddev");[/color]
[color=#717ab3]   }[/color]
[color=#717ab3]   if (crossedValue(MathAbs(pred[0]), 2 * stddev)){[/color]
[color=#717ab3]      Alert(Symbol() + " " + Period() + " crossed 2 * stddev");[/color]
[color=#717ab3]   }[/color]
[color=#717ab3]   */[/color]
[color=#000000]}[/color]

[color=#7f0055][b]bool[/b][/color] [color=#000000]autoclose[/color][color=#000000](){[/color]
   string name [color=#000000]=[/color] [color=#0000ff]"autoclose"[/color] [color=#000000]+[/color] [color=#000000]Symbol[/color][color=#000000]() +[/color] [color=#000000]Period[/color][color=#000000]();[/color]
   [color=#7f0055][b]double[/b][/color] ac [color=#000000]=[/color] [color=#000000]StrToDouble[/color][color=#000000]([/color][color=#000000]ObjectDescription[/color][color=#000000]([/color]name[color=#000000])) *[/color] Point [color=#000000]*[/color] [color=#000000]10[/color][color=#000000];[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]ac [color=#000000]>[/color] [color=#000000]0[/color][color=#000000]){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]pred[color=#000000][[/color][color=#000000]0[/color][color=#000000]] >[/color] ac[color=#000000]){[/color]
         [color=#000000]ObjectSetText[/color][color=#000000]([/color]name[color=#000000],[/color] [color=#0000ff]"0"[/color][color=#000000]);[/color]
         [color=#7f0055][b]return[/b][/color][color=#000000]([/color]True[color=#000000]);[/color]         
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]ac [color=#000000]<[/color] [color=#000000]0[/color][color=#000000]){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]pred[color=#000000][[/color][color=#000000]0[/color][color=#000000]] <[/color] ac[color=#000000]){[/color]
         [color=#000000]ObjectSetText[/color][color=#000000]([/color]name[color=#000000],[/color] [color=#0000ff]"0"[/color][color=#000000]);[/color]
         [color=#7f0055][b]return[/b][/color][color=#000000]([/color]True[color=#000000]);[/color]         
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   [color=#7f0055][b]return[/b][/color][color=#000000]([/color]False[color=#000000]);[/color]
[color=#000000]}[/color]

[color=#7f0055][b]void[/b][/color] [color=#000000]onOpen[/color][color=#000000](){[/color]
   [color=#7f0055][b]int[/b][/color] i[color=#000000],[/color] ii[color=#000000],[/color] j[color=#000000];[/color]
   [color=#7f0055][b]int[/b][/color] ishift[color=#000000];[/color]
   
   [color=#2f9956]// if any pair has less than back bars in the history[/color]
   [color=#2f9956]// then adjust back accordingly.[/color]
   back [color=#000000]=[/color] back_bars[color=#000000];[/color]
   
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]ObjectGet[/color][color=#000000]([/color][color=#0000ff]"back"[/color][color=#000000],[/color] OBJPROP_TIME1[color=#000000]) !=[/color] [color=#000000]0[/color][color=#000000]){[/color]
      back [color=#000000]=[/color] [color=#000000]iBarShift[/color][color=#000000]([/color]NULL[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]ObjectGet[/color][color=#000000]([/color][color=#0000ff]"back"[/color][color=#000000],[/color] OBJPROP_TIME1[color=#000000]));[/color]
   [color=#000000]}[/color]
   
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]iBars[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000]) <[/color] back[color=#000000]){[/color]
         back [color=#000000]=[/color] [color=#000000]iBars[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000]) -[/color] [color=#000000]2[/color][color=#000000];[/color] [color=#2f9956]// use the third last bar.[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   
   [color=#000000]ArrayResize[/color][color=#000000]([/color]coef[color=#000000],[/color] pairs[color=#000000]);[/color]
   [color=#000000]ArrayResize[/color][color=#000000]([/color]prices[color=#000000],[/color] pairs[color=#000000]);[/color]
   [color=#000000]ArrayResize[/color][color=#000000]([/color]regressors[color=#000000],[/color] back [color=#000000]*[/color] pairs[color=#000000]);[/color]
   [color=#000000]ArrayResize[/color][color=#000000]([/color]pred[color=#000000],[/color] back[color=#000000]);[/color]
   [color=#000000]Ri[/color][color=#000000]([/color][color=#0000ff]"back"[/color][color=#000000],[/color] back[color=#000000]);[/color]
   [color=#000000]Ri[/color][color=#000000]([/color][color=#0000ff]"pairs"[/color][color=#000000],[/color] pairs[color=#000000]);[/color]
   
