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I studied the one you refer to but could not link it to what i had in
mind.
However I'll try again.
Thanks.
Willem Jan
-- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> --- In amibroker@xxxxxxxxxxxxxxx, "willem1940" <w.j.a.struyck@xxxx>
> wrote:
> > Picking up your "invitation" under PS I wondered if the
suggestion
> > below is "do-able" in AB.
>
> See my previous ref Re:Walk-forward optimization. You may define
> starting date, ending date, duration etc.
> >
> > 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.
>
> I am not a programmer either. I use AFL vehicle, it is very
> interesting for Stock analysis.
>
> > 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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