Suggestion Changes in Programming Skills

Here is some code that will lead to much gain.

But do you know what it will take to put it into action? Not MQL for sure, And you know why?
It is time you start studying a new level of programming, one that will enable you real money making. And more then MT4, you will need to study some math.

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from statsmodels.tsa.stattools import acf, pacf
from statsmodels.tsa.arima_model import ARMA
import numpy as np
import pandas as pd
import scipy.stats as st
import statsmodels as sm
import statsmodels.api as smapi
from sklearn.decomposition import PCA
from sklearn.covariance import OAS
from scipy.optimize import minimize
from cvxopt import matrix, solvers

def initialize(context):
context.freq = 1
context.stocks = None
context.screen = 45
context.X = None
context.MRO = sid(5035)
schedule_function(compute,date_rules.week_start(),time_rules.market_open(minutes=10))
schedule_function(trade,date_rules.week_start(),time_rules.market_open(minutes=15))

def handle_data(context, data):
pass

def trade(context, data):
if context.X is None:
return

context.freq = 0
prices = data.history(context.stocks, "price", 300, "1d").resample('W').last()
prices = prices.dropna(axis=1)
prices = prices.drop(context.MRO, axis=1)
copy = prices.copy(True)

for sid in copy:
if not data.can_trade(sid):
prices = prices.drop([sid], axis=1)

ret = prices.pct_change().dropna().values
ret = np.log1p(ret)
R = np.dot(ret, context.X)

sign = 0
for j in range(0, 3):
for i in range(1, 3):
try:
arma = ARMA(R, (j, i))
model = arma.fit(method='css')
sign = np.sum(arma.predict(model.params, len(R), len(R)))
break
except:
continue

W = {}
for i, sid in enumerate(prices):
val = np.sign(sign) * context.X * context.portfolio.portfolio_value * 2
W[sid] = val

wsum = 0
for sid in context.portfolio.positions:
if sid not in context.stocks:
if data.can_trade(sid):
order_target(sid, 0)

for sid in context.stocks:
if sid in W:
if data.can_trade(sid):
wsum += W[sid]
if not np.isnan(W[sid]):
order_target_value(sid, W[sid])
else:
order_target_value(sid, 0)

def compute(context, data):
prices = data.history(context.stocks, "price", 300, "1d").resample('W').last()
prices = prices.dropna(axis=1)
prices = prices.drop(context.MRO, axis=1)
copy = prices.copy(True)

for sid in copy:
if not data.can_trade(sid):
prices = prices.drop([sid], axis=1)

ret = prices.pct_change().dropna().values
ret = np.log1p(ret)
x0 = [1. / np.shape(ret)[1]] * np.shape(ret)[1]
cons = []
cons.append({'type':'ineq', 'fun': lambda x: pacf(np.dot(ret, x), nlags=1)[1] - 0.3 })
cons.append({'type':'eq', 'fun': lambda x: np.sum(x)})
res = minimize( myfunc, x0, args=(ret), constraints=cons, method='SLSQP', options={'maxiter':1000})
if not res['success']:
print res['message']
context.X = [0] * len(res.x)
return

res.x = res.x / np.sum(np.abs(res.x))
context.X = res.x

def myfunc(x, ret):
R = np.dot(ret, x)
ac = pacf(R, nlags=8)[2:]
return np.sum(ac**2)

def before_trading_start(context, data):
if context.screen < 45:
return
else:
context.screen = 0
fundamental_df = get_fundamentals(query(fundamentals.valuation.market_cap)
.filter(fundamentals.asset_classification.morningstar_sector_code == 309)
.filter(fundamentals.valuation.market_cap != None)
.filter(fundamentals.company_reference.primary_exchange_id != "OTCPK")
.filter(fundamentals.share_class_reference.security_type == 'ST00000001')
.filter(~fundamentals.share_class_reference.symbol.contains('_WI'))
.filter(fundamentals.share_class_reference.is_primary_share == True)
.filter(fundamentals.share_class_reference.is_depositary_receipt == False)
.order_by(fundamentals.valuation.market_cap.desc()).limit(30)).T
context.stocks = fundamental_df.index

 

Zorro Trader, will enable who ever wants to put time into real matters and stop the craziness of chasing a Free EA that will make Thousands or Millions in a short Time. And Enable results like these to be part of reality.

​

 

If anyone can tell me what is there opinion on the following podcast:

https://soundcloud.com/chat-with-traders/054-rishi-narang-interview-inside-the-black-box

 

Thank you Jeff, Yes, The reason I shared the Quantopian Code, because users should know, that working with all these free EA, not having any serious math within it, just common indicators, will not make any money. And Zorro Trader comes very close to Python, and Enables serious algo trading ideas that are being used at most institutions.

 

Mr Walker, is it really possible to run Zorro within MT4 through MT4 Bridge? And is it free?

 

Sure, Luis, I am not suggesting it without using it. I am running it right now. And it is Free, But after you have felt that you are pro with it, and you want to use it on a real account with more then 7000 USD, you will need to subscribe for 20 USD per month. But If you have already mastered it, and reached a confidence of running your algos with more then 7000 USD, then 20 USD for the developers that have worked hard to enable home traders use this kind of software and technology, it is worth while. Don't you think so?

 

Thank you, ionone2, I am so happy that you have taken action, Now after you use it and enjoy the new possibilities with short and simple code, you could share with all of your friends over here, some of your ideas so that they could also see why it is important to stop all this MT4/MQL Addiction with no results.

 

There is no problem with Brokers, or the possibilities when you can study in less then 4 hours to use a API for HTTP requests, and enable your Robots to trade with any Broker that offers API trading, and Zorro Trader will surely solve your problem.