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Hi Lou,
Just guessing here, I have not really tried to
understand your system, but...I dont think you want to keep track of 2 different
equities, x and y. I made some quick changes, see if this is what you were
trying to do...
Steve
<FONT face=Arial
size=2>***************************************
PositionSize = 2000;
//range.bestequity = 0;xbestrange =
0;ybestrange = 0;
// optimization loopfor( xrange = 5; xrange
< 17; xrange = (xrange + 1) ){ // optimization
loop for( yrange = 4; yrange < 19; yrange = (yrange + 1)
) { // spot for z score
code ZScore=(Close-MA(Close,xrange))/StDev(Close,yrange);// 13
11 zLive = MA(zscore,4); zsig = MA(MA(zscore,4),
3);
Buy = Cross(Zlive,
zsig); Sell = IIf(zlive < (zsig ), 1, 0);
Le = LastValue( Equity()
); if( Le > bestequity
) { bestequity =
Le; xbestrange = xrange; ybestrange =
yrange; } }}
Filter = BarIndex() == BarCount - 1;AddColumn(
xbestrange, "xBest range" );AddColumn( ybestrange, "yBest range"
);AddColumn( Buy, "buy" );AddColumn( Sell, "sell" );PositionSize =
2000;
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Lou
H
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">AMI Group
Sent: Sunday, October 05, 2003 9:38
AM
Subject: [amibroker] Nested Optimizing
Loops
I'm having trouble getting these loops to work
properly. Can anyone point out the error(s)?
Thanks
lou
<FONT
size=2>------------------------------------------------
PositionSize = 2000<FONT
size=1>;
//range.
xbestequity = 0;
xbestrange = 0;
// optimization loop<FONT
size=1>
<FONT
color=#800000 size=1>for( xrange = <FONT
face="Courier New" color=#ff00ff size=1>5; xrange <
17; xrange = (xrange +
1) )
{
//----------------------------------------------------------------------------------------------------<FONT
size=1>
// spot for second loop<FONT
face="Courier New" size=1>
ybestequity = <FONT
color=#ff00ff size=1>0<FONT
face="Times New Roman">;
ybestrange = <FONT
color=#ff00ff size=1>0;
// optimization loop<FONT
size=1>
<FONT
color=#800000 size=1>for( yrange = <FONT
face="Courier New" color=#ff00ff size=1>4; yrange <
19; yrange = (yrange +
1) )
{
//
---------------------------------------------------------------------------------------------<FONT
size=1>
// spot for z score code<FONT
face="Courier New" size=1>
<FONT
size=1>ZScore=(Close-MA<FONT
size=1>(Close,xrange))/<FONT color=#0000ff
size=1>StDev(Close,yrange);<FONT
color=#008000 size=1>// 13 11<FONT
size=1>
zLive = <FONT
color=#0000ff size=1>MA(zscore,<FONT color=#ff00ff
size=1>4);
zsig = <FONT
color=#0000ff size=1>MA(<FONT color=#0000ff
size=1>MA(zscore,<FONT color=#ff00ff
size=1>4), 3<FONT
size=1>);
Buy<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>Cross(Zlive,
zsig);
Sell<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>IIf(zlive < (zsig ), <FONT
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>0);
<FONT color=#008000
size=1>
//
---------------------------------------------------------------------------------------------<FONT
size=1>
Le =
LastValue( <FONT
color=#0000ff size=1>Equity() );
<FONT
color=#800000 size=1>if( Le > ybestequity )
{
ybestequity =
Le;
ybestrange =
yrange;
}
}
yrange =
ybestrange;
//----------------------------------------------------------------------------------------------------<FONT
size=1>
<FONT
size=1>ZScore=(Close-MA<FONT
size=1>(Close,<FONT face="Courier New"
size=1>xrange))/<FONT
color=#0000ff size=1>StDev<FONT
size=1>(Close,<FONT face="Courier New"
size=1>yrange<FONT
face="Times New Roman">);
zLive = <FONT
color=#0000ff size=1>MA(zscore,<FONT color=#ff00ff
size=1>4);
zsig = <FONT
color=#0000ff size=1>MA(<FONT color=#0000ff
size=1>MA(zscore,<FONT color=#ff00ff
size=1>4), 3<FONT
size=1>);
Buy<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>Cross(Zlive,
zsig);
Sell<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>IIf(zlive < (zsig ), <FONT
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>0);
Le = <FONT color=#0000ff
size=1>LastValue( <FONT color=#0000ff
size=1>Equity() );
if( Le >
xbestequity )
{
xbestequity = Le;
xbestrange = xrange;
}
}
xrange = xbestrange;
ZScore=(Close-MA<FONT
size=1>(Close,xrange<FONT
size=1>))/StDev<FONT
size=1>(Close,yrange<FONT
size=1>);
zLive = MA<FONT
size=1>(zscore,4);
zsig = MA<FONT
size=1>(MA<FONT
size=1>(zscore,4),
3);
Buy = Cross<FONT
size=1>(Zlive, zsig);
Sell = IIf(zlive
< (zsig ), 1,
0);
//Buy =
ExRem(Buy, Sell);<FONT face="Courier New" color=#008000
size=1>
//Sell =
ExRem(Sell, Buy);
Filter = BarIndex<FONT
size=1>() == BarCount - 1<FONT
size=1>;
AddColumn( <FONT face="Courier New"
size=1>xbestrange, <FONT color=#ff00ff
size=1>"x<FONT
color=#ff00ff size=1>Best range" );<FONT
color=#0000ff size=1>
AddColumn( <FONT face="Courier New"
size=1>ybestrange, <FONT color=#ff00ff
size=1>"y<FONT
color=#ff00ff size=1>Best range" );<FONT
color=#0000ff size=1>
AddColumn( <FONT face="Courier New"
size=1>Buy, <FONT color=#ff00ff
size=1>"buy<FONT
color=#ff00ff size=1>" );<FONT color=#0000ff
size=1>
AddColumn( <FONT face="Courier New"
size=1>Sell, <FONT color=#ff00ff
size=1>"sell<FONT
color=#ff00ff size=1>" );
PositionSize = 2000<FONT
size=1>;
//range.
