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Re: Zorro Trader GPT
[Re: TipmyPip]
#488158
04/01/24 12:06
04/01/24 12:06
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Joined: Sep 2017
Posts: 82
TipmyPip
OP
Junior Member
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OP
Junior Member
Joined: Sep 2017
Posts: 82
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Market Volatility: Determine the market's volatility to adjust the sensitivity of our fuzzy logic conditions. High volatility might require more stringent conditions to enter or exit a trade to avoid false signals. Trend Confirmation: Use a combination of risingF and fallingF functions to confirm the strength and direction of the market trend. Entry Condition: Enter a trade based on a confirmed upward trend or after a significant market bottom (valleyF), adjusted for market volatility. Exit Condition: Exit a trade based on a confirmed downward trend or after a significant market peak (peakF), also adjusted for market volatility. #include <contract.c>
vars PriceClose;
var Volatility;
void initFuzzyLogicSettings() {
FuzzyRange = 0.05; // Adjust based on backtesting
}
var calculateVolatility(vars Data, int period) {
var sumDelta = 0;
for(int i = 1; i <= period; i++) {
sumDelta += abs(Data[i] - Data[i-1]);
}
return sumDelta / period;
}
var adjustFuzzyForVolatility(var fuzzyValue) {
var adjustmentFactor = 1 + Volatility * 10;
return clamp(fuzzyValue / adjustmentFactor, 0, 1);
}
bool fuzzyEntryCondition(vars Data) {
var entryFuzzy = max(risingF(Data), valleyF(Data));
return adjustFuzzyForVolatility(entryFuzzy) > 0.5;
}
bool fuzzyExitCondition(vars Data) {
var exitFuzzy = max(fallingF(Data), peakF(Data));
return adjustFuzzyForVolatility(exitFuzzy) > 0.5;
}
void optionComboTrade() {
CONTRACT* C1; // Define pointer for the first leg of the combo
CONTRACT* C2; // Define pointer for the second leg of the combo
// Dynamically adjust option strike based on current price and volatility
var strikeCall = round(priceClose(0) + 10 + Volatility * 5); // Example for call strike
var strikePut = round(priceClose(0) - 10 - Volatility * 5); // Example for put strike
// Initialize contracts for a strangle combo
C1 = contractFind(CALL, 30, strikeCall); // Find call option contract
C2 = contractFind(PUT, 30, strikePut); // Find put option contract
// Check if contracts are found and if entry condition is met
if(C1 && C2 && fuzzyEntryCondition(PriceClose)) {
combo(C1, 1, C2, 1, 0, 0, 0, 0); // Create a strangle combo
enterLong(comboLeg(1)); // Enter long on both legs of the combo
enterLong(comboLeg(2));
}
}
void run() {
BarPeriod = 60;
LookBack = 100;
StartDate = 2020;
EndDate = 2024;
assetList("AssetsIB");
asset("SPY");
PriceClose = series(priceClose());
initFuzzyLogicSettings();
Volatility = calculateVolatility(PriceClose, 20); // Calculate market volatility
if (is(EXITRUN)) return;
optionComboTrade(); // Execute the option combo trade based on fuzzy logic conditions
}
Last edited by TipmyPip; 04/01/24 21:14.
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Re: Zorro Trader GPT
[Re: TipmyPip]
#488159
04/01/24 12:23
04/01/24 12:23
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Joined: Sep 2017
Posts: 82
TipmyPip
OP
Junior Member
|
OP
Junior Member
Joined: Sep 2017
Posts: 82
|
The Following strategy calculates the EMA of ATR at the beginning of the run to establish a volatility baseline. It then iterates through selected assets (SPY, AAPL, MSFT), applying its entry and exit logic to each based on the current market conditions as interpreted through its fuzzy logic framework. Trades are made based on the composite fuzzy logic conditions, with the strategy entering long positions when the entry conditions are met and exiting positions when the exit conditions are met. #include <contract.c>
vars PriceClose, VolatilityEMA;
void init() {
assetList("AssetsIB");
BarPeriod = 60; // Setting bar period for the price series
LookBack = 100; // Lookback period for technical indicators
PriceClose = series(priceClose());
initFuzzyLogicSettings();
calculateEMAVolatility(20); // Initialize volatility calculation
}
void initFuzzyLogicSettings() {
FuzzyRange = 0.05; // Adjust based on backtesting
}
void calculateEMAVolatility(int period) {
vars ATRValues = series(ATR(period));
VolatilityEMA = series(EMA(ATRValues, period));
}
void tradeOptions() {
// Assuming current asset is SPY and we're setting up a strangle
if (NumOpenLong == 0 && fuzzyEntryCondition()) {
// Find contracts for the call and put options
CONTRACT* callContract = contractFind("Call", 30, priceClose(0) + 10); // Example: 30 days to expiration, strike 10 points above
CONTRACT* putContract = contractFind("Put", 30, priceClose(0) - 10); // Example: 30 days to expiration, strike 10 points below
if(callContract && putContract) {
// Setup the combo - buying 1 call and 1 put
combo(callContract, 1, putContract, 1, 0, 0, 0, 0);
// Enter the combo trade
enterLong(comboLeg(1)); // Enter long for the call option leg
enterLong(comboLeg(2)); // Enter long for the put option leg
printf("\nEntered a Strangle on SPY");
}
}
}
void run() {
StartDate = 2020;
EndDate = 2024;
assetList("AssetsIB");
asset("SPY");
while(asset(loop("SPY","AAPL","MSFT"))) {
if (is(EXITRUN)) continue;
tradeOptions();
}
}
Last edited by TipmyPip; 04/01/24 21:27.