   [color=#2f9956]// fill the matrix of regressors[/color]
   [color=#2f9956]// and then copy it over to R[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]back[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]j[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] j[color=#000000]<[/color]pairs[color=#000000];[/color] j[color=#000000]++){[/color]
         ishift [color=#000000]=[/color] [color=#000000]iBarShift[/color][color=#000000]([/color]symb[color=#000000][[/color]j[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] Time[color=#000000][[/color]i[color=#000000]]);[/color]
         regressors[color=#000000][[/color]i [color=#000000]*[/color] pairs [color=#000000]+[/color] j[color=#000000]] =[/color] [color=#000000]iClose[/color][color=#000000]([/color]symb[color=#000000][[/color]j[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] ishift[color=#000000]);[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   [color=#000000]Rm[/color][color=#000000]([/color][color=#0000ff]"regressors"[/color][color=#000000],[/color] regressors[color=#000000],[/color] back[color=#000000],[/color] pairs[color=#000000]);[/color]
   
      
   [color=#2f9956]// do the regression[/color]
   [color=#2f9956]// first we need a regressand[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]trend[color=#000000]){[/color]
      [color=#2f9956]// we simply use a straight line that will be our ideal trend[/color]
      [color=#2f9956]// note that it points downward since the history is ordered backwards[/color]
      [color=#000000]Rd[/color][color=#000000]([/color][color=#0000ff]"trendslope"[/color][color=#000000],[/color] [color=#000000]0.01[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"regressand <- trendslope - trendslope * seq(1, back) / back"[/color][color=#000000]);[/color] 
   
   [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
      [color=#000000]Ri[/color][color=#000000]([/color][color=#0000ff]"cthis"[/color][color=#000000],[/color] [color=#7f0055][b]this[/b][/color] [color=#000000]+[/color] [color=#000000]1[/color][color=#000000]);[/color]                       [color=#2f9956]// counting starts with 1[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"regressand <- regressors[, cthis]"[/color][color=#000000]);[/color]     [color=#2f9956]// use this column as regressand[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"regressors[, cthis] <- rep(0, back)"[/color][color=#000000]);[/color]   [color=#2f9956]// set the column to zero in the matrix[/color]
   [color=#000000]}[/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"y <- regressand"[/color][color=#000000]);[/color]                          [color=#2f9956]// stupid R will remember the variable names so we  [/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"x <- regressors"[/color][color=#000000]);[/color]                          [color=#2f9956]// have to be careful how we name them in the formula[/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"model <- lm(y ~ x)"[/color][color=#000000]);[/color]                       [color=#2f9956]// fit the model[/color]
   [color=#000000]Rp[/color][color=#000000]([/color][color=#0000ff]"summary(model)"[/color][color=#000000]);[/color]
   
   
   [color=#2f9956]// get the coefficients[/color]
   [color=#000000]Rgv[/color][color=#000000]([/color][color=#0000ff]"coef(model)[-1]"[/color][color=#000000],[/color] coef[color=#000000]);[/color]   [color=#2f9956]// remove the first one (the constant term)[/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"stddev <- sd(resid(model))"[/color][color=#000000]);[/color]
   stddev [color=#000000]=[/color] [color=#000000]Rgd[/color][color=#000000]([/color][color=#0000ff]"stddev"[/color][color=#000000]);[/color]



   [color=#2f9956]// convert the coefficients to usable hege ratios by multiplying[/color]
   [color=#2f9956]// xxx/usd pairs with their quote. The results can then be[/color]
   [color=#2f9956]// conveniently interpreted as multiples of needed Lots or Units.[/color]
   [color=#2f9956]// also take care of the special case when fitting a spread [/color]
   [color=#2f9956]// instead a trend[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#2f9956]// if we fit a spread then all pairs except this one are on the other [/color]
      [color=#2f9956]// side (negative) and this one (the regressand) is 1 by definition[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000](![/color]trend[color=#000000]){[/color]
         [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]i [color=#000000]==[/color] [color=#7f0055][b]this[/b][/color][color=#000000]){[/color]
            coef[color=#000000][[/color]i[color=#000000]] =[/color] [color=#000000]1[/color][color=#000000];[/color]
         [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
            coef[color=#000000][[/color]i[color=#000000]] = -[/color]coef[color=#000000][[/color]i[color=#000000]];[/color]
         [color=#000000]}[/color]
      [color=#000000]}[/color]
      