xbestequity = 0;
xbestrange = 0;
// optimization loop<FONT
size=1>
<FONT
color=#800000 size=1>for( xrange = <FONT
face="Courier New" color=#ff00ff size=1>5; xrange <
17; xrange = (xrange +
1) )
{
//----------------------------------------------------------------------------------------------------<FONT
size=1>
// spot for second loop<FONT
face="Courier New" size=1>
ybestequity = <FONT
color=#ff00ff size=1>0<FONT
face="Times New Roman">;
ybestrange = <FONT
color=#ff00ff size=1>0;
// optimization loop<FONT
size=1>
<FONT
color=#800000 size=1>for( yrange = <FONT
face="Courier New" color=#ff00ff size=1>4; yrange <
19; yrange = (yrange +
1) )
{
//
---------------------------------------------------------------------------------------------<FONT
size=1>
// spot for z score code<FONT
face="Courier New" size=1>
<FONT
size=1>ZScore=(Close-MA<FONT
size=1>(Close,xrange))/<FONT color=#0000ff
size=1>StDev(Close,yrange);<FONT
color=#008000 size=1>// 13 11<FONT
size=1>
zLive = <FONT
color=#0000ff size=1>MA(zscore,<FONT color=#ff00ff
size=1>4);
zsig = <FONT
color=#0000ff size=1>MA(<FONT color=#0000ff
size=1>MA(zscore,<FONT color=#ff00ff
size=1>4), 3<FONT
size=1>);
Buy<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>Cross(Zlive,
zsig);
Sell<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>IIf(zlive < (zsig ), <FONT
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>0);
<FONT color=#008000
size=1>
//
---------------------------------------------------------------------------------------------<FONT
size=1>
Le =
LastValue( <FONT
color=#0000ff size=1>Equity() );
<FONT
color=#800000 size=1>if( Le > ybestequity )
{
ybestequity =
Le;
ybestrange =
yrange;
}
}
yrange =
ybestrange;
//----------------------------------------------------------------------------------------------------<FONT
size=1>
<FONT
size=1>ZScore=(Close-MA<FONT
size=1>(Close,<FONT face="Courier New"
size=1>xrange))/<FONT
color=#0000ff size=1>StDev<FONT
size=1>(Close,<FONT face="Courier New"
size=1>yrange<FONT
face="Times New Roman">);
zLive = <FONT
color=#0000ff size=1>MA(zscore,<FONT color=#ff00ff
size=1>4);
zsig = <FONT
color=#0000ff size=1>MA(<FONT color=#0000ff
size=1>MA(zscore,<FONT color=#ff00ff
size=1>4), 3<FONT
size=1>);
Buy<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>Cross(Zlive,
zsig);
Sell<FONT
face="Times New Roman"> = <FONT
color=#0000ff size=1>IIf(zlive < (zsig ), <FONT
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>0);
Le = <FONT color=#0000ff
size=1>LastValue( <FONT color=#0000ff
size=1>Equity() );
if( Le >
xbestequity )
{
xbestequity = Le;
xbestrange = xrange;
}
}
xrange = xbestrange;
ZScore=(Close-MA<FONT
size=1>(Close,xrange<FONT
size=1>))/StDev<FONT
size=1>(Close,yrange<FONT
size=1>);
zLive = MA<FONT
size=1>(zscore,4);
zsig = MA<FONT
size=1>(MA<FONT
size=1>(zscore,4),
3);
Buy = Cross<FONT
size=1>(Zlive, zsig);
Sell = IIf(zlive
< (zsig ), 1,
0);
//Buy =
ExRem(Buy, Sell);<FONT face="Courier New" color=#008000
size=1>
//Sell =
ExRem(Sell, Buy);
Filter = BarIndex<FONT
size=1>() == BarCount - 1<FONT
size=1>;
AddColumn( <FONT face="Courier New"
size=1>xbestrange, <FONT color=#ff00ff
size=1>"x<FONT
color=#ff00ff size=1>Best range" );<FONT
color=#0000ff size=1>
AddColumn( <FONT face="Courier New"
size=1>ybestrange, <FONT color=#ff00ff
size=1>"y<FONT
color=#ff00ff size=1>Best range" );<FONT
color=#0000ff size=1>
AddColumn( <FONT face="Courier New"
size=1>Buy, <FONT color=#ff00ff
size=1>"buy<FONT
color=#ff00ff size=1>" );<FONT color=#0000ff
size=1>
AddColumn( <FONT face="Courier New"
size=1>Sell, <FONT color=#ff00ff
size=1>"sell<FONT
color=#ff00ff size=1>" );Send
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