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<FONT face=Arial color=#0000ff
size=2>Dave,
You
are correct. If you have plans for the stock (not index) OHLC after your
calculation then you need to change it back. I am not sure why AB does not
seem to see your reassignment of the close value. Never mind though as a simple
work around is available. Try CCIa instead of CCI.....
<FONT face=Arial color=#0000ff
size=2>
period = <FONT
face=Arial>Optimize<FONT
size=2>("period", <FONT
size=2>2, 1,
100, <FONT
size=2>1<FONT face=Arial
color=#0000ff>);
threshold = <FONT
face=Arial>Optimize<FONT
size=2>("threshold", <FONT
size=2>25, -<FONT
size=2>100, <FONT
size=2>100, 25<FONT
color=#282828 size=2>);
cc = <FONT
color=#0000ff>CCIa<FONT
size=2>(Foreign(<FONT
size=2>"!VIX", "C"<FONT
size=2>),<FONT face=Arial
color=#0000ff>period);
Buy<FONT
color=#0000ff> = Cross(cc,
-<FONT
face=Arial color=#0000ff>threshold);
Sell<FONT
color=#0000ff> = <FONT
size=2>Cross<FONT face=Arial
color=#0000ff>(threshold, cc);
Short<FONT
color=#0000ff> = Sell<FONT
color=#282828 size=2>;<FONT
size=2>
Cover<FONT
color=#0000ff> = Buy<FONT
color=#282828 size=2>;
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff size=2>I have not tested the values and it is late but I think
this should get you where you want to go....
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Tuesday, September 02, 2003 12:50
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
optimizing trades based on a foreign CCI not working as
expected
<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
MerrillSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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