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Chuck,
Without seeing all the setting that you have, it is impossible
to diagnose.
I would suggest that you start with something like 1
parameter combination over 5 stocks to make it easy to check the figures
and get your settings correct first.
I'm no expert at it but, AddToComposite my also be saving just
your last run which may happen to be using unprofitable parameters,
too.
Always check <A
href="">http://www.amibroker.com/guide/afl/ for
the latest AFL descriptions.
SYNTAX
AddToComposite( array, "ticker",
"field", flags = atcFlagDefaults )
RETURNS
NOTHING
FUNCTION
Allows you to create composite indicators with ease. <A
href="">More
info...Parameters:array - the array of values to be added to
"field" in "ticker" composite symbol "ticker" - the ticker of
composite symbol. It is advised to use ~comp (tilde at the
beginning)newly added composites are assigned to group 253 by default
andhave "use only local database" feature switched on for proper
operation with external sources possible field codes: "C" - close , "O" -
open, "H" - high, "L" - low, "V" - volume, "I" - open interest, "X" -
updates all OHLC fields at onceflags - contains the sum of
following values
atcFlagResetValues = 1 - reset values at the
beginning of scan (recommended)
atcFlagCompositeGroup = 2 - put composite ticker
into group 253 and EXCLUDE all other tickers from group 253 (avoids
adding composite to composite)
atcFlagTimeStamp = 4 - put last scan date/time stamp into FullName
field
atcFlagEnableInBacktest = 8 - allow running
AddToComposite in backtest/optimization mode
atcFlagEnableInExplore = 16 - allow running
AddToComposite in exploration mode
atcFlagDefaults = 7(this is a composition of atcFlagResetValues
| atcFlagCompositeGroup | atcFlagTimeStamp flags)
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, March 12, 2003 7:22
PM
Subject: [amibroker] Optimization
questions
I
would appreciate it if someone could help me to understand what I'm seeing in
an optimization run.
<FONT face=Arial color=#0000ff
size=2>
I am
running about 1000 combinations of parameters over 7,500 stocks over
15 years of daily data. Fortunately, my PC has plenty of
grunt and the run actually finishes.
<FONT face=Arial color=#0000ff
size=2>
Most
columns in the results grid show negative results. Net
profit, RAR, Average Trade, etc. are all negative and the profit factor is
less than one.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>You might be tempted to say "try another
system".
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>BUT... the composite equity curve is showing a very positive and
consistent profit. Since this system was converted from a
profitable MetaStock system, I expected to see a profitable equity
curve. I sorted the results by "Average Trade" and then did a
backtest on the highest ranked set of parameters, even though the average
trade was showing as a negative value.
<FONT face=Arial color=#0000ff
size=2>
I am
building the composite equity by saying:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>AddToComposite(Equity()/1000, "~Composite", "X");
<FONT face=Arial color=#0000ff
size=2>
The
reason I divide by 1,000 is so that the profit values are shown in an
acceptable format without overflowing into scientific notation. The
equity curve is a very attractive 40% angle, gradually going from zero to $30
million.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Since the equity curve looks like what I expect, why don't I see
positve values for the important metrics like RAR, Average Trade,
etc.?
<FONT face=Arial color=#0000ff
size=2>
I
want to believe the equity curve, of course. But I'm uncomfortable
seeing all the negative metrics.
<FONT face=Arial color=#0000ff
size=2>
I'm
also uncomfortable simply selecting the highest ranked set of parameters when
the best value is negative.
<FONT face=Arial color=#0000ff
size=2>
Any
assistance or comments would be appreciated.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2> Send
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