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<FONT
size=2>----- Original Message -----
From: "DIMITRIS TSOKAKIS" <<A
href=""><FONT
size=2>TSOKAKIS@xxxxxxxxx>To:
<<FONT
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>Sent: Friday, September 12, 2003 2:18 PMSubject: [amibroker]
Re: Optimize functionBill,(Initial
message)k=Optimize("k",40,30,50,10);> d2002=DateNum()>=1020101 AND
DateNum()<1030101;> LastTradingBar=(d2002==0 AND
Ref(d2002,-1))*DateNum();> Buy=d2002*Cross(StochD(),k);>
Sell=d2002*Cross(StochD(),70) OR DateNum()==LastTradingBar;>> Hit
now Optimize for> *current stock> *all quotations> AA will
see only 2002 dates.(Second message)Optimization, by itself, has no
restriction property.When we say Optimize, the AA will check the settings or
whateveroverwrites the settings.In my example, the settings are "all
quotations".But, the trading rules are restricted by
definition:Buy=d2002*Cross(StochD(),k);Sell=d2002*Cross(StochD(),70)
;This d2002 is a binary quantity, equal to 1 or 0, as definrd in
theprevious lines. The d2002*something will give something or
0.Consequently, when d2002 is true, the AA will
readBuy=Cross(StochD(),k);Sell=Cross(StochD(),70);and when d2002 is
false, the AA will readbuy=0;sell=0;Make a scan for all quotations
to see. The trades will be for 2002dates only.In other words, in order
to optimize from datenum1 to datenum2, justdefine trades for this period
only and thatīs it !!As I mentioned to Leo a few
minutes ago, I am not using AA but rather generating charts with IB.
I don't know whether AA's optimization process works like the Optimize function
in IB but suspect it might. With that uncertainty as background, I think
we are talking about apples and oranges. Yes your code will produce trades
only in 2002 with an optimized value for k (optimized in code from first
message), and I use other code at the present time to achieve similar
results. However, the basic question is whether k was optimized for the
entire dataset or just 2002. As far as I can tell it is for the entire
dataset, reflecting the fact that the Optimize function does not have a time
frame argument(s) and, therefore, no way to limit its operation to a specified
time window. As a result, I wondered if anyone had a workaround that would
force the Optimize function to only use data within a specified time
frame. One could, use brute force and manually change the number of bars
and time period loaded, but that is too awkward to be seriously
considered.--- In <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx,
"wavemechanic" <<FONT
size=2>wd78@x...>
wrote:>> ----- Original Message ----- > From: "DIMITRIS
TSOKAKIS" <<FONT
size=2>TSOKAKIS@x...>> To:
<<FONT
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>> Sent: Friday, September 12, 2003 12:48 PM> Subject:
[amibroker] Re: Optimize function>>> > Bill,>
> I have posted in the past the walk-forward optimization.> > Here
is the basic principle, for a restricted period optimization> >
[year2002 in the example]>> If I correctly understand,
optimization of k is still beingestablished on> the entire dataset,
rather than only on 2002 data. Right? If so,how would>
you restrict Optimize to operate only in 2002?>> > of a
Stochastic o/b, o/s system :> >> >
k=Optimize("k",40,30,50,10);> > d2002=DateNum()>=1020101 AND
DateNum()<1030101;> > LastTradingBar=(d2002==0 AND
Ref(d2002,-1))*DateNum();> > Buy=d2002*Cross(StochD(),k);> >
Sell=d2002*Cross(StochD(),70) OR DateNum()==LastTradingBar;> >>
> Hit now Optimize for> > *current stock> > *all
quotations> > AA will see only 2002 dates.> > It is
important to exit any open trade by the end of the testperiod,> >
else the last probable Open trade will last for ever !!> > The
solution is that{ OR DateNum()==LastTradingBar } statement.> >
Dimitris Tsokakis> > --- In <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx,
"wavemechanic" <<FONT
size=2>wd78@x...>wrote:>
> >> > > ----- Original Message ----- > > >
From: "Stephane Carrasset" <<A
href=""><FONT
size=2>nenapacwanfr@x...>>
> > To: <<A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>> > > Sent: Friday, September 12, 2003 11:55 AM>
> > Subject: [amibroker] Re: Optimize function> > >>
> >> > > > Bill,> > > >> > >
> do you mean if you Backtest for example NDX on the last 500bars>
> > > do you want optimize an indicator on the 500-400 bars??
thenkeep> > the> > > > optimized value on the
400-1 bars ??> > >> > > I was not thinking of that,
but your scenario is along the same> > lines and> > >
would be a another important option. I was actually thinking of>
> the problem> > > from 180 degrees around. Specifically,
for a dataset of, for> > example, 1000> > > bars optimize
only over the last 500 and display the equitycurve> > for
that> > > range. It is possible to only consider (and
display) the equity> > for a> > > specified number of
bars (e.g., the last 500 bars), but I don'tsee> > how to>
> > restrict optimization to those bars. Certainly not with
the> > available> > > arguments for Optimize.>
> >> > > >> > > > Stephane> >
> >> > > > > It is my understanding that the Optimize
function operateson> > all> > > > data.
So,> > > > > for example, if one is looking at equity for a
portion ofthe> > data> > > > (e.g.,> >
> > > Equity(0, 1, 100) Optimize still operates on all data.
Does> > anyone> > > > have a> > > >
> work-around that will force Optimize to only consider a> >
specified> > > > range of> > > > >
data?> > > > >> > > > > Thanks.>
> > > >> > > > > Bill> > >
>> > > >> > > >> > > > Send
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