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----- Original Message -----
From: <A
href="" title=tsokakis@xxxxxxxxx>Dimitris Tsokakis
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 10, 2003 2:01 PM
Subject: Optimization quiz
The optimal solution for the single level ^NDX D-ratio is a
quite interesting +780% from Jan2000 till now.
Is there any optimization solution better than the optimal
?
Do not answer quickly, the answer is positive...
Dimitris Tsokakis
Settings:Trade at +1Open with 0.5% commission and all stops
disabled. <FONT
face="Times New Roman">
Dratio=1000<FONT face=Verdana
size=2>*(H-L)/(H+L);<FONT
face="Times New Roman">
Z=5<FONT
face="Times New Roman">;
RRR=DEMA<FONT
size=2>(Dratio,Z);RRRR=DEMA<FONT
size=2>(RRR,10<FONT
face="Times New Roman">);
D1=Optimize(<FONT
size=2>"D1",26<FONT
size=2>,15,<FONT
size=2>65,1<FONT face=Verdana
size=2>);
D2=D1;
<FONT
face="Times New Roman">F1=RRRR>=D2;F2=RRRR<=D1;<FONT
face="Times New Roman">
Sell=F2;Buy=F1;Buy=ExRem<FONT
size=2>(Buy,Sell);Sell=ExRem<FONT face=Verdana
size=2>(Sell,Buy);<FONT
face="Times New Roman">
Short=Sell;Cover=Buy;Short=ExRem<FONT
size=2>(Short,Cover);Cover=ExRem<FONT face=Verdana
size=2>(Cover,Short);
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Attachment:
1optimal.gif
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