|
PureBytes Links
Trading Reference Links
|
Hi, Fred,
Thanks for the interesting system you posted.
In you system development, do you take parameters sensitivity into
consideration? I checked the default parameter set you chose, I do not
know how you do it (optimize all of them takes forever, even larger
increments are used), buy they are the set that generates the lowest
MDD I could find, I actually fine tune every parameters somewhat
around your defaults and found them to be the real optimum set.
If you just shift those parameters minimumly, you will get much less
favorable results (most the time they are still good, but not as
fantastic as the optimum set, net down and MDD up), hence my question.
I usaully, after the optimum parameter set is selected, set again the
optimization range with the optimum value +/- 20% for EACH parameter
and re-run the whole optimization to get a feeling of what might
expect when the market invariably shifts somewhat its characters, call
it jitters not any major changes. Of course, in this case it is not
practical, for just this small subset would take forever.
Would like to hear your opinions. Thanks...
Thomas
--- In amibroker@xxxxxxxxxxxxxxx, "Fred <fctonetti@xxxx>"
<fctonetti@xxxx> wrote:
> Does you AA have all of these ? Buy, Sell, Short, Cover ? It
should.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > Fred,
> >
> > When I pasted your code into the equity indicator I'm getting a
very
> > strange error message on this line:
> >
> > FirstBar = ValueWhen(ExRem(Buy OR Short, 0), Cum(1));
> >
> > Its pointing to the OR and saying "Unknown identifier at line 22,
> column
> > 33:" I've tried re-typing that part by hand thinking that there
> was
> > phantom character in it but that didn't work and I can't figure
out
> what
> > the heck is going on.. any idea?
> >
> >
> >
> > d
> >
> > -----Original Message-----
> > From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> > Sent: Thursday, February 20, 2003 10:39 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: The Watered Down Semi-Interesting System
> >
> >
> > Sid,
> >
> > That should not be necessary because that's the first thing in the
> > Equity Line indicator (See Below). The code below also includes
> the
> > later thought of ANN%
> >
> > /* */
> > //--equity-plot-- do not remove this line
> >
> > MaxGraph = 10;
> > GraphZOrder = 1;
> > GraphXSpace = 20;
> > GraphYSpace = 10;
> >
> > BIR = IIf(Status("BarInRange") > 0, 1, 0);
> >
> > BarEq = Equity(1);
> > CurEq = Equity();
> > MaxEq = Highest(CurEq);
> > FlatEq = IIf(BIR, BarsSince(MaxEq > Ref(MaxEq,-1)),0);
> > MaxFlat = Highest(FlatEq);
> > LMaxFlat = LastValue(MaxFlat) * (1 + GraphYSpace / 100);
> > LogEq = log10(CurEq);
> >
> > CurDD = IIf(BIR, 100 * (MaxEq - CurEq) / MaxEq, 0);
> > MaxDD = Highest(CurDD);
> > LMaxDD = LastValue(MaxDD) * (1 + GraphYSpace / 100);
> > CumDD = Cum(CurDD);
> >
> > FirstBar = ValueWhen(ExRem(Buy OR Short, 0), Cum(1));
> > LastBar = LastValue(ValueWhen(Status("LastBarInRange") > 0, Cum
> (1)));
> > TotBars = LastValue(Cum(1));
> > BarNo = ValueWhen(BIR > 0, Cum(1) - FirstBar + 1);
> > NoBars = LastValue(BarNo);
> >
> > Dates = DateNum();
> > Days = ValueWhen(BIR > 0, IIf(Dates != Ref(Dates,-1), 1, 0));
> > TotDays = Cum(Days);
> > BPD = BarNo / TotDays;
> >
> > CAR = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(BarNo -
> > 1))) ^ (1 / (BarNo / BPD / 252)) -1));
> > Ann = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(252 *
> > BPD)) - 1)));
> > MAR = ValueWhen(BIR > 0, CAR / MaxDD);
> > UI = ValueWhen(BIR > 0, sqrt(CumDD / BarNo));
> > UPI = (CAR - 5.4) / UI;
> > TPI = UPI / MaxDD;
