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<FONT
size=2>[Graham] Is this the
formula you are referring to?
<SPAN
>
<SPAN
>No, it is
a little more sphisticated: the subject was "Atc Loop Demo", posted Sat
2003-04-26 12:30 PM. I tried to attach it but I got some kind of error -
see afl attached. Mind you that the example posted previously just
gives you the frame work: the sample trading system must be substituted with
your own trading system. The attached system is far simpler and would execute
much faster. Haven't tried that one.
<SPAN
><FONT color=#0000ff
size=2>
<SPAN
>Good
luck,
<SPAN
><FONT color=#0000ff
size=2>Herman.
<SPAN
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: April 28, 2003 8:48
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
AB 4.33 beta: AMAZING looping enhancement!
<SPAN
>Is this the formula you are
referring to?
<SPAN
>bestequity = <FONT
color=fuchsia size=1><SPAN
>0<FONT color=black
size=1>;bestrange =
<SPAN
>0<FONT color=black
size=1>;
<SPAN
>//
optimization loop
<SPAN
>for<FONT
color=black size=1>( range =
<SPAN
>12<FONT color=black
size=1>; range <
<SPAN
>40<FONT color=black
size=1>; range ++
){
<SPAN
> Buy<FONT
color=black size=1> =
<SPAN
>Cross<FONT color=black
size=1>( <SPAN
>Close, <FONT color=blue
size=1>EMA<FONT
color=black size=1>( <SPAN
>Close, range ) );
<SPAN
>
Sell<SPAN
> = <FONT color=blue
size=1>Cross<FONT
color=black size=1>(
<SPAN
>EMA<FONT color=black
size=1>( <SPAN
>Close, range ), <SPAN
>Close );
<SPAN
> Le<FONT
color=black size=1>
=<SPAN
>
<SPAN
>LastValue<FONT
face="Courier New" color=black size=1><SPAN
>(<FONT
color=black size=1>
<SPAN
>Equity<FONT color=black
size=1>()<FONT
face="Courier New" color=black size=1><SPAN
>
)<SPAN
>;
<SPAN
>
if<SPAN
>( <FONT
face="Courier New" color=black size=1><SPAN
>Le<FONT
color=black size=1> >
bestequity ) { <FONT face="Courier New"
color=black size=1><SPAN
>
bestequity = Le; bestrange =
range; }<SPAN
>}
<SPAN
>range =
bestrange;
<SPAN
>Buy<FONT
color=black size=1> =
<SPAN
>Cross<FONT color=black
size=1>( <SPAN
>Close, <FONT color=blue
size=1>EMA<FONT
color=black size=1>( <SPAN
>Close, range ) );
<SPAN
>Sell<FONT
color=black size=1> =
<SPAN
>Cross<FONT color=black
size=1>( <FONT
color=blue size=1><SPAN
>EMA<FONT color=black
size=1>( <SPAN
>Close, range ), <SPAN
>Close );
<SPAN
>Filter<FONT
face="Courier New" color=black size=1><SPAN
> =
<SPAN
>BarIndex<FONT
face="Courier New" color=black size=1><SPAN
>() ==
BarCount - <FONT
face="Courier New" color=fuchsia size=1><SPAN
>1<FONT
face="Courier New" color=black size=1><SPAN
>;
<SPAN
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN
>(
bestrange, <SPAN
>"Best
range"<SPAN
>
);
<SPAN
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN
>(
<SPAN
>Equity<FONT
face="Courier New" color=black size=1><SPAN
>(),
<SPAN
>"Best
Equity"<SPAN
>
);
<SPAN
>
<FONT face="Times New Roman" color=teal
size=3><SPAN
>Cheers,Graham
<FONT
face="Times New Roman" color=#339966 size=2><SPAN
><A
href=""><SPAN
>http://groups.msn.com/ASXShareTrading
<FONT
face="Times New Roman" color=#339966 size=2><SPAN
><A
href=""><SPAN
>http://groups.msn.com/FMSAustralia
<SPAN
>-----Original
Message-----From: Herman
vandenBergen [mailto:psytek@xxxxxxxx] <SPAN
>Sent: Monday, 28 April 2003 8:36
AMTo: Amibroker@xxxxxxxxxxxx
ComSubject: [amibroker] AB
4.33 beta: AMAZING looping enhancement!