      [color=#2f9956]// convert to units[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]StringSubstr[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]3[/color][color=#000000]) ==[/color] [color=#0000ff]"USD"[/color][color=#000000]){[/color] 
         coef[color=#000000][[/color]i[color=#000000]] =[/color] coef[color=#000000][[/color]i[color=#000000]] *[/color] [color=#000000]iClose[/color][color=#000000]([/color]symb[color=#000000][[/color]i[color=#000000]],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000]);[/color]
      [color=#000000]}[/color]
      
      
      [color=#2f9956]// The following makes sure that if the first pair is an USD/XXX pair[/color]
      [color=#2f9956]// it is normalized to 1 again and the lot sizes of the other ones [/color]
      [color=#2f9956]// instead made smaller by the same factor.[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000](![/color]trend[color=#000000]){[/color]
         [color=#7f0055][b]if[/b][/color] [color=#000000]([/color][color=#000000]StringSubstr[/color][color=#000000]([/color][color=#000000]Symbol[/color][color=#000000](),[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]3[/color][color=#000000]) ==[/color] [color=#0000ff]"USD"[/color][color=#000000]){[/color]
            coef[color=#000000][[/color]i[color=#000000]] =[/color] coef[color=#000000][[/color]i[color=#000000]] /[/color] Close[color=#000000][[/color][color=#000000]0[/color][color=#000000]];[/color]
         [color=#000000]}[/color]
      [color=#000000]}[/color]

   [color=#000000]}[/color]
   
   [color=#2f9956]// format a string that presents the hedge ratios[/color]
   [color=#2f9956]// to the user and that will be displayed in the plot[/color]
   [color=#2f9956]// it will also multiply them with base_units so you[/color]
   [color=#2f9956]// have some reasonable numbers for your oanda account [/color]
   ratios [color=#000000]=[/color] [color=#0000ff]"hedge ratios [multiples of Lots][/color][color=#0000ff]n[/color][color=#0000ff]"[/color][color=#000000];[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
      ratios [color=#000000]=[/color] ratios [color=#000000]+[/color] symb[color=#000000][[/color]i[color=#000000]][/color] 
      [color=#000000]+[/color] [color=#0000ff]" "[/color] [color=#000000]+[/color] [color=#000000]DoubleToStr[/color][color=#000000]([/color][color=#000000]MathRound[/color][color=#000000]([/color]base_units [color=#000000]*[/color] coef[color=#000000][[/color]i[color=#000000]]),[/color] [color=#000000]0[/color][color=#000000])[/color] 
      [color=#000000]+[/color] [color=#0000ff]" ("[/color] [color=#000000]+[/color]  [color=#000000]DoubleToStr[/color][color=#000000]([/color][color=#000000]GlobalVariableGet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]]),[/color][color=#000000]0[/color][color=#000000]) +[/color] [color=#0000ff]")[/color][color=#0000ff]n[/color][color=#0000ff]"[/color][color=#000000];[/color]
   [color=#000000]}[/color]
   [color=#000000]Comment[/color][color=#000000]([/color]ratios[color=#000000]);[/color]

   [color=#000000]plot[/color][color=#000000]();[/color]   
[color=#000000]}[/color]

[color=#7f0055][b]void[/b][/color] [color=#000000]plot[/color][color=#000000](){[/color]
   [color=#7f0055][b]static int[/b][/color] last_back[color=#000000];[/color]
   [color=#2f9956]// predict and plot from the model[/color]
   [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"pred <- as.vector(predict(model, newdata=data.frame(x=I(regressors))))"[/color][color=#000000]);[/color]
   
   [color=#7f0055][b]if[/b][/color] [color=#000000](![/color]trend[color=#000000]){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]last_back [color=#000000]!=[/color] back[color=#000000]){[/color]
         [color=#000000]plotRemove[/color][color=#000000]([/color][color=#0000ff]"others"[/color][color=#000000]);[/color]
         [color=#000000]plotRemove[/color][color=#000000]([/color][color=#0000ff]"spread"[/color][color=#000000]);[/color]
         last_back [color=#000000]=[/color] back[color=#000000];[/color]
      [color=#000000]}[/color]

