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Hello,
One more information, this line was a little bit tricky because of a bug
in 3.7x. With version 3.80 (official) you can use simpler:
Exclude = NOT ( Buy OR Sell );
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: <b519b@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 19, 2001 5:54 AM
Subject: [amibroker] Re: Confused with Optimization results
> Tomasz,
>
> Wow. What a difference a single line of code can make!
> I marvel once again at how powerful Amibroker is.
> Thanks for the tip.
>
> b
>
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Hello,
> >
> > Please add
> >
> > Exclude = LastValue( Cum( Buy + Sell ) ) == 0;
> >
> > at the end of your formula.
> >
> > This will eliminate stocks that do not generate any buy/sell signal
> > from buy and hold, exposure and RAR calculation.
> >
> > Best regards,
> > Tomasz Janeczko
> > ===============
> > AmiBroker - the comprehensive share manager.
> > http://www.amibroker.com
> >
> >
> > ----- Original Message -----
> > From: <b519b@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Saturday, November 17, 2001 12:49 AM
> > Subject: [amibroker] Re: Confused with Optimization results
> >
> >
> > > Tomasz, thank you for the formulas which cleared up most of my
> > > confusion.
> > >
> > > As for your comment about my system being out of the market for
> most
> > > of the time, that is not quite the case. I had AB just do the
> > > optimization on a specific time period during which I intended
> to be
> > > fully (100%) invested in a basket of 20 to 40 stocks selected
> from a
> > > study group of 600. The goals was to be fully invested in the
> best 3%
> > > to 8% of the stocks. Thus all the bars of the selected stocks
> > > were "in the market" for the whole time (and of course all the
> bars
> > > of the non selected stocks were "out of the market" for the
> whole
> > > time). The exposure was so low because AB included the bars of
> the
> > > non-selected stocks when producing this report. A similar result
> > > occurs for the Net%Profit column. Is there any way to have AB
> > > calculate Exposure, and by extension RAR, in such cases where
> one
> > > intends to be 100% invested in a small subset of stocks studied
> in an
> > > optimation? If there is no way, it is not a major problem since
> > > other columns provide helpful data for determining the
> effectiveness
> > > of the variations on the strategy.
> > >
> > > Thanks again for making a very powerful program.
> > >
> > > b
>
>
>
>
>
>
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>
>
>
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