<FONT face="Times New Roman"
size=2>
<FONT face=Arial
color=blue size=2><SPAN
>I just have to share
my excitement with you. The latest AB beta release features phenomenal looping
improvements; the result of extremely clever memory management - as I
understand it. Look at the before and after
performance:
<FONT face="Times New Roman"
size=2>
<FONT face=Arial
color=blue size=2><SPAN
>A before test
of 35 loops, at which point my computer ran into memory problems at about
1200 Seconds:
<P class=MsoNormal
><FONT
face="Times New Roman" size=2><SPAN
><IMG height=274
src="jpg00128.jpg" width=407 align=baseline
border=0><FONT face=Arial
color=blue>Below a AB 4.33
beta test showing system optimization utilizing loops in an
Exploration. The very first version of this program took hours to
optimize, now i can optimize entire baskets of stocks and save all optimized
parameters automatically in a file for recall from disk by the systems code
(see example code posted a few days ago on this procedure).
<SPAN
>You don't have to
wait for built-in Individual Optimizing of Baskets of stocks capability:
you have it right now.<FONT face=Arial
color=blue> All this shows you
that it is worth your while to spend a few hours reading up on
looping!
<SPAN
><IMG height=305
src="jpg00129.jpg" width=450 align=baseline
border=0>
<FONT face=Arial
color=blue size=2><SPAN
>Best
regards,
<FONT face=Arial
color=blue size=2><SPAN
>Herman
<FONT face="Times New Roman"
size=2>
<FONT face="Times New Roman"
size=2><SPAN
><FONT
face="Courier New">Send BUG REPORTS to bugs@xxxxxxxxxxxxx<FONT
face="Courier New"><FONT
face="Courier New">Send SUGGESTIONS to
suggest@xxxxxxxxxxxxx<FONT
face="Courier New">-----------------------------------------<FONT
face="Courier New">Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)<FONT
face="Courier New">--------------------------------------------<FONT
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href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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--- Begin Message ---
To: "Amibroker@xxxxxxxxxxxx Com" <amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Atc Loop Demo
From: "Herman vandenBergen" <psytek@xxxxxxxx>
Date: Sat, 26 Apr 2003 12:29:48 +0800
Importance: Normal
List-unsubscribe: <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx>
Reply-to: <amibroker@xxxxxxxxxxxxxxx>
DT Challenged me for
a loop demo :-) so here is one, attached.
<SPAN
class=780001204-26042003>
This shows how to
optimize a system using loops, substitute your own trading system and vary the
parameter's function and values. This was my first application for testing the
new looping function. Here I use a Loop in an Exploration to optimize the
system to three degrees. As i go along I save the best Equities obtained with
the 2nd and 3rd opt parameters in a stock-specific Calibration file - using the
AddToComposite(). I read back the data from the Composite and display the
results in The result table.
<SPAN
class=780001204-26042003>
The lower part is
repeats the trading system and shows how you can read back parameters and use
them into your system.
<SPAN
class=780001204-26042003>
Throughout you will
find some tricks, such as to display zero-based exploration data at the
current date range in your result table.
<SPAN
class=780001204-26042003>
Now you ask: why do
all this work? Some reasons:
<SPAN
class=780001204-26042003>
1) You can backtest
groups of stocks and save their individual optimization values (somebody wished
for this on the list)
2) You don't ever
have to type in optimized values, they are read from your
disk.
3) Opt1 in the
Optimization part is, in this demo, assigned to a period, but it could just
as well be the value of a trend indicator. This would allow you to create
calibration values to perform under various trending conditions. You would
optimize a large number of stocks and create (automatically) a calibration file
for each stock. Then when you are using your trading system you would obtain the
Opt1 from your trending indicator and based on it, you would select the other
two parameters. What do you have: an adaptive trading
system.
<SPAN
class=780001204-26042003>
Have fun, I hope
some others can explain any questions that may come up. I have to get back to
another project :-)
<SPAN
class=780001204-26042003>
best
regards,
<SPAN
class=780001204-26042003>Herman.
<SPAN
class=780001204-26042003>
Ps. If you click the
Check button you'll get a Look-Ahead error, I believe this is due to the using
the Atc. The trading system is incidental anyway - you should substitute your
own!
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
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.
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