      [color=#2f9956]// plot into the chart[/color]
      [color=#000000]Rgv[/color][color=#000000]([/color][color=#0000ff]"pred"[/color][color=#000000],[/color] pred[color=#000000]);[/color]
      [color=#000000]plotPrice[/color][color=#000000]([/color][color=#0000ff]"others"[/color][color=#000000],[/color] pred[color=#000000],[/color] clr_below[color=#000000],[/color] clr_above[color=#000000]);[/color]
      [color=#000000]Rgv[/color][color=#000000]([/color][color=#0000ff]"regressand-pred"[/color][color=#000000],[/color] pred[color=#000000]);[/color]
      [color=#000000]plotOsc[/color][color=#000000]([/color][color=#0000ff]"spread"[/color][color=#000000],[/color] pred[color=#000000],[/color] [color=#000000]1[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] clr_spreadline[color=#000000],[/color] clr_spreadline[color=#000000]);[/color]
      [color=#000000]label[/color][color=#000000]([/color][color=#0000ff]"spread_cur"[/color][color=#000000],[/color] [color=#000000]10[/color][color=#000000],[/color] [color=#000000]70[/color][color=#000000],[/color] [color=#000000]1[/color][color=#000000],[/color] [color=#000000]DoubleToStr[/color][color=#000000]([/color]pred[color=#000000][[/color][color=#000000]0[/color][color=#000000]] /[/color] Point [color=#000000]/[/color] [color=#000000]10[/color][color=#000000],[/color] [color=#000000]1[/color][color=#000000]),[/color] Lime[color=#000000]);[/color]
   [color=#000000]}[/color]   
   
   [color=#2f9956]// make the R plot (optional)[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]Rplot[color=#000000]){[/color]   
      [color=#000000]Rs[/color][color=#000000]([/color][color=#0000ff]"descr1"[/color][color=#000000],[/color] [color=#000000]Period[/color][color=#000000]() +[/color] [color=#0000ff]" minute close prices"[/color][color=#000000]);[/color]
      [color=#000000]Rs[/color][color=#000000]([/color][color=#0000ff]"descr2"[/color][color=#000000],[/color] [color=#0000ff]"begin: "[/color] [color=#000000]+[/color] [color=#000000]TimeToStr[/color][color=#000000]([/color]Time[color=#000000][[/color]back[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]) +[/color] [color=#0000ff]" -- end: "[/color] [color=#000000]+[/color] [color=#000000]TimeToStr[/color][color=#000000]([/color]Time[color=#000000][[/color][color=#000000]0[/color][color=#000000]]));[/color]
      [color=#000000]Rs[/color][color=#000000]([/color][color=#0000ff]"ratios"[/color][color=#000000],[/color] ratios[color=#000000]);[/color]
      
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"options(device='windows')"[/color][color=#000000]);[/color]
      [color=#7f0055][b]if[/b][/color][color=#000000]([/color]trend[color=#000000]){[/color]
         [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"curve <- rev(pred)"[/color][color=#000000]);[/color]  [color=#2f9956]// it is still ordered backwards, so we reverse it now[/color]
         [color=#000000]Rs[/color][color=#000000]([/color][color=#0000ff]"lbly"[/color][color=#000000],[/color] [color=#0000ff]"combined returns"[/color][color=#000000]);[/color]
         [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"linea <- trendslope/back"[/color][color=#000000]);[/color]
      [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
         [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"curve <- rev(regressand - pred)"[/color][color=#000000]);[/color]
         [color=#000000]Rs[/color][color=#000000]([/color][color=#0000ff]"lbly"[/color][color=#000000],[/color] [color=#0000ff]"spread"[/color][color=#000000]);[/color]
         [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"linea <- 0"[/color][color=#000000]);[/color]
      [color=#000000]}[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"plot(curve, type='l', ylab=lbly, xlab=descr1, main='Arb-O-Mat', sub=descr2, col='cornflowerblue')"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"abline(0, linea, col='cornflowerblue', lty='dashed')"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"abline(stddev, linea, col='green', lty='dashed')"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"abline(2*stddev, linea, col='green', lty='dashed')"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"abline(-stddev, linea, col='green', lty='dashed')"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"abline(-2*stddev, linea, col='green', lty='dashed')"[/color][color=#000000]);[/color]
      [color=#000000]Rx[/color][color=#000000]([/color][color=#0000ff]"text(0, range(curve)[2], ratios, adj=c(0,1), col='black', font=2, family='mono')"[/color][color=#000000]);[/color]
   [color=#000000]}[/color]
[color=#000000]}[/color]

[color=#7f0055][b]int[/b][/color] [color=#000000]start[/color][color=#000000](){[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]Time[color=#000000][[/color][color=#000000]0[/color][color=#000000]] ==[/color] time_last[color=#000000]){[/color]
      [color=#000000]onTick[/color][color=#000000]();[/color]
      [color=#7f0055][b]return[/b][/color][color=#000000]([/color][color=#000000]0[/color][color=#000000]);[/color]
   [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
      [color=#000000]onOpen[/color][color=#000000]();[/color]
      [color=#000000]onTick[/color][color=#000000]();[/color]
   [color=#000000]}[/color]
   time_last [color=#000000]=[/color] Time[color=#000000][[/color][color=#000000]0[/color][color=#000000]];[/color]
   [color=#7f0055][b]return[/b][/color][color=#000000]([/color][color=#000000]0[/color][color=#000000]);[/color]
[color=#000000]}[/color]


