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Hi Steve,
Thanks, I'll give it a go.
Willem Jan
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxxx> wrote:
> Hi William,
>
> Yes, since all the real work is done in the DLL, it would have to be
> modified. I would need to add code to calculate your StochRSI for
each
> optimization step and then test them all to find the best one. But,
the DLL
> was written before TJ added looping ability to AFL - you can now do
this
> yourself for your own indicators right in AFL. I have pasted an
example by
> TJ below showing how to do this, and I added the plot statements to
show how
> you can plot the results.
>
> Steve
>
> ---------------------------------------------
>
> Yes it is possible to perform optimization using for loop inside
exploration
> code:
>
> Sample code follows, it runs optimization inside for loop and
reports only
> THE BEST
> result. It should be run usign "EXPLORE". The code in fact runs
several
> backtests inside 'for' loop and notes the best result and best
parameter
> range.
> bestequity = 0;
> bestrange = 0;
>
> // optimization loop
>
> for( range = 12; range < 40; range ++ )
> {
>
> Buy = Cross( Close, EMA( Close, range ) );
>
> Sell = Cross( EMA( Close, range ), Close );
>
> Le = LastValue( Equity() );
>
> if( Le > bestequity )
> {
> bestequity = Le;
> bestrange = range;
> }
> }
>
> range = bestrange;
>
> Buy = Cross( Close, EMA( Close, range ) );
>
> Sell = Cross( EMA( Close, range ), Close );
>
> Filter = BarIndex() == BarCount - 1;
>
> AddColumn( bestrange, "Best range" );
>
> AddColumn( Equity(), "Best Equity" );
>
> Plot( Equity(), "equity", colorRed, styleLine);
> Plot( EMA( Close, range ), "Opt EMA", colorBlue,
> styleLine|styleLeftAxisScale);
> Plot( Close, "close", colorBrightGreen,
styleLine|styleLeftAxisScale);
>
>
> ----- Original Message -----
> From: "willem1940" <w.j.a.struyck@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, June 15, 2003 3:22 PM
> Subject: [amibroker] Re: overhaul to AutoOpttools
>
>
> > You just post an impressive amount of work and someone wants more.
> > Ths time it is me. I would like to try the tool on intraday
futures.
> > In principle this should work but the results sofar are not very
> > impressive; will have to d some more work on proper settings.
> > However I would like to try the tool on the custom system (based
on
> > StochRSI) I use for my future trade. Is it possible to modify the
> > tool in order to work with custom buy and short signals or does
this
> > require work in the *.dll file (something I have no knowledge of).
> >
> > Willem Jan
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxxx>
wrote:
> > > That is great Herman, maybe you will discover and teach me a few
> > things about them! I will look forward to hearing anything you may
> > care to post. Thanks for your interest!
> > >
> > > Steve
> > > ----- Original Message -----
> > > From: Herman van den Bergen
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Sunday, June 15, 2003 4:02 AM
> > > Subject: RE: [amibroker] overhaul to AutoOpttools
> > >
> > >
> > > Thank you steve, btw; you don't babble at all, your concept is
> > quite interesting! I am probably one of those "system guys" who
want
> > to OOS and look at historical performance. Also; I am more an
> > experimental coder than a trader...
> > >
> > > I'll have to do some experimenting with your indicators, this
> > will take some time :-) thank you again for introducing an
> > interesting concept.
> > >
> > > herman
> > >
> > > -----Original Message-----
> > > From: Steve Dugas [mailto:sjdugas@x...]
> > > Sent: Saturday, June 14, 2003 8:47 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] overhaul to AutoOpttools
> > >
> > >
> > > Hi Herman,
> > >
> > > Thank you for the kind words : - )
> > >
> > > Actually, these weren't really designed for out-of-sample
> > testing, but I think you could do it with a little extra work. I
> > suppose a little background is probably in order - At the present
> > time I am a discretionary trader, and I concentrate on what is
> > happening now - I really dont even check to see how these
indicators
> > would have performed in the past. Since they are optimized over
the
> > time period you select, I assume they would have their ups and
downs
> > when the same values are used for other time periods. I have only
> > been doing TA for about 2 or 3 years now, and when I started, I
spent
> > the first year or so backtesting, using and trying to combine all
the
> > popular indicators, but was generally disappointed with the
results -
> > I'm sure you know the story - works on some stocks but not others,
> > take a closer look at the good ones and find out the same system
> > would have failed miserably the year before, big drawdowns vs.
