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Stephane:
Although I do not use systems for most of my trading,
I do use them and agree that testing a universe is more appropriate asit
tends to produce a more robust system. In fact, imo, this is one of
the advantages of AB vs MS. With the universe approach, however,have
you looked at the desirability of using subsets? For example, rather than
combine stocks into a single universe, combine them into smaller groupings that
have a common characteristic such a volatility. Intuitively, this would
appear to be another step toward robustness.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Stephane
Carrasset
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 03, 2001 8:28
AM
Subject: [amibroker] Re: Oscillators II
(%D)
Dimitri,I am not in favour for an optimization forone
stocks, perhpas on a universe of stocks would be better, it is one aim of
the montecarlo analysis, we'll have it perhpas in the system tester of
version4.8 of amibroker ^__^But I am thinking it is a good idea of
variables OBOS level for a fixed stochastic with your code belowobos
level could be + or - 40% above or below the MEANST ( 70 is +40% of
50)/*MEAN %D
EXPLORATION*/MEANST=cum(stochd())/(cum(1)-18);filter=CUM(1)>100;numcolumns=1;column0=MEANST;column0format=1.0;column0name="MEAN
STOCHD";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" <<A
href="">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
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