[color=#7f0055][b]void[/b][/color] [color=#000000]createOandaTicket[/color][color=#000000]([/color]string symbol[color=#000000],[/color] [color=#7f0055][b]int[/b][/color] units[color=#000000]){[/color]
   string first [color=#000000]=[/color] [color=#000000]StringSubstr[/color][color=#000000]([/color]symbol[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]3[/color][color=#000000]);[/color]
   string last [color=#000000]=[/color] [color=#000000]StringSubstr[/color][color=#000000]([/color]symbol[color=#000000],[/color] [color=#000000]3[/color][color=#000000],[/color] [color=#000000]3[/color][color=#000000]);[/color]
   string command [color=#000000]=[/color] first [color=#000000]+[/color] [color=#0000ff]"/"[/color] [color=#000000]+[/color] last [color=#000000]+[/color] [color=#0000ff]" "[/color] [color=#000000]+[/color] units[color=#000000];[/color]
   string filename [color=#000000]=[/color] [color=#0000ff]"oanda_tickets/"[/color] [color=#000000]+[/color] [color=#000000]TimeCurrent[/color][color=#000000]() +[/color] [color=#0000ff]"_"[/color] [color=#000000]+[/color] symbol [color=#000000]+[/color] [color=#0000ff]"_"[/color] [color=#000000]+[/color] units[color=#000000];[/color]
   [color=#7f0055][b]int[/b][/color] F [color=#000000]=[/color] [color=#000000]FileOpen[/color][color=#000000]([/color]filename[color=#000000],[/color] FILE_WRITE[color=#000000]);[/color]
   [color=#000000]FileWrite[/color][color=#000000]([/color]F[color=#000000],[/color] command[color=#000000]);[/color]
   [color=#000000]FileClose[/color][color=#000000]([/color]F[color=#000000]);[/color]
[color=#000000]}[/color]


[color=#2f9956]// plotting functions[/color]

[color=#7f0055][b]void[/b][/color] [color=#000000]plotPrice[/color][color=#000000]([/color]string name[color=#000000],[/color] [color=#7f0055][b]double[/b][/color] series[color=#000000][],[/color] [color=#7f0055][b]int[/b][/color] clra[color=#000000]=[/color]Red[color=#000000],[/color] [color=#7f0055][b]int[/b][/color] clrb[color=#000000]=[/color]Red[color=#000000]){[/color]
   [color=#7f0055][b]int[/b][/color] i[color=#000000];[/color]
   [color=#7f0055][b]int[/b][/color] len[color=#000000];[/color]
   [color=#7f0055][b]if[/b][/color][color=#000000]([/color][color=#000000]IsStopped[/color][color=#000000]())[/color] [color=#7f0055][b]return[/b][/color][color=#000000];[/color]
   len [color=#000000]=[/color] [color=#000000]ArraySize[/color][color=#000000]([/color]series[color=#000000]);[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]1[/color][color=#000000];[/color] i[color=#000000]<[/color]len[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#7f0055][b]if[/b][/color][color=#000000]([/color][color=#000000]IsStopped[/color][color=#000000]())[/color] [color=#7f0055][b]return[/b][/color][color=#000000];[/color]
      [color=#000000]ObjectCreate[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJ_TREND[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000]);[/color]
      [color=#717ab3]/*[/color]
[color=#717ab3]      ObjectSet(name + i, OBJPROP_TIME1, Time[i-1]);[/color]
[color=#717ab3]      ObjectSet(name + i, OBJPROP_TIME2, Time[i]);[/color]
[color=#717ab3]      ObjectSet(name + i, OBJPROP_PRICE1, series[i-1]);[/color]
[color=#717ab3]      ObjectSet(name + i, OBJPROP_PRICE2, series[i]);[/color]
[color=#717ab3]      */[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_TIME1[color=#000000],[/color] Time[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_TIME2[color=#000000],[/color] Time[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_PRICE1[color=#000000],[/color] Close[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_PRICE2[color=#000000],[/color] series[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]);[/color]

      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_RAY[color=#000000],[/color] [color=#7f0055][b]false[/b][/color][color=#000000]);[/color] 
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_BACK[color=#000000],[/color] [color=#7f0055][b]true[/b][/color][color=#000000]);[/color] 
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]series[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]] >=[/color] Close[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]){[/color]
         [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_COLOR[color=#000000],[/color] clra[color=#000000]);[/color]
      [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
         [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_COLOR[color=#000000],[/color] clrb[color=#000000]);[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
[color=#000000]}[/color]

