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Thomas,
I would agree that the parameter settings of this system are at least
somewhat fragile.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014 <tchan95014@xxxx>"
<tchan95014@xxxx> wrote:
> 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
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>
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>
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>
>
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> > >
>
>
> > > Post AmiQuote-related messages ONLY to:
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