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"I don't know whether AA's optimization process works like the
Optimize function in IB but suspect it might."
Bill,
There is a [probable] confusion here:
>From the definition in 4.40 users guide,
"With normal backtesting, scanning, exploration and comentary modes
the optimize function returns default value, so the above function
call returns default; "
In other words, a code
p=Optimize("p",40,10,50,10);
y=StochD(p);
Plot(y,"y",1,1);
would produce the graph of StochD(40) and nothing more.
"However, the basic question is whether k was optimized for the
entire dataset or just 2002."
The described code [as the older ref] does exactly this : It
optimizes k for the restricted period.
"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."
Since Optimize function does not have time frame arguments, there is
*another* way to limit its operation : Apply Optimization to the
specified time window and you have the required result. Try any AA
test and you will see.
"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."
The described codes do this job. You may disagree with the logic, but
the result is exactly the requested.
Some AFL functions/procedures are limited to a range of properties,
clealy exposed in the definitions. When we need something out of
these limitations, we have to use another way.
There was a similar discussion with variable periods. Some AFL
functions do accept variable period, some others dont. If we want a
variable per in EMA(C,per), we can not act directly, EMA does not
accept variable period. We have to find another, indirect way, to do
it.
You ask from Optimize function some results out of its [current]
definition . It is not possible. [Imagine the opposite !!!AFL would
become an unreliable set of functions !!!]
IMO, the only way to get a result through AFL is to follow the
definitions "mot a mot". Any other attempt would cause mistakes.
Sometimes the mistake is prevented by the AFL Error window, but not
always.
There is no code mistake in the lines
p=Optimize("p",40,10,50,10);
y=StochD(p);
Plot(y,"y",1,1);
but, dont expect from these lines an optimization procedure similar
to the OPTIMIZE button, it is N/A [yet]
I hope it is clear.
Thank you for the interesting dialogue, I have nothing more to add.
Dimitris Tsokakis
PS For "similar" IB procedures we may use for loops and practically
have the same results with optimization procedure. I have solved the
general problem, I think it may be applied to any case, but it would
be better to ask a specific question.
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, September 12, 2003 2:18 PM
> Subject: [amibroker] Re: Optimize function
>
>
> Bill,
>
> (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 whatever
> overwrites 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 the
> previous lines. The d2002*something will give something or 0.
> Consequently, when d2002 is true, the AA will read
> Buy=Cross(StochD(),k);
> Sell=Cross(StochD(),70);
> and when d2002 is false, the AA will read
> buy=0;
> sell=0;
> Make a scan for all quotations to see. The trades will be for 2002
> dates only.
> In other words, in order to optimize from datenum1 to datenum2, just
> define 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 amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
> >
> > ----- Original Message -----
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > 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 being
> established 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 test
> period,
> > > else the last probable Open trade will last for ever !!
> > > The solution is that{ OR DateNum()==LastTradingBar } statement.
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx>
> wrote:
> > > >
> > > > ----- Original Message -----
> > > > From: "Stephane Carrasset" <nenapacwanfr@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > 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 500
> bars
> > > > > do you want optimize an indicator on the 500-400 bars?? then
> keep
> > > 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 equity
> curve
> > > 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't
> see
> > > how to
> > > > restrict optimization to those bars. Certainly not with the
> > > available
> > > > arguments for Optimize.
> > > >
> > > > >
> > > > > Stephane
> > > > >
> > > > > > It is my understanding that the Optimize function operates
> on
> > > all
> > > > > data. So,
> > > > > > for example, if one is looking at equity for a portion of
> the
> > > 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
> > > > >
> > > > >
> > > > >
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>
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