|
PureBytes Links
Trading Reference Links
|
Thomas,
I understand that you delay exit. But you don't delay entry.
Delay of zero is really a problem. If you don't belive me
run this code:
Buy = 1; Sell = 1;
BuyPrice = Open;
SellPrice = High;
It is a constant winner although at first sight I don't look into the future
and don't use any indicators.
Your code changes buy/sellprice arrays and this should be
handled with care because it may affect the results (as code above shows).
I didn't run your code because I am terribly busy with
development of 4.29 and as a rule I don't debug users formulas
(see http://www.amibroker.com/freesupport.html)
because otherwise I would not have time for anything else.
However if you think that there is a bug in *AmiBroker* itself
please send your description to bugs@xxxxxxxxxxxxx
with formula and sample output and mark those outputs which you
belive are in error.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: <tchan95014@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, February 10, 2003 10:39 PM
Subject: [amibroker] Re: Holy Grail? NOT!
> Hi, TJ,
>
> Thanks for the info. I do know I can use the ApplyStop() as I do use
> the 4.28.1 version.
>
> However, while I am developing a system, I use a template and adding
> variations to it, I happened to use other SELL condition and just
> thought how if I just make it into a N-bar SELL. (I suppose, I would
> get the same test results, wouldn't I ? Please correct me if there is
> anything wrong with my code.) There are many ways to skin a cat, but
> the end results and IF the procedure performed correctly, the end
> results should be the same skinless cat, right? ;-)
>
> As for the looking into future, I have tried to explain a couple of
> times, including the explanation in the code, since I have delayed
> the exit for so many bars, I do not see using trade delay of 0 is a
> concern at all. Run it on any ticker and use 'explore' and you will
> see the unexplainable results I saw.
>
> In one of the reply message I sent, I also mentioned that you can
> also get some horrible results, I just picked up CIEN as an example.
> There are too many examples that go in extreme, unrealistic results,
> good or bad. If I looked into the future, most of the test results
> should be pretty good, right?
>
>
> Thomas
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> wrote:
> > Hello,
> >
> > I don't understand why you are doing this hard way.
> >
> > Just use v4.28.1 and add
> >
> > ApplyStop( 3, 1, 20, True ); // automatic N-bar stop, here N is set
> to 20 bars.
> >
> > As for getting incredible results - it is easy to explain.
> > Your formula uses indicators like ATR (which use close, high and
> low)
> > while trading on open without delay.
> >
> > This is looking into the future. Add delay of one bar and the
> incredible results
> > will disappear. As a general rule: if you are trading on OPEN you
> should
> > add delay of one bar (if you are using indicators that reference
> either H,L,C of
> > current bar)
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: <tchan95014@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, February 10, 2003 7:44 AM
> > Subject: [amibroker] Holy Grail? NOT!
> >
> >
> > > Hi, All,
> > >
> > >
> > >
> > >
> > > When I ran the attached AFL file below on CIEN (daily), it
> generated
> > > RAR% > 1900 (from 2000-1-1 to today), which is incredible, look
> like a
> > > holy grail found. I ran more tickers and more ridiculous profit.
> > >
> > >
> > >
> > >
> > > However, when I ran the 'explore', I just could not match up my
> code
> > > with the output, nor the ARROWS. I do not even understand why the
> > > 'explore' output was presented the way it was.
> > >
> > >
> > >
> > >
> > > Any kind sould please help, I just could not see what I did wrong.
> > >
> > >
> > > If there is any use of future data, I could find it nor AB.
> > >
> > >
> > > Please run 'backtest', then compare it with the output
> of 'explore'
> > >
> > >
> > >
> > >
> > > Thanks.
> > >
> > >
> > >
> > >
> > > Thomas
> > >
> > >
> > >
> > >
> > > --------------------------------------------------------------
> > >
> > >
> > >
> > >
> > > // ATR range breakout system, run on daily bars
> > >
> > >
> > > //
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > // System defines
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > SetTradeDelays(0, 0, 0, 0);
> > >
> > >
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > // System Parameters
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > smoothB = 10;
> > >
> > >
> > > multipleB = 0.6;
> > >
> > >
> > > wait = 20;
> > >
> > >
> > > smoothS = smoothB;
> > >
> > >
> > > multipleS = multipleB;
> > >
> > >
> > >
> > >
> > > entryB = C + multipleB * ATR(smoothB);
> > >
> > >
> > > entryS = C - multipleS * ATR(smoothS);
> > >
> > >
> > > priceB = Ref(entryB, -1);
> > >
> > >
> > > priceS = Ref(entryS, -1);
> > >
> > >
> > >
> > >
> > > CondBuy = IIf(H > priceB, 1, 0); // priceB is previous bar price
> > >
> > >
> > > CondShort = IIf(L < priceS, 1, 0);
> > >
> > >
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > // Trading System Rules
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > Buy = CondBuy; // CondBuy was created for debug only
> > >
> > >
> > > Sell = Ref(Buy, -wait); // supposedly a 20 day wait before SELL
> > >
> > >
> > > Short = CondShort;
> > >
> > >
> > > Cover = Ref(Short, -wait);
> > >
> > >
> > > ExRemSpan(Buy, wait); // I thought I don'e need this, because
> > >
> > >
> > > ExRemSpan(Short, wait); // equity(1) is used below
> > >
> > >
> > >
> > >
> > > BuyPrice = IIf(Open > priceB, Open, priceB);
> > >
> > >
> > > ShortPrice = IIf(Open < priceS, Open, priceS);
> > >
> > >
> > > SellPrice = Open;
> > >
> > >
> > > CoverPrice = Open;
> > >
> > >
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > // Equity info
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > Eq = Equity(1);
> > >
> > >
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > // Exploration
> > >
> > >
> > > //
> > > ------------------------------------------------------------------
> ----
> > > ----------------------------------
> > >
> > >
> > > Filter = 1;
> > >
> > >
> > >
> > >
> > > AddColumn(O, "Open");
> > >
> > >
> > > AddColumn(H, "High");
> > >
> > >
> > > AddColumn(L, "Low");
> > >
> > >
> > > AddColumn(C, "Close");
> > >
> > >
> > > AddColumn(V, "Volume", 1.0);
> > >
> > >
> > >
> > >
> > > AddColumn(CondBuy, "CondBuy");
> > >
> > >
> > > AddColumn(Buy, "Buy", 1.0);
> > >
> > >
> > > AddColumn(Sell, "Sell", 1.0);
> > >
> > >
> > > AddColumn(entryB, "entryB");
> > >
> > >
> > >
> > >
> > > AddColumn(CondShort, "CondShort");
> > >
> > >
> > > AddColumn(Short, "Short", 1.0);
> > >
> > >
> > > AddColumn(Cover, "Cover", 1.0);
> > >
> > >
> > > AddColumn(entryS, "entryS");
> > >
> > >
> > >
> > >
> > >
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > >
> > > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|