> >
> > bb0 = LastValue(LinRegIntercept(Ref(LogEq, -(TotBars -
> > LastBar)), NoBars));
> > mm = LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)),
> > NoBars));
> > yy = mm * BarNo + bb0;
> >
> > BarsCum = ValueWhen(BIR > 0, Cum(BarNo));
> > AvgBar = LastValue(BarsCum) / NoBars;
> > SRDevSQ = ValueWhen(BIR > 0, sqrt(Cum((BarNo - AvgBar) ^ 2)));
> > ErrEq = LastValue(StdErr(Ref(logEq, -(TotBars - LastBar)),
> > NoBars));
> > KRatio = ValueWhen(BIR > 0, mm * SRDevSQ / ErrEq /
sqrt(NoBars));
> >
> > TradeEq = IIf(Sell, (BarEq - ValueWhen(Buy, BarEq)) / ValueWhen
> (Buy,
> > BarEq), 0) +
> > IIf(Cover, (BarEq - ValueWhen(Short, BarEq)) /
ValueWhen
> > (Short, BarEq), 0);
> > PosEq = Cum(IIf(TradeEq > 0, TradeEq, 0));
> > NegEq = Cum(IIf(TradeEq < 0, TradeEq, 0));
> > PosTrade = Cum(TradeEq > 0);
> > NegTrade = Cum(TradeEq < 0);
> > AvgPos = PosEq / PosTrade;
> > AvgNeg = NegEq / NegTrade;
> > PosPct = PosTrade / (PosTrade + NegTrade);
> > Expect = (1 + AvgPos / abs(AvgNeg)) * PosPct - 1;
> >
> > Plot(IIf(BarNo > 0, CAR, -1e10), "CAR%", colorBrightGreen,
> > styleNoLine | styleNoLabel);
> > Plot(IIf(BarNo > 0, Ann, -1e10), "Ann%", colorBrightGreen,
> > styleNoLine | styleNoLabel);
> >
> > Plot(IIf(BarNo > 0, -CurDD, -1e10), "CDD%", colorRed,
> > styleOwnScale | styleHistogram, -LMaxDD, LMaxDD);
> > Plot(IIf(BarNo > 0, -MaxDD, -1e10), "MDD%", colorDarkRed,
> > styleOwnScale, -LMaxDD, LMaxDD);
> >
> > Plot(IIf(BarNo > 0, MAR, -1e10), "MAR", colorBrightGreen,
> > styleNoLine | styleNoLabel);
> >
> > Plot(IIf(BarNo > 0, UI, -1e10), "UI", colorYellow,
> > styleNoLine | styleNoLabel);
> > //Plot(IIf(BarNo > 0, UPI, -1e10), "UPI", colorGreen,
> > styleNoLine | styleNoLabel);
> > //Plot(IIf(BarNo > 0, TPI, -1e10), "TPI", colorGreen,
> > styleNoLine);
> > //Plot(IIf(BarNo > 0, Expect, -1e10), "Exp", colorGreen,
> > styleNoLine);
> > //Plot(IIf(BarNo > 0, KRatio, -1e10), "KRatio",colorGreen,
> > styleNoLine | styleNoLabel);
> >
> > Plot(IIf(BarNo > 0, FlatEq, -1e10), "CF", colorYellow,
> > styleOwnScale | styleHistogram, -LMaxFlat, LMaxFlat);
> > Plot(IIf(BarNo > 0, MaxFlat,-1e10), "MF", colorDarkYellow,
> > styleOwnScale, -LMaxFlat, LMaxFlat);
> >
> > Plot(IIf(BarNo > 0, yy, -1e10), "LinReg",colorBlue,
> > styleThick | styleOwnScale | styleNoLabel);
> >
>
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx>
> wrote:
> > > At 08:04 PM 02/20/2003 -0500, you wrote:
> > >
> > > >Fred,
> > > >
> > > >I get an error in the "FirstBar = ValueWhen(ExRem(Buy OR Short,
> > 0),
> > > >Cum(1));" at the OR location....
> > > >
> > > >Can you provide assistance
> > >
> > > Not Fred, but maybe I can help. That is the error message I got
> > when the
> > > AA system results were not communicating with the indicator
> > module. Check
> > > to see that you have /* at the bottom of the AA system
> script.
> > That
> > > seems to enable the link between the tester and the indicator
> code.
> > >
> > > Sid
> > >
> > >
> > > ---
> > > Outgoing mail is certified Virus Free.
> > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > Version: 6.0.455 / Virus Database: 255 - Release Date:
02/13/2003
> >
> >
> >
> > Yahoo! Groups Sponsor
> >
> > ADVERTISEMENT
> >
> >
>
<http://rd.yahoo.com/M=243066.2784922.4151385.1927555/D=egroupweb/S=17
> 05
> > 632198:HM/A=1377501/R=0/*http://www.verisign.com/cgi-bin/go.cgi?
> a=b30890
> > 113200616000>
> >
> > <http://us.adserver.yahoo.com/l?
> M=243066.2784922.4151385.1927555/D=egrou
> > pmail/S=:HM/A=1377501/rand=603208677>
> >
> > 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 the Yahoo! Terms of
Service
> > <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/
|