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<SPAN
class=100250513-29072002>Dimitris: still another creative application of
variables and code!! I have played with it and find it curious that my
results differ quite a bit but the trades are all within several days of each
other. I one case, my system took three (losing trades) that your system did not
have. I do not wish to go thru each trade to find that the data we have is
different---which has to be the case. My TC2000 data must differ just
slightly to cause such small differences in buy and sell
dates.
<SPAN
class=100250513-29072002>
I
guess I have never been concerned before about data accuracy and assumed that
TC2k was ok. AB gives us, however, the chance to see some differences in
backtest results caused by slight differences in data and makes us wonder where
the highest quality data source really is.
<SPAN
class=100250513-29072002>
BTW,
my INTC result with transformation was +91%, without it +27%. Pretty big
differences but in no way detracts from the beauty of your
code.
<SPAN
class=100250513-29072002>
Ken
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]Sent: Monday, July 29, 2002 5:41
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Tranformations
Suppose you trade INTC with a Stochastic CCI [6,12,70]
system.The total % net profit, after 18trades/12 winners/6losers is
-15.85%See INTC1.gif[buy,sell,short,cover at open, delay +1, commission
0.5%, all stops disabled] with the use of the code:
/*Smoothed Stochastic CCI*/P
=6;D=DateNum()>1000301;Blevel =Optimize("BL",12,10,20,1);Slevel =
Optimize("SL",70,70,90,1);StOcci=100*(CCI(6)-LLV(CCI(6),14))/(HHV(CCI(6),14)-LLV(CCI(6),14));stocci=MA(stocci,5);Buy=Cross(STOCCI,BLEVEL);Sell=
Cross(STOCCI, Slevel); Buy=D*(Buy);Sell=D*Sell;Short = Sell;Cover=
Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);E1=Equity();EM40=MA(E1,40);XB=Flip(Buy,Sell);XS=Flip(Sell,Buy);XSH=2*Flip(Short,Cover);XCO=2*Flip(Cover,Short);XBSH=(XB+XSH);XSXCO=(XS+XCO);ASC=Cross(E1,EM40);DESC=Cross(EM40,E1);
//
Buy=ASC*(XBSH==1);Sell=DESC*(XSXCO==1);Short=ASC*(XBSH==2);Cover=DESC*(XSXCO==2);
Do you want to transform the -15.85% to a +126% somehow
automatically ?Simply delete the // from the last line
!!6trades/5winners/1loser and that´s it.
See INTC2.gifDimitris TsokakisPS1. Any volunteers to
improve this method and reach its final form with a co-operative work
??
We may create a method belonging to this excellent
list.
This is my ambition. I know what to
do for myself. With or, sometimes, without strict coding.
PS2. The above combination [6,12,70] is just for the
example
PS3. Some other examples
CSCO from +39% to +364%
MSFT from -11% to +87%
QQQ from +158% to +328%
but
ORCL from +36% to +9% etc. etc
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