> > mediocre returns, stock's personality suddenly changes, etc... I
> > never did find a system I really liked, so rather than continue
down
> > that road, I decided to try a different approach - concentrate on
> > what each individual stock is doing now, and try to be as "tuned
in"
> > as possible to any changes in behavior.
> > >
> > > So I came up with these self-optimizing indicators. I think
the
> > important thing to know about them is that they continually
> > reoptimize themselves as new data is added, so you can see changes
> > happening in real time. They do not just carry yesterday's
optimized
> > value forward (well, they can do that if you want, but I dont use
> > them that way, and I probably wouldn't expect to see very good
> > results). This daily reoptimization is actually a double-edged
sword -
> > it is good to stay on top of things, and know that you are seeing
> > the latest, best result for each indicator and each stock, but on
the
> > other hand it is possible that they can change without warning
(i.e. -
> > today's 5 period MA can become tomorrow's 10 period MA) and you
may
> > suddenly find yourself on the wrong side of the trade. While it is
> > theoretically possible for this to happen at any time I guess, in
> > practice it does not actually seem to happen very often. But then
> > again I have only been using them for a few months, and I also
spend
> > a lot of time running the included Explorer code to try and
> > identify "friendly" stocks. I have actually been doing pretty well
> > with them, but if you are a "system" guy who backtests your code
> > against 5 or 10 years of data, you may not feel very comfortable
with
> > them. Of course, you could always select the entire data range as
> > your test period, and automatically get the best parameters for
each
> > stock/indicator, but I really dont know offhand whether the
return,
> > drawdown etc would be any good or not.
> > >
> > > OK, I have babbled long enough, I will try to answer your
> > question... : - )
> > >
> > > Yes, I think you could use these with AB's backtester to
test
> > on any range of data, but not without a little work. The code for
> > each indicator calls the DLL, which sets AFL variables containing
the
> > optimal parameters for your test period. You can access these
> > variables in AFL, and use AB's backtester to test any data range,
but
> > you would need to add the backtester code you want to use and
plug in
> > the parameter variables. For example:
> > >
> > > buy = cross( close, ma( close, OptParam1Val));
> > >
> > > You would also want to make sure the backtester Settings and
> > the settings at the top of the AFL for the indicator you are
testing
> > are set to match as closely as possible. I actually thought about
> > adding this code to all the indicators at one time, but decided
not
> > to bother until I was ready to use it...maybe I will add it soon.
> > Meanwhile, if you decide to do this, I will be happy to help you
in
> > accessing the variables, etc, if you are having any trouble.
Just
> > let me know!
> > >
> > > Best Wishes,
> > >
> > > Steve
> > > ----- Original Message -----
> > > From: Herman van den Bergen
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, June 14, 2003 5:31 PM
> > > Subject: RE: [amibroker] overhaul to AutoOpttools
> > >
> > >
> > > Thank you Steve, some relly nice work!
> > >
> > > I have not used any of your auto opt tools before... could
> > you explain how one would go about performing an out of simple
test?
> > Is that possible? Or are the signal always optimized?
> > >
> > > many thanks for a very interesting contribution!
> > >
> > > Herman.
> > > -----Original Message-----
> > > From: Steve Dugas [mailto:sjdugas@x...]
> > > Sent: Saturday, June 14, 2003 3:32 PM
> > > To: amibroker
> > > Subject: [amibroker] overhaul to AutoOpttools
> > >
> > >
> > > Hi All,
> > >
> > > I have made some changes to AutoOptTools, and posted the
> > new version if anyone can use it. Picture attached. The main
changes
> > are:
> > >
> > > 1. Fixed a bug that caused the plotted indicators to
> > disappear at times ( actually, they didnt disappear, just
defaulted
> > to the background color if certain conditions weren't met).
> > >
> > > 2. added volume histogram in the background.
> > >
> > > 3. added black triangles that automatically point to
> > beginning and end of selected test period.
> > >
> > > 4. added color-sensitive up/down arrow to last bar to
tell
> > instantly if indicators are currently long or short. (usually
wasnt
> > hard to tell, but on occasion it could be)
> > >
> > > 5. moved some statistics and other info from the main
> > screen and the title to the interpretation window.
> > >
> > > 6. added a couple of new statistics to the title.
> > >
> > > 7. now has 2 include files - for leading and lagging
> > indicators (seems to give better results).
> > >
> > > 8. updated the help file - I left out a couple of things
> > the 1st time.
> > >
> > > Best Wishes,
> > >
> > > Steve
> > >
> > >
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