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<SPAN
class=001364104-02092003>hi jayson, thanks for jumping in.
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>aren't you supposed to put things back to the
underlying stock after you calculate a function that works directly off the
OHLVC arrays? otherwise, anything else you do, graph price for
example, will still be using the foreign infos. or maybe I don't
understand...
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>there's an unrelated error in this code, but I don't
think it explains the problem I asked about. the sign of the thresholds in the
buy and Sell assignments is reversed. without the foreign CCI, it should
read:
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>period = Optimize("period", 2, 1, 100, 1);threshold
= Optimize("threshold", 25, -100, 100, 25); //includes
negative now
<SPAN
class=001364104-02092003>Buy = Cross(cc, -threshold); //sign
changedSell = Cross(threshold, cc); //sign
changedShort = Sell;Cover = Buy;
<FONT face=Arial
color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>but as I say, I don't think that's why the foreign one
doesn't work like I expect. it *is* why performance wasn't what I expected
in most cases though (:-).
<FONT
face="Courier New"><FONT face=Arial
color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>dave
<BLOCKQUOTE
>
you
change the OHLCV back tot the underlying stock at the bottom of your code. try
simply....
<SPAN
class=125110404-02092003>
period = Optimize("period", 2, 1,
100, 1);threshold = Optimize("threshold", 25, 0, 100, 25);O =
Foreign("!VIX", "O");H = Foreign("!VIX", "H");L = Foreign("!VIX",
"L");C = Foreign("!VIX", "C");V = Foreign("!VIX", "V");cc =
CCI(period);Buy = Cross(cc, threshold);Sell = Cross(-threshold,
cc);Short = Sell;Cover =
Buy;----------------
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Monday, September 01, 2003 11:26
PMTo: AmiBrokerSubject: [amibroker] optimizing trades
based on a foreign CCI not working as expectedcan
anyone tell me why these two tests give the same results for every indexI
tried?both versions go long and short based on a CCI, optimizing for
best returns.version 1 uses the CCI of the issue under test, and version 2
uses the CCIof another index, I thought.but I get the same results
no matter what foreign index I use, includingcontrarian ones like the VIX
you see below.what am I
missing?thanks,dave----------------VERSION
1----------------period = Optimize("period", 2, 1, 100,
1);threshold = Optimize("threshold", 25, 0, 100, 25);cc =
CCI(period);Buy = Cross(cc, threshold);Sell = Cross(-threshold,
cc);Short = Sell;Cover = Buy;----------------VERSION
2----------------period = Optimize("period", 2, 1, 100,
1);threshold = Optimize("threshold", 25, 0, 100, 25);saveO =
O;saveH = H;saveL = L;saveC = C;saveV = V;O =
Foreign("!VIX", "O");H = Foreign("!VIX", "H");L = Foreign("!VIX",
"L");C = Foreign("!VIX", "C");V = Foreign("!VIX", "V");cc =
CCI(period);O = saveO;H = saveH;L = saveL;C = saveC;V =
saveV;Buy = Cross(cc, threshold);Sell = Cross(-threshold,
cc);Short = Sell;Cover = Buy;----------------Dave
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