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Hi SC,
Optimization is neccessary for each stock in order to
find the best X1, Dbuy and Dsell.
For the moment I have not any homework for a universal
value of above parameters Time and experience will show
if it is possible and profitable.
Any co-operative idea appreciated.
Dimitris Tsokakis
--- In amibroker@xxxx, "Stephane Carrasset" <s.carrasset@xxxx> wrote:
> Dimitry,
>
> Optimization on a trading system means that you have backtested on
> only one stock and not an universe of stocks?
>
> without optimization the idea of various OBOS level is great,
> instead of buy when stoch crosses below an OS level, we could buy
> when stoch is < OS level and buy on close delay when H > ref(H,-)
> *1.005
>
> SC
>
> > AVST=MA(StochD(X1),100);
> >
> > Let us try now to buy lower and sell higher.
> > The buy level will be AVST-Dbuy and the sell level will
> > be AVST+Dsell. If you guess now, optimization may give
> > the best values for the 3 parameters.
> > Optimize a current stock for all quotations using the code
> >
> > /*Buy-Sell moving levels for Slow Stochastic*/
> > Dbuy=Optimize("Dbuy",14,0,20,1);
> > Dsell=Optimize("Dsell",8,0,20,1);
> > X1=Optimize("X1",13,10,20,1);
> > s1=StochD(X1);
> > AVST=MA(s1,100);
> > Buy = Cross( s1,AVST-DBuy);
> > Sell = Cross( AVST+Dsell,s1);
> >
> > Then replace manually the 14, 8, 13 with respective results of
your
> > optimization and scan and back test.
> > Compare the back test result with the traditional
> >
> > buy=cross(stochd(),30);
> > sell=cross(70,stochd());
> >
> > scan and back test.
> >
> > I found interesting net profit augmentation.
> > As for settings, I used buy at low, sell at high with delay 1 day
> > (it is obvious that you get the signal today and you act tomorrow
> > and it is always important for back testing. Delay 0 is
meaningless,
> > the signal is first and then the action may be done.)
> > After the calculation of above parameters, you may see in your
> > Indicator builder the new curves, pasting the formula:
> >
> > /*Slow Stochastic moving buy-sell levels*/
> >
> > Dbuy=14;
> > Dsell=8;
> > X1=13;
> > MaxGraph=12;
> > ST3=StochK(X1);
> > ST33=StochD(X1);
> > Graph0=ST3;
> > Graph1=ST33;
> > AVST=MA(StochD(X1),100);
> > Graph9=AVST-Dbuy;Graph10=AVST+Dsell;
> > Graph8=avst;Graph8Style=8;Graph8BarColor=2;
> > Graph9Style=Graph10Style=8;
> > Graph9BarColor=Graph10BarColor=1;
> >
> > and replace 14, 8, 13 with the results of optimization.
> > Real examples will follow.
> > Dimitris Tsokakis
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