[color=#7f0055][b]void[/b][/color] [color=#000000]plotOsc[/color][color=#000000]([/color]string name[color=#000000],[/color] [color=#7f0055][b]double[/b][/color] series[color=#000000][],[/color] [color=#7f0055][b]double[/b][/color] scale[color=#000000]=[/color][color=#000000]1[/color][color=#000000],[/color] [color=#7f0055][b]double[/b][/color] offset[color=#000000]=[/color][color=#000000]0[/color][color=#000000],[/color] [color=#7f0055][b]int[/b][/color] clra[color=#000000]=[/color]Red[color=#000000],[/color] [color=#7f0055][b]int[/b][/color] clrb[color=#000000]=[/color]Red[color=#000000]){[/color]
   [color=#7f0055][b]int[/b][/color] i[color=#000000];[/color]
   [color=#7f0055][b]int[/b][/color] len[color=#000000];[/color]
   [color=#7f0055][b]double[/b][/color] zero[color=#000000];[/color]
   [color=#7f0055][b]if[/b][/color][color=#000000]([/color][color=#000000]IsStopped[/color][color=#000000]())[/color] [color=#7f0055][b]return[/b][/color][color=#000000];[/color]
   len [color=#000000]=[/color] [color=#000000]ArraySize[/color][color=#000000]([/color]series[color=#000000]);[/color]
   zero [color=#000000]= ([/color][color=#000000]WindowPriceMax[/color][color=#000000]() +[/color] [color=#000000]WindowPriceMin[/color][color=#000000]())/[/color][color=#000000]2[/color] [color=#000000]+[/color] offset[color=#000000];[/color]
   i [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
   [color=#000000]ObjectCreate[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJ_TREND[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000]);[/color]
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_TIME1[color=#000000],[/color] Time[color=#000000][[/color][color=#000000]0[/color][color=#000000]]);[/color]
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_TIME2[color=#000000],[/color] Time[color=#000000][[/color]len[color=#000000]]);[/color]
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_PRICE1[color=#000000],[/color] zero[color=#000000]);[/color]
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_PRICE2[color=#000000],[/color] zero[color=#000000]);[/color]
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_RAY[color=#000000],[/color] [color=#7f0055][b]false[/b][/color][color=#000000]);[/color] 
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_COLOR[color=#000000],[/color] clra[color=#000000]);[/color]
   [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_STYLE[color=#000000],[/color] STYLE_DOT[color=#000000]);[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]1[/color][color=#000000];[/color] i[color=#000000]<[/color]len[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#7f0055][b]if[/b][/color][color=#000000]([/color][color=#000000]IsStopped[/color][color=#000000]())[/color] [color=#7f0055][b]return[/b][/color][color=#000000];[/color]
      [color=#000000]ObjectCreate[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJ_TREND[color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000],[/color] [color=#000000]0[/color][color=#000000]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_TIME1[color=#000000],[/color] Time[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_TIME2[color=#000000],[/color] Time[color=#000000][[/color]i[color=#000000]]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_PRICE1[color=#000000],[/color] scale [color=#000000]*[/color] series[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]] +[/color] zero[color=#000000]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_PRICE2[color=#000000],[/color] scale [color=#000000]*[/color] series[color=#000000][[/color]i[color=#000000]] +[/color] zero[color=#000000]);[/color]
      [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_RAY[color=#000000],[/color] [color=#7f0055][b]false[/b][/color][color=#000000]);[/color] 
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]series[color=#000000][[/color]i[color=#000000]-[/color][color=#000000]1[/color][color=#000000]]  >=[/color] [color=#000000]0[/color][color=#000000]){[/color]
         [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_COLOR[color=#000000],[/color] clra[color=#000000]);[/color]
      [color=#000000]}[/color][color=#7f0055][b]else[/b][/color][color=#000000]{[/color]
         [color=#000000]ObjectSet[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000],[/color] OBJPROP_COLOR[color=#000000],[/color] clrb[color=#000000]);[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
[color=#000000]}[/color]


