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nand,
I send the fig. as attachments.
If you receive in your mail.box this page, you will see them together.
YHOO page does not store anymore attachments.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx> wrote:
> Hi Dimitris,
> where are the figures posted? I am following your ideas
> here with great interest.
>
> nand
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx>
> wrote:
> > The wild wrapping demon was there, once again, to cut a valuable
> line at the end of the loop
> > G=IIf(E11==G,0,G);
> > and take it to his dusty lair !!
> > Sometimes two Equity values are identical. For k=30 and for k=40
we
> may have E[30]=E[40]=the highest E at the Inspection Point.
> > The code, without the missing line, would then ADD the kappas and
> find the best choice between 30<=k<=50 is the k=70 !!!!!
> > Dimitris Tsokakis
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, October 10, 2003 11:03 AM
> > Subject: The Inspection Points and the Hi-pass Filter [Equity
> application]
> >
> >
> > Suppose now a mono-parametric trading system optimization
> >
> > k=Optimize("k",30,30,50,5);
> > Buy=Cross(StochD(),K);
> > Sell=Cross(50,StochD());
> >
> > We search, looking at the past performance, for an optimal
solution.
> > Our hope is to apply this optimal for the next trading movements
> and make similar profits.
> > We all know, however, that the market changes and new parameter
> values give a better performance.
> > For MSFT the optimizations are
> > In Fig. 1 3/1/2000 till 31/12/2001
> > In Fig. 2 3/1/2000 till 31/12/2002
> > In Fig. 3 3/1/2000 till 3/1/2003
> > If we decide by the end of 2001 to use the two-year optimization
of
> Fig. 1, we should trade the stock using k=50.
> > But, another parameter value, k=30, was the best for 2002 and
2003
> and so on.
> > The situation is more complicated in a multi-parametric trading
> system used frequently in real conditions by the
> > mechanical system traders.
> > If the optimal result comes out of 5 parameters, we have to go
back
> many years and
> > check the robustness of this optimal solution.
> > Here is a drawback of this method, 3 or 5 years ago the
conditions
> of the market were different.
> > The market itself may control the parameters of a system.
> > This feedback relation may be active with the Inspection Points
and
> the Hi-pass filter.
> > The code will establish first some Inspection Points.[fixed or
> variable].
> > It will check all the parametric Equity values, select the
highest,
> find the respective K and apply it for the next trading period.
> > [Another idea is to use the average of the top3 Equities ]
> > The result will be a variable K, closely related to the market
> performance.
> > The sure thing is that we shall avoid the troubles of the worst
> optimization case. Even if the worse scenario is selected
> > for a period, it will fail right to the next inspection and will
be
> substituted immediately !!
> > Of course, since this type of inspection is not emotional, the
> rejected K may be selected again two years later.
> > It is the market that dictates the rules, not our [defective]
> emotions or bad memories.
> > The Equity controlled variable K comes from the code
> >
> > // InspectionPoints/Hi-pass filter applied to a monoperametric
> trading system
> > START=DateNum()==1000530 ;
> > x=101;
> > EVENT=BarsSince(START)%x==0;// Inspect every x bars after the
START
> date
> > G=0;CountER=0;
> > for(K=30;K<=50;K=K+5)
> > {
> > Buy=Cross(StochD(),K);
> > Sell=Cross(50,StochD());
> > E1=Equity(1,0);
> > E11=ValueWhen(EVENT,E1);T11=ValueWhen(EVENT,Cum(1));
> > G=IIf(G>E11,G,E11);CountER=CountER+1;
> > PG=100*(-1+E1/E11);
> > }
> > CountER=0;Kpass=0;HIPASS=0;
> > for(K=30;K<=50;K=K+5)
> > {
> > Buy=Cross(StochD(),K);
> > Sell=Cross(50,StochD());
> > E1=Equity(1,0);
> > E11=ValueWhen(EVENT,E1);CountER=CountER+1;
> > PASS=IIf(E11==G,E1,0);
> > HIPASS=HIPASS+PASS;GAIN=100*(-1+HIPASS/G);
> > K1=IIf(E11==G,K,0);Kpass=Kpass+K1;
> > G=IIf(E11==G,0,G);
> >
> > }
> > // Kpass trading application
> > Buy=Cross(StochD(),Kpass);
> > Sell=Cross(50,StochD());
> >
> > The result is in Fig.4
> > The optimization was giving from +3.85% to -33.19%, the
Inspection
> Points were close to the optimal
> > and far from the worst scenario.
> > The Inspection every 101 bars was arbitrarily selected for the
> example.
> > A x research may give much better results, as you see at Fig. 5.
> > In this example x was fixed from the beginning.
> > For a more sensitive approach, x may be conditional and "feel"
the
> main market movements,
> > although this subject is beyond the scope of this text.
> > The outline of this method is more important :
> > We may have a REALISTIC use of optimization, close to the market
> behavior.
> > Note also that, in some cases, the Inspection Points method
> results were better than the optimal.
> > PETM, for example, was in the profits range +174%[K=50] to +360%
> [K=35]
> > The Inspection Points method was at +409% .
