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Owen,
Here is a scedule for automatic forward
optimization.
I examine 5 six-months optimization periods from 1/1/2001 till
now with an hypothetical trading system.
Interpretation:
A. d=5, DL=20, UL=90 was the optimal solution in the example,
ie for 20, 90 levels the best period was from Jan 2003 to July 2003.<FONT
size=2>[up left pic.]
B. To see the behavior per period, hit on the d caption and
see the performance of other optimization factors per period [up right
pic.]
C. You may also see the behavior of one system [set, for
example DL=20, UL=90] for various periods [down left pic]
[BTW, this pic gives the change of the market profile semester
by semester...]
D. Finally, for D=4, DL=20, UL=85 you are sure that only
trades from July2002 till Jan 2003 were calculated [down right gif]
I think C is the most interesting part.
Let me know if it helps
Dimitris Tsokakis
/* Automatic Forward Optimization */
d1=DateNum()>=1010101 AND
DateNum()<1010701;d2=DateNum()>=1010701 AND
DateNum()<1020101;d3=DateNum()>=1020101 AND
DateNum()<1020701;d4=DateNum()>=1020701 AND
DateNum()<1030101;d5=DateNum()>=1030101 AND
DateNum()<1030701;d=Optimize("d",4,1,5,1);R=IIf(d==1,d1,IIf(d==2,d2,IIf(d==3,d3,IIf(d==4,d4,d5))));//
To ensure exit of open
tradese1=DateNum()>1010701;e2=DateNum()>1020101;e3=DateNum()>1020701;e4=DateNum()>1030101;e5=DateNum()>1030701;RR=IIf(d==1,e1,IIf(d==2,e2,IIf(d==3,e3,IIf(d==4,e4,e5))));//
Your system
hereDL=20;//Optimize("DL",20,20,40,10);UL=85;//Optimize("UL",85,60,90,10);Buy=Cross(StochD(),DL);Sell=Cross(StochD(),UL);//
Periods optimization, exit open trades by the end of the
periodBuy=R*Buy;Sell=R*Sell OR RR;
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