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Hi Steve,
I am very proud to have found the answer myself. The line for( factor
= 0.01; factor < 0.5; factor=factor+0.02 ) does the trick.
Thanks.
Willem jan
--- In amibroker@xxxxxxxxxxxxxxx, "willem1940" <w.j.a.struyck@xxxx>
wrote:
> Hi Steve,
>
> Just a little help to get me going. Applying the example in this
> message to the following formula does not seem to work (I receive
as
> bestrange always the first number filled in behind factor):
>
> bestequity = 0;
> bestrange = 0;
> prevCl= Ref(Close,-1);
>
> // optimization loop
>
> for( factor = 0.05; factor < 0.5; factor ++ )
> {
>
> Buy = Cross( Close, prevCl+prevCl*Factor/100 );
> Short = Cross(prevCl-prevCl*Factor/100, Close);
>
> Le = LastValue( Equity() );
>
> if( Le > bestequity )
> {
> bestequity = Le;
> bestrange = factor;
> }
> }
>
> factor = bestrange;
>
> Buy = Cross( Close, prevCl+prevCl*Factor/100 );
> Short = Cross(prevCl-prevCl*Factor/100, Close);
> Cover=0; Sell=0;
>
> Filter = BarIndex() == BarCount - 1;
> ApplyStop(stopTypeProfit,2,57,0);
> Equity(1);
>
> AddColumn( bestrange, "Best range" );
>
> AddColumn( Equity(), "Best Equity" );
>
> I can't see where there is the critical difference with the example
> formula.
> 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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