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I was trying to be very thorough in the information I provided and
only forgot the symbol.. Not bad for me!
It is the always mysterious QQQ.
Sorry about that!
--- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> You forget to mention the stock under optimization.
> In many examples we have no trades for a long period, so, there is
> not something wrong at the first sight.
> If for Z, D1, D2 you have had some nice trades, highly profitable
> perhaps, the system "avoids" to change these levels and cancels
some
> periods.
> For TTM [trade the market] systems I have met sometimes
long "silent"
> periods. If they are in the beginning of the test period, it means
> that the system fits better to the recent period. If the silent
> period is the recent one, it is not a good sign. May be this system
> is not operating any more [it is somehow "out of fashion"]
> I have numerous examples for both logics.
> I prefer systems with "normal" distribution of profitable trades.
> I avoid systems with two or three excellent trades the first half
of
> 2000, with a result +1000% and then many losers wich give a final
> +300%.
> Dimitris Tsokakis
> --- In amibroker@xxxx, "wingnut_1944" <dingo@xxxx> wrote:
> > Dimitris,
> >
> > I pasted the code listed below into the Automatic Analysis window
> and
> > ran an optimization from Jan 1 2000 thru July 2 2002 with the
> > following optimization results:
> >
> > Z = 15
> > D1 = 14
> > D2 = 16.5
> >
> > But there are no trades after Oct 4, 2001!
> >
> > Obviously I'm doing something wrong.
> >
> > My Settings are:
> >
> > Positions = long and short
> > commissions = 20 points ( I am assuming that this is $20)
> > Buy/sell/short/cover = open with delay of 1
> > Max Stop Loss of 10% with exit at stop
> > Profit target and trailing stop are disabled.
> >
> > What am I doing wrong?
> >
> >
> > R=500*(H-L)/(H+L);
> > Z=Optimize("Z",10,5,20,5);
> > RRR=DEMA(R,Z);
> > Rmin=LastValue(Lowest(R));RminF=floor(LastValue(Lowest(R)))+1;
> > Rmax=LastValue(Highest(R));RmaxC=ceil(LastValue(Highest(R)))-1;
> > RRRmin=LastValue(Lowest(RRR));RRRminF=floor(LastValue(Lowest
(RRR)))
> +1;
> > RRRmax=LastValue(Highest(RRR));RRRmaxC=ceil(LastValue(Highest
> (RRR)))-
> > 1;
> > D1=Optimize("D1",14,RRRminF,RRRminF+0.5*(RRRmaxC-RRRminF),1);
> > D2=Optimize("D2",16.5,RRRminF+0.5*(RRRmaxC-RRRminF),RRRmaxC,1);
> > F1=RRR>=D2;F2=RRR<=D1;
> > Sell=F2;Buy=F1;
> > Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> > Short=Sell;Cover=Buy;
> > Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
> > Plot(R,"D-ratio",1,1);Plot(RRR,"DEMA D-ratio",7,8);
> > Plot(D2,"Buy Level",5,1);Plot(D1,"Sell Level",4,1);
> >
> >
> > --- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> > > Sometimes it is good to estimate the efficiency of your tool.
> > > Read http://groups.yahoo.com/group/Trading_Systems/message/588
to
> > see
> > > better.
> > > Dimitris Tsokakis
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