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Re: Zorro Trader GPT
[Re: TipmyPip]
#488160
04/01/24 21:39
04/01/24 21:39
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Joined: Sep 2017
Posts: 82
TipmyPip
OP
Junior Member
|
OP
Junior Member
Joined: Sep 2017
Posts: 82
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The Following Strategy will Adapt to changing market conditions using both trend analysis and volatility measurements to inform trade decisions. Risk Management: Incorporates measures of market volatility into trade decision processes, although explicit risk management tactics (e.g., position sizing, stop-loss orders) are not detailed within the provided summary. Theoretical Pricing: Utilizes the Black-Scholes model for option valuation, aiding in the identification of potentially mispriced options, though the direct application of this pricing within the trade execution process is implied rather than explicitly defined. #include <contract.h>
// Initialize global variables for storing price and volatility data
vars PriceClose, VolatilityEMA;
void init() {
assetList("AssetsIB");
BarPeriod = 60;
LookBack = 100;
StartDate = 2020;
EndDate = 2024;
PriceClose = series(priceClose());
initFuzzyLogicSettings();
calculateEMAVolatility(20); // Initialize volatility calculation
}
void initFuzzyLogicSettings() {
FuzzyRange = 0.05; // Adjust based on backtesting
}
void calculateEMAVolatility(int period) {
vars ATRValues = series(ATR(period));
VolatilityEMA = series(EMA(ATRValues, period));
}
// Cumulative Normal Distribution Function for use in Black-Scholes Model
var CNDF(var x) {
int neg = (x < 0.0) ? 1 : 0;
if (neg) x = -x;
var k = (1.0 / ( 1.0 + 0.2316419 * x));
var y = (((1.330274429 * k - 1.821255978) * k + 1.781477937) *
k - 0.356563782) * k + 0.319381530;
y = 1.0 - 0.398942280401 * exp(-0.5 * x * x) * y;
return (1.0 - neg) * y + neg * (1.0 - y);
}
// Black-Scholes Option Pricing Model
var BlackScholes(char *CallPutFlag, var S, var X, var T, var r, var v) {
var d1, d2;
d1 = (log(S / X) + (r + 0.5 * v * v) * T) / (v * sqrt(T));
d2 = d1 - v * sqrt(T);
if (CallPutFlag[0] == 'c' || CallPutFlag[0] == 'C') {
return S * CNDF(d1) - X * exp(-r * T) * CNDF(d2);
} else {
return X * exp(-r * T) * CNDF(-d2) - S * CNDF(-d1);
}
}
bool fuzzyEntryCondition() {
return risingF(PriceClose) > 0.5 && VolatilityEMA[0] < 0.2;
}
bool fuzzyExitCondition() {
return fallingF(PriceClose) > 0.5 || VolatilityEMA[0] > 0.3;
}
void tradeOptions() {
CONTRACT* CallContract;
CONTRACT* PutContract;
var strikePrice = round(priceClose(0),100); // Example for rounding to nearest hundred
var expirationDays = 30; // Targeting options 30 days to expiration
if (fuzzyEntryCondition()) {
// Prepare to trade a call option
CallContract = contractFind("Call", strikePrice, wdate() + expirationDays * 86400);
if(CallContract) {
// Buy the call option
combo(CallContract, 1, 0, 0, 0, 0, 0, 0);
enterLong(comboLeg(1));
}
} else if (fuzzyExitCondition()) {
// Prepare to trade a put option
PutContract = contractFind("Put", strikePrice, wdate() + expirationDays * 86400);
if(PutContract) {
// Buy the put option
combo(0, 0, PutContract, 1, 0, 0, 0, 0);
enterLong(comboLeg(2));
}
}
}
void main() {
init();
while(asset(loop("Assets"))) {
if (is(EXITRUN)) continue;
tradeOptions(); // Execute the option trading logic based on market conditions
}
}
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Re: Zorro Trader GPT
[Re: TipmyPip]
#488164
04/05/24 04:51
04/05/24 04:51
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Joined: Dec 2014
Posts: 206 Germany
Smon
Member
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Member
Joined: Dec 2014
Posts: 206
Germany
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Hi! GPT-4 seems not to be the best choice when it comes to coding any longer. I'm developing code with Claude-3 Sonnet (free version), and it's really great. I need to itereate less often compared to GPT-4. It has 200.000 tokens context length and at least the biggest model (Claude-3 Opus) is told to have almost perfect recall capabilities. I found a way to access Claude-3 Opus from a restricted country: https://poe.com/You can even build your custom GPTs there. I wonder, how you fed ChatGPT the knowledge about Zorro. Did you preprocess the manual, aka summarize it? More info about Claude-3: https://www.anthropic.com/news/claude-3-family
Last edited by Smon; 04/05/24 04:57.
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Re: Zorro Trader GPT
[Re: Smon]
#488165
04/05/24 06:35
04/05/24 06:35
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Joined: Sep 2017
Posts: 82
TipmyPip
OP
Junior Member
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OP
Junior Member
Joined: Sep 2017
Posts: 82
|
Thank you for sharing the information, I suppose that you need more input in order that GPT4 will focus on your intentions and get the right results, but running a free version needs a serious graphics card, and getting 40 questions in 3 hours is quite hard without computing power. I have a number of ideas on how to feed ChatGPT, but I am quite sure it is improving.
Last edited by TipmyPip; 04/05/24 07:08.
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