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Picking up your "invitation" under PS I wondered if the suggestion
below is "do-able" in AB.
I have studied the earlier exchange of messages on walk-forward
methods but from the contenst I could not construct the way I carry
out the walk-forward exercise; trying to imitate as much as possible
the reality.
The sequence I follow is:
- establish the period for the optimization in nr of bars
(period)
- set the range to the point in time where the first
optimization should end say one week from now: (endtime)
- optimize
- place parameters in formula
- move the range an agreed number of bars (bars) nearer the
last bar in the system (endtime - bars)
- backtest for this period
- copy the results to Excell
- set the range to the point in time where the second
optimization should being (endtime - bars)
- optimize
- place parameters in formula
- move the range again an agreed number of bars nearer the last
bar in the system (endtime - bars - bars)
- backtest for this period
- copy the results to Excell
- set the range to the point in time where the third
optimization should being endtime - bars - bars)
- optimize
- etc.
Subsequently in Excell I combine the entries in one trading track
record by deleting the overlap in time leaving every time the last
entries, so the true result of the day after the op[timization
finished.
As you can imagine this is tedious work and of course I wondered if
with the new functions in AB this can be done automatically.
Unfortunately I am not a programmer otherwise I would give it a try.
Willem Jan
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> "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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