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Actually, I was thinking of a third approach.
Group by characteristic and then optimize, rather than optimize the universe and
then filter.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Stephane
Carrasset
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 03, 2001 9:21
AM
Subject: [amibroker] Re: Oscillators II
(%D)
Totally agree with you, the stocks's selection is one
important steps in a profitable trading system.Actually, I don't know
what is the best solution to select tradable stocks.1/ apply
a trading system on a universe and trade only the best performers , then
make a turnover of the winners .2/OR apply a filter on a
universe and trade only the stocks with this filterthis filter could
be a trend filter ( the choice is large)or a statistic filter to knowif
the distribution of the price is random/not randomStephane
carrasset> Although I do not use systems for most of my
trading, I do use them and agree that testing a universe is more
appropriate as it 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>
----- Original Message ----- > From: Stephane Carrasset
> To: amibroker@xxxx...
> Sent: Wednesday, October 03, 2001 8:28
AM> Subject: [amibroker] Re: Oscillators II (%D)>
> > Dimitri,> > I am not
in favour for an optimization for one stocks, perhpas on a
> universe of stocks would be better, it is one aim ofthe
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
below> obos 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 possibleand
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 andnot
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> >
> > > > Your use of
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