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RE: [amibroker] optimizing trades based on a foreign CCI not working as expected



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<SPAN 
class=360120705-02092003>um, it would appear that I'm asleep at the switch 
tonight. there's no need for the gyrations with the price arrays to use a 
foreign ticker, because CCIa takes any array you want. I know 
this.
<SPAN 
class=360120705-02092003> 
<SPAN 
class=360120705-02092003>I still don't understand why swapping out the price 
arrays doesn't work with the original price-based CCI, so if anyone has an 
answer to that anyway, great.
<SPAN 
class=360120705-02092003> 
<SPAN 
class=360120705-02092003>but I'm going to bed now, a little behind my brain, it 
seems.
<SPAN 
class=360120705-02092003> 
<SPAN 
class=360120705-02092003>dave
<BLOCKQUOTE 
>
  <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 
  >
    <SPAN 
    class=125110404-02092003>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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