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Interesting code, Sam. I'll try it.
Here's another idea. Last January, Van Tharp on his forum discussed his
high efficiency stocks as being good candidates for successful trading. High
efficiency is defined as the change in price of a stock over n periods divided
by the change in the ATR of that stock over the same period. The higher the
resulting number, the more efficient the stock is (i.e., the greater the price
increase without a concurrent volatility increase). He uses an average of 4
different efficiency indices to come up with a composite efficieny index (EI).
There is no magic to the 4 different indices making up the
composite. They're just empirical. You can use anything you want and define
it in whatever way you want. His was just a suggestion, which he never divulged
but which I was able to figure out. Here is the AFL code I used, which you can
use as a filter:
EI20=(C-ref(C,20))/ma(ATR(1),20);EI45=(C-ref(C,45))/ma(ATR(1),45);EI20=(C-ref(C,90))/ma(ATR(1),90);EI20=(C-ref(C,180))/ma(ATR(1),180);AvgEI=(EI20+EI45+EI90+EI180)/4;
The AvgEI should be positive if going long (perhaps greater than +10 or +15
or so), negative if going short. The filter would be AvgEI>=x; where you can
optimize x. Just another thought.
AV
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
samgrayy
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 01, 2002 12:34
PM
Subject: [amibroker] Re: a few
considerations about optimization
Ok some more testing on this idea: Add the
following to your potential system: DMAPeriodSlow = 30 ;
//Optimize( "DMAPeriodSlow ", 45, 5 , 100, 5 );
DMAPeriodFast= 10 ; //Optimize( "DMAPeriodFast", 10, 5 , 100,
5 ); delta=C-Ref(C,-1);MAd1=MA(abs(delta),DMAPeriodSlow
);MAd2=MA(abs(delta), DMAPeriodFast);Then Buy = BUY AND
(MAd2 > MAd1); Short= Short AND (MAd2 > MAd1); See what
happens, better returns and a lower system drawdown,Excellent ideas, keep
'em coming Sam Gray--- In amibroker@xxxx, "goldfreaz"
<goldfreaz@xxxx> wrote:> Interesting...> >
delta=C-Ref(C,-1);> md=MA(delta,45);>
MAd=MA(abs(delta),45);> > Graph1=MAd;>
Graph1Style=1;> Graph1Color=colorGreen;> > > ---
In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:> >
Franco,> > > > Recently I was talking to a professional
trader who told me that > some stocks simply don't behave well in any
system and others do > extremely well (in backtesting). He attributes
this to a term called > the "fractal efficiency ratio," coined by Perry
Kaufman. A stock has > to have some non-random movement to be
predictable. It's the total > change in price over a given
period, divided by the sum of the > absolute values of all the daily
changes in price. If a stock has > too small a directional
component, then it's a poor candidate for any > system, regardless
of how many filters or refinements you add. > You're better off
using all that firepower on a better target. I've > been testing alot
of stocks lately individually, finding that many > simply give very bad
backtest results and very non-robust parameter > coefficients. So,I
eliminate them from my watchlist and concentrate > on those stocksthat
behave well. This seems to be working well. I > haven't had time to
write any code yet to see if the good-performing > stocks have a higher
fractal efficiency ratio (personality as you > call it?) than the poor
performing ones, but it's worth a try. You > must test over a long
enough period of time to encompass bullish, > bearish, and sideways
markets, like 1/1/97 (or even earlier) to > present time. If you try
this idea out, let me know how successful > you are. I'm very
interested in this concept. When I get a chance, > I'll try it myself.
But, in theory, it seems to have merit. > > > > Al
Venosa> > > > ----- Original Message -----
> > From: Franco Fornari > > To:
amibroker@xxxx > > Sent: Friday, November 01, 2002 6:15
AM> > Subject: [amibroker] a few considerations about
optimization> > > > > >
Hello,> > > > trying to optimize any trading
system, I think we all have > thought, sometime, we would like to avoid
such a tedious process or > to do it once and for all.>
> It could be possible? This question badgered me for a long
time, > unfortunately with no success, yet I feel there must be a
solution.> > Why I say that? Because a peculiarity of
each stock, > called "personality" by someone, wich seems stable
enough. In other > words, I think if we were able to mathematically
represent this > characteristic, we could automatically optimize any
trading systems.> > But, the big matter is: what isthis
characteristic (long term > volatility, frequency of peaks and troughs,
price)? How could we > assess or measure it? And, first of all, does
such a feature exist or > is it only a mirage? How do you think
about?> > > > Best regards,> >
> > Franco> > >
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