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<FONT color=#000080
size=2>Tomasz,
<FONT color=#000080
size=2>
Here is what I
found out:
<FONT color=#000080
size=2>
My Explore
formula is based on statistics from the Equity Curve.
If I set N = 120
and do a backtest, it gives me an equity curve for those 120
days.
If I then set
N=1 and do an Explore, the values are based on the N=120 day backtestequity
curve.
If I use the
Date Range and use 4/1/01 to 4/4/02 and do a backtest then the equity
curve is generated for those dates.
If I then set
N=1 and do an Explore, the values are based on the Date Range equity
curve.
Shouldit be this
way? Yes. Is it obvious? For some, yes, for some no. In
most cases a simple formula using N=1 will give the same values each and every
time and is not dependent on any date ranges.
<FONT color=#000080
size=2>
I was confused
because when I set N=1 I thought (incorrectly) that the Explore would be
consistent each time because my Range of N=1 was a consistent
selection.
<FONT color=#000080
size=2>
There are a lot
of these type of interrelationships that take time to notice and learn.
Amibroker is a GREAT tool however if one is not aware of these relationships,
one can easily generate incorrect data or come to incorrect conclusions.
And as time goes by, one can easily forget these relationships that were learned
earlier.
<FONT color=#000080
size=2>
The Initial
Equity under Settings, and position size are all interrelated in a way thatis
not apparent to the casual or first time user. These affect the statistics
on the System Report too.
<FONT color=#000080
size=2>
We alllearn by
trial and error. Some of us are quite astute and learn faster than
others. I worry about those who are not computer literate and not
observant of these relationships.
<FONT color=#000080
size=2>
Be careful that
the program does not become so complicated in it's interrelationships that users
are discouraged. Be careful these interrelationships do not generate the
same questions over and over as new users come in and thus bog you down with
support questions.
<FONT color=#000080
size=2>
Believe me, I
know when one develops a program that does as much as yours does, it is noteasy
to make it foolproof.
<FONT color=#000080
size=2>
Fortunately we
have a great forum, user community and developer (you!) that is willing to
chip in and help.
<FONT
color=#000080 size=2>
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxx]Sent: Wednesday, April 24, 2002 3:48
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Explore results differ
Rick,
I am pretty sure that there was either difference in the
settings or difference in the data (maybe you explore
real time data?) or a difference in the range.
You also don't list entire formula so it is hard to say
anything about it.
For example I noticed that BSSC values differ but the
formula for BSSC is not provided.
Best regards,Tomasz
Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=RickParsons@xxxx
href="">Rick Parsons
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, April 24, 2002 8:45
PM
Subject: [amibroker] Explore results
differ
Attached is a
Explore 1.xls file. This is the result of exporting the data fromthe
AA grid given by the code shown below.
<FONT color=#0000ff
size=2>
I had setting
set to N=1 and the "Apply To" filter was set to a watchlist of specific
stocks.
<FONT color=#0000ff
size=2>
When ran the
explore the first time, I got the results in found in "Explore 1"
tab.
<FONT color=#0000ff
size=2>
After I ran a
backtest using a one year date range on the watchlist, I ran explore again
on the same watchlist using N = 1. The results are different and shown
under the "Explore 2" Tab.
<FONT color=#0000ff
size=2>
I cannot
understand why I am getting two different "Explore" results using the same
code, the same watchlist and N=1.
<FONT color=#0000ff
size=2>
<FONT color=#0000ff
size=2>Thanks,
<FONT color=#0000ff
size=2>Rick
<FONT color=#0000ff
size=2>
<FONT color=#0000ff
size=2>
<FONT color=#0000ff
size=2>
<FONT
face="Comic Sans MS" color=#0000ff size=2>
AveVol = MA((V * 100),
30);
AddColumn(BSSC, <FONT
color=#ff00ff>"BSSC",<FONT
color=#ff00ff>1.0);
AddColumn(C, <FONT
color=#ff00ff>"Close",<FONT
color=#ff00ff>1.2);
AddColumn(AveVol, <FONT
color=#ff00ff>"30 Vol",<FONT
color=#ff00ff>1.0);
AddColumn(Buyline, <FONT
color=#ff00ff>"Trigger",1.0);
Filter =
1;
Eq=Equity();
Per = 252;
Per2 = 40;
Cdd = (HHV(Eq,Per2) -
Eq)/HHV(Eq,Per2);
MaxCdd = HHV(Cdd,252)*100;
R2 = (Sum(Cdd*Cdd,Per))/Per;
UI = 100*sqrt(R2);
Gain = Eq/Ref(Eq,-Per);
ANN = 100 * ((Gain^(252/Per)) -
1);
UPI = (ANN - 0.054)/UI;<FONT
color=#0000ff>
AddColumn(MaxCdd,<FONT
color=#ff00ff>"MaxCdd",<FONT
color=#ff00ff>1.2);
AddColumn(ANN,<FONT
color=#ff00ff>"ANN",<FONT
color=#ff00ff>1.2);
AddColumn(UPI,<FONT
color=#ff00ff>"UPI",<FONT
color=#ff00ff>1.3);
AddColumn(ANN/MaxCdd,<FONT
color=#ff00ff>"ANN/dd",1.3);<FONT
size=1>
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