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Dimitris, Chuck
and Junya,
<FONT color=#000080
size=2>
I found a way to
optimize an AddToComposite in another way. Instead of using
AddToComposite, do this:
(this is a
modification of my code to simplify it for illustration purposes. There
may be coding errors)
<FONT color=#000080
size=2>
This counts the
number of stocks above or below the MACD Signal line.
<FONT
color=#000080 size=2>Per1 = 5; Per2 = 8;Per1 = Optimize("Per1", Per1, 3, 13,
2);Per2 = Optimize("Per2", Per2, 3, 13, 2);
C = Foreign("AA", "C", Fixup =
True);Bullish=MACD(Per1,Per2) >=
Signal(Per1,Per2);ZL = IIf(bullish==1, <SPAN
class=830280618-07052003>1, <SPAN
class=830280618-07052003>-1)<SPAN
class=830280618-07052003>MyComposite = <SPAN
class=830280618-07052003>MyComposite + ZL;
C = Foreign("<SPAN
class=830280618-07052003>AXP", "C", Fixup =
True);Bullish=MACD(Per1,Per2) >=
Signal(Per1,Per2);ZL = IIf(bullish==1, <SPAN
class=830280618-07052003>1, <SPAN
class=830280618-07052003>-1)<SPAN
class=830280618-07052003>MyComposite = <SPAN
class=830280618-07052003>MyComposite + ZL;
Repeat for each
stock in the watchlist you want to scan.
One can then use
MyComposite as if it were a real "~MyComposite" data file.
And one can
optimize as shown in the top lines.
One would insert
the BUY/SELL lines after this code.
<FONT color=#000080
size=2>
It can also be
used in IB to plot the MyComposite results in real time without having to run a
SCAN.
<FONT color=#000080
size=2>
A little awkward
but with cut and paste, the code can be setup pretty fast.
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Tuesday, May 06, 2003
3:00 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Optimizing AddToComposite
<FONT face=Arial color=#0000ff
size=2>G'day, Rick.
<FONT face=Arial color=#0000ff
size=2>
I'm
not sure how you could determine the best to use, but you could do six
runs at once by using the O,H,L.C.V and OI fields in your composite to hold
the results from six different periods. This might not be the
answer you are looking for, but it may give you an idea.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxxxxxxxxxxxxx]Sent: Tuesday, May 06, 2003
2:53 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Optimizing AddToComposite
I have a
system similar to Dimitri's Trade the Market where I use AddToComposite to
count the number of stocks above or below the MACD Signal
line.
<FONT color=#000080
size=2>
Question is,
what is the best MACD period to use? It is very cumbersome to change
the periods, run the Scan to create an AddToComposite, then backtest
it.
<FONT color=#000080
size=2>
Does anyone
have a creative idea on how to "optimize" the periods used to create the
AddToComposite?
<FONT color=#000080
size=2>
<FONT color=#000080
size=2>Thanks,
<FONT face="Vladimir Script" color=#000080
size=5>Rick
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