> > The explanation is very interesting : The automatic K selection
> used the worse K=50 for the first 5 months
> > and then the optimal K=35 for the rest of the period.!! Of course
> the method "understood" to use K=35 from
> > Oct2000 [K=35 is the optimal we know now...] and, on the other
> side, will not hesitate to re-use K=50 whenever
> > the future market conditions suggest it.
> > Dimitris Tsokakis
> >
> >
> >
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, October 09, 2003 12:36 PM
> > Subject: The Inspection Points and the Hi-pass Filter
> >
> >
> > The
> >
> > Counter=0;
> > for(K=30;K<100;K=K+20)
> > {
> > E1=MA(C,k);
> > CountER=CountER+1;
> > Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);
> > }
> >
> > will plot in IB the group of simple moving averages MA(C,30), MA
> (C,50),MA(C,70) and MA(C,90).
> > My data begins on Jan3, 2000.
> > After some reasonable period the usual indicators are defined and
> may be compared.
> > Let us select as a starting date the end of May2000.
> > START=DateNum()==1000530 ;
> > In T/A studies we use various parameters, not always the same. An
MA
> (C,k) may give good results for k=30, but,
> > as the market character changes, k=50 may be more expressive, one
> year later. For this reason we re-optimize
> > parameters from time to time, hoping to see better performance in
> the [unknown] next days/weeks/months/years
> > according to the used timeframe.
> > How about doing this job automatically ?
> > One method is to establish the Inspection Points.
> > For example, the
> >
> > x=101;
> > START=DateNum()==1000530 ;
> > EVENT=BarsSince(START)%x==0;
> > PlotShapes(shapeCircle*EVENT,colorRed);
> >
> > will establish an Inspection [RED] Point every 101 bars after
the
> START of May30, 2000.
> > The AFL inspector will check the parameters under his criteria at
> the inspection points, will take a decision and will ask to apply
> this decision until the next inspection.
> > Suppose the criterion is to ride on the highest MA and use this
MA
> for the next 101 bars.
> > The procedure should be repeated at all Inspection Points.
> > The reslut will be a variable parameter k with a market feedback
> every 101 bars.
> > The Hi-pass filter gives a solution to this request.
> >
> > // A Hi-pass filter at the Inspection Points
> > x=101;// the inspection frequency
> > START=DateNum()==1000530 ;
> > EVENT=BarsSince(START)%x==0;// the inspection event
> > PlotShapes(shapeCircle*EVENT,colorRed);// puts a red dot at the
> inspection points
> > G=0;
> > CountER=0;
> > for(K=30;K<100;K=K+20)
> > {
> > E1=MA(C,k);// the moving average value for the various k
> > E11=ValueWhen(EVENT,E1);// the MA value at the inspection point
> > T11=ValueWhen(EVENT,Cum(1));// the inspection time
> > G=IIf(G>E11,G,E11);
> > CountER=CountER+1;
> > Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);
> > }
> > Plot(G,"\nG",colorBlue,8);// this line remembers the highest MA
> until the next inspection
> > CountER=0;Kpass=0;HIPASS=0;
> > for(K=30;K<100;K=K+20)
> > {
> > E1=MA(C,k);
> > E11=ValueWhen(EVENT,E1);CountER=CountER+1;
> > PASS=IIf(E11==G,E1,0);
> > HIPASS=HIPASS+PASS;
> > K1=IIf(E11==G,K,0);Kpass=Kpass+K1;
> > }
> > Plot(HIPASS,"\nHI-PASS [k="+WriteVal(kpass,1.0)
> +"]",colorBlack,8);// the final Hi-pass line
> > // Plot(Kpass,"Kpass",colorYellow,styleOwnScale);
> > GraphZOrder=0;
> >
> > The code lets the highest MA [at the inspection point] to pass
the
> inspection and be in use until the next red dot.
> > In the att. gif, at point P1 the green [90-bar] MA was the
> highest. The Hi-pass [dotted black] line keeps this MA until point
> > P2, no matter if the green line was lower a few days after the
> inspection P1.
> > At P2 the market character has changed to bullish.
> > The 30-bar [white] MA is now the highest and the the new Hi-pass
> line will follow it for the next 101 bars.
> > The blue G line gives the ground level, ie the value of the last
> inspection.
> > You may see easier the final Hi-pass line by changing
> GraphZOrder=0; to GraphZOrder=1;
> > Uncomment the // Plot(Kpass,"Kpass",colorYellow,styleOwnScale);
> line to see the K values in the past history of the stock.
> > The inspection method is objective, free from psychological
> constraints and helps to hold a decision for the next x trading
days.
> > [this is more difficult than the code itself !!]
> > The inspection frequency may be fixed or variable .
> > [Since we usually Buy at +1 Open, we may re-inspect before
> every "Buy"...]
> > One interesting application is the parametric Equity .
> > If we ride on the highest equity line and we have the inspection
> feedback, we may avoid the known dangers of overptimization
> > and make some more low-risk money.
> > Dimitris Tsokakis
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