[color=#7f0055][b]void[/b][/color] [color=#000000]plotRemove[/color][color=#000000]([/color]string name[color=#000000],[/color] [color=#7f0055][b]int[/b][/color] len[color=#000000]=[/color][color=#000000]0[/color][color=#000000]){[/color]
   [color=#7f0055][b]int[/b][/color] i[color=#000000];[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]len [color=#000000]==[/color] [color=#000000]0[/color][color=#000000]){[/color]
      len [color=#000000]=[/color] Bars[color=#000000];[/color]
   [color=#000000]}[/color]
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]len[color=#000000];[/color] i[color=#000000]++){[/color]
      [color=#000000]ObjectDelete[/color][color=#000000]([/color]name [color=#000000]+[/color] i[color=#000000]);[/color]
   [color=#000000]}[/color]
[color=#000000]}[/color]

[color=#7f0055][b]bool[/b][/color] [color=#000000]crossedValue[/color][color=#000000]([/color][color=#7f0055][b]double[/b][/color] value[color=#000000],[/color] [color=#7f0055][b]double[/b][/color] level[color=#000000]){[/color]
   [color=#7f0055][b]static double[/b][/color] old_value [color=#000000]=[/color] [color=#000000]0[/color][color=#000000];[/color]
   [color=#7f0055][b]bool[/b][/color] res [color=#000000]=[/color] [color=#7f0055][b]false[/b][/color][color=#000000];[/color]
   [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]old_value [color=#000000]!=[/color] [color=#000000]0[/color][color=#000000]){[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]value [color=#000000]>=[/color] level [color=#000000]&&[/color] old_value [color=#000000]<[/color] level[color=#000000]){[/color]
         res [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
      [color=#000000]}[/color]
      [color=#7f0055][b]if[/b][/color] [color=#000000]([/color]value [color=#000000]<=[/color] level [color=#000000]&&[/color] old_value [color=#000000]>[/color] level[color=#000000]){[/color]
         res [color=#000000]=[/color] [color=#7f0055][b]true[/b][/color][color=#000000];[/color]
      [color=#000000]}[/color]
   [color=#000000]}[/color]
   old_value [color=#000000]=[/color] value[color=#000000];[/color]
   [color=#7f0055][b]return[/b][/color][color=#000000]([/color]res[color=#000000]);[/color]
[color=#000000]}[/color]
attached as a downloadable file at the end of the posting
Attached File(s)
File Type: mq4 arbomat_demo.mq4   14 KB | 1,436 downloads
  • #50
  • Nov 15, 2010 9:19am Nov 15, 2010 9:19am
WOW!! Danke Schön!!

First test....
Can this be really true ???
Attached Image (click to enlarge)
Click to Enlarge Name: 151120101612.jpg Size: 78 KB
  • #51
  • Nov 15, 2010 9:39am Nov 15, 2010 9:39am
Quoting superluz
First test....
Can this be really true ???
Certainly! I trade real money on this stuff. Please also see my thread...

http://www.forexfactory.com/showthread.php?t=265350

Best regards

Old Dog
  • #52
  • Nov 15, 2010 9:46am Nov 15, 2010 9:46am
Quoting superluz
WOW!! Danke Schön!!

First test....
Can this be really true ???
something happened to the line breaks in the chart. search this code:

Inserted Code
   [color=#7f0055][b]for[/b][/color] [color=#000000]([/color]i[color=#000000]=[/color][color=#000000]0[/color][color=#000000];[/color] i[color=#000000]<[/color]pairs[color=#000000];[/color] i[color=#000000]++){[/color]
      ratios [color=#000000]=[/color] ratios [color=#000000]+[/color] symb[color=#000000][[/color]i[color=#000000]][/color] 
      [color=#000000]+[/color] [color=#0000ff]" "[/color] [color=#000000]+[/color] [color=#000000]DoubleToStr[/color][color=#000000]([/color][color=#000000]MathRound[/color][color=#000000]([/color]base_units [color=#000000]*[/color] coef[color=#000000][[/color]i[color=#000000]]),[/color] [color=#000000]0[/color][color=#000000])[/color] 
      [color=#000000]+[/color] [color=#0000ff]" ("[/color] [color=#000000]+[/color]  [color=#000000]DoubleToStr[/color][color=#000000]([/color][color=#000000]GlobalVariableGet[/color][color=#000000]([/color]GLOBALNAME[color=#000000]+[/color][color=#000000]Symbol[/color][color=#000000]()+[/color][color=#000000]Period[/color][color=#000000]()+[/color][color=#0000ff]"_"[/color][color=#000000]+[/color]symb[color=#000000][[/color]i[color=#000000]]),[/color][color=#000000]0[/color][color=#000000]) +[/color] [color=#0000ff]")[/color][color=#0000ff]n[/color][color=#0000ff]"[/color][color=#000000];[/color]
   [color=#000000]}
[/color]

and replace the ")n" with ")\n"

It does not allow me to write backslashes in this forum. I'll attach it as .mql4 file. Wait a minute.
  • #53
  • Nov 15, 2010 9:56am Nov 15, 2010 9:56am
Quoting superluz
WOW!! Danke Schön!!

