114; Randomize History Data
Hi , are u sure that this snippet is calculated correctly?
private double atrValue = 0;
private int atrPeriod = 14,
These instance parameters are not used in a method where should be these two variables used. I bet that i has to to something with globalATR in method parameter :
modifyData(IRandomGenerator rng, TickEvent tickEvent, double globalATR)
... im trying to modify script and change theese parameters does nothing....
/*
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* If you found a bug in this code OR you have an improvement suggestion OR you want to include
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package SQ.MonteCarlo.Retest;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.strategyquant.lib.*;
import com.strategyquant.datalib.*;
import com.strategyquant.tradinglib.*;
@ClassConfig(name="Randomize history data", display="Randomize history data, with probability #Probability# % and max price change #MaxChange# % of ATR")
@Help("<b>Note!</b>If you choose this option then robustness tests will be tested with Selected Timeframe precision, while original strategy will be tested with configured precision.<br/>This might cause difference in results between original strategy and simulations because of different precision.<br/>To avoid this, use Selected Timeframe precision in Setings : Data.")
public class RandomizeHistoryData extends MonteCarloRetest {
public static final Logger Log = LoggerFactory.getLogger(RandomizeHistoryData.class);
@Parameter(name="Probability", defaultValue="20", minValue=1, maxValue=100, step=1)
public int Probability;
@Parameter(name="Max change", defaultValue="10", minValue=1, maxValue=100, step=1)
public int MaxChange;
private int barsProcessed = 0;
private double atrValue = 0;
private int atrPeriod = 14;
//------------------------------------------------------------------------
//------------------------------------------------------------------------
//------------------------------------------------------------------------
public RandomizeHistoryData() {
super(MonteCarloTestTypes.ModifyData);
}
//------------------------------------------------------------------------
public void modifyData(IRandomGenerator rng, TickEvent tickEvent, double globalATR) {
double dblProbability = ((double) Probability/ 100.0d);
if(rng.probability(dblProbability)) {
// we should change this price
double ask = tickEvent.getAsk();
double bid = tickEvent.getBid();
double spread = ask - bid;
int change = rng.nextInt(MaxChange);
double dblChange = ((double) change)/ 100.0d;
double priceChange = 2 * globalATR * dblChange;
bid = (rng.nextInt(2) == 0 ? bid + priceChange : bid - priceChange);
tickEvent.setBid(bid);
tickEvent.setAsk(bid + spread);
}
}
}
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Project StrategyQuant X
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Type Bug
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Status Refused
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Priority Normal
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