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Yes, we may improve
optimization results, if we improve our "logic" .There is a usual procedure
in optimizations: When we optimize, MSFT for example, we use MSFT
data. Is there any special reason ? I do not think so. We just
suppose that MSFT data match better with MSFT.It looks obvious but not
necessarily true.From the math point of view, EOD [OHLCV] is nothing more
than a 5-d vector .Which vector fits better to the trading behavior of a
certain stock ?I was surprised to notice that a foreign OHLCV may be more
expressive than the stock OHLCV itself !!The research looks quite
interesting and may expand the use of optimization in more profitable
areas.The "normal" use of MSFT data for MSFT optimization is restricted to
some optimal values.The "transcendental" use of some other data for MSFT
optimization gives, in many cases, a visible improvement.MSFT study may
"borrow" some other data, some other stocks fit better to the indicator we
use.Join this fact with the [existing] directionality of the market and you
will have another interestingmethod for this endless game.[to be
continued]Dimitris Tsokakis
----- 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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