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
Script open-source
Dans le plus pur esprit TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par nos Règles. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.
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Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.