First test....
Can this be really true ???
http://vimeo.com/16342467

be careful with this, you can't always buy and hold this and only adjust positions, sometimes you have to exit when some major paradigm shifts occur, wait until it has rearranged itself and then re-enter.
  • #54
  • Nov 15, 2010 11:09am Nov 15, 2010 11:09am
Thanks for posting the EA (Indicator). But I am not able to use it as it is crashing my terminal. Has anybody faced this issue.

Thanks
Prakash
  • #55
  • Nov 15, 2010 11:25am Nov 15, 2010 11:25am
Quoting reachjj
Thanks for posting the EA (Indicator). But I am not able to use it as it is crashing my terminal. Has anybody faced this issue.

Thanks
Prakash
What is in the debug log (DebugView.exe) when this happens? (please answer in the mt4R thread, since this might evolve into a discussion about problems with the the mql4 -> R library).
  • #56
  • Nov 15, 2010 1:57pm Nov 15, 2010 1:57pm
Thank you for your EA
The EA crash my MT4 console
attached the error

Regard
Abroco
Attached Image (click to enlarge)
Click to Enlarge Name: arbomat crash.jpg Size: 130 KB
  • #57
  • Edited 3:49pm Nov 15, 2010 2:49pm | Edited 3:49pm
Quoting abroco
Thank you for your EA
The EA crash my MT4 console
attached the error

Regard
Abroco
Please set it to debug level 2 and post the output of debugview.

[Edit:] Problem found: You did not specify the correct path to your Rterm.exe. You must configure this correctly. This EA has it set to the C:/Programme/R/... and if you do not have a german localized windows your "Program Files" folder is most certainly not called "Programme". I am aware that it should not be the intended behavior to crash when this happens, It should catch this gracefully and report the error instead. The next version of mt4R.dll will have this fixed (I have fixed it already for the next release). In the meantime make sure you always specify the correct path to Rterm.exe and it will not crash.
  • #58
  • Nov 15, 2010 3:49pm Nov 15, 2010 3:49pm
Hello 7bit,

first i want to thank you for the great work you have done. very impressive.

now i do my first trade today with two pairs.

GBPUSD & EURJPY. i tried the trend-mode in 1min chart and a lookback of 480 candles.
The red circle is the point where i entered. at that time the blue spreadline was touching the second outer greenline. and the ratios for GBPUSD was -190 and EURJPY -120. I opened Short GBPUSD with 190units and EURJPY Short with 120 Units.
As you can see in the picture the Spreadline falling much lower and the Deviationlines shift away. in the meantime the GBPUSD ratio raises over -1410. the maximum i could noticed where -3000 and more.
now overall the positions have little floating loss.
Did i use it correctly? how could we/i deal with this situation. open a second trade level with the new lotratio?
what i also noticed is, if the blue spreadline is going lower the more the positions get in trouble, but if the blue spreadline raises the same way up the positions did not get back to origin. so it is much easier to get floating loss than floating gain even though the line moves the same point in both directions.
does this mean that it could be better to trade the upper peaks?
first i thought that if the blue line touches the lower deviation i have to Buy the base currency and short the other part. but i read that the ratio gives me the direction. if a pair is signed with - (minus) than short and if signed with + then go Long.

please advice me.

Thanks a lot

Mediator
Attached Image (click to enlarge)
Click to Enlarge Name: trendhedge.jpg Size: 76 KB
  • #59
  • Nov 15, 2010 3:55pm Nov 15, 2010 3:55pm
Quoting Mediator
now i do my first trade today with two pairs.

GBPUSD & EURJPY.
This works only with xxx/usd and usd/xxx pairs or the lot size calculation will be completely wrong.


you would need USDJPY, EURUSD and GBPUSD for your example.

Also the trend mode is not recommended, I could not yet make enough testing of this mode, currently I am always fitting a spread between one pair and a few others. try for example AUDUSD against USDCAD + GBPUSD + USDJPY on the M15 or M5 and trade the range.
  • #60
  • Nov 15, 2010 4:00pm Nov 15, 2010 4:00pm
and 500 M1 bars is too short. I have good experiences starting with M15 or longer and at least one or two weeks. This will give you about one trade per day. GBPUSD against a few others and AUDUSD against a few others are quite interesting

You can plot a vertical line and name it "back" (without the quotes) and you can interactively move the start of the interval with the mouse

And please do not use it on a live account until you have made yourself comfortable with it.
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