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Keith,
your example is a mono-parametric trading system
[the only parameter is the period of MA]
Replace, in the mono-parametric example, your tading rules instead of
the StochD example.
It will looks like this
// A Hi-pass filter
START=DateNum()==1000530 ;
x=100;
EVENT=BarsSince(START)%x==0;
G=0;CountER=0;
for(K=1;K<=200;K=K+1)// let the MA period be from 1 to 200
{
// your trading rules
Buy = ROC(MA(C,K),1)>0;
Sell = ROC(MA(C,K),1)<0;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
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=1;K<=200;K=K+1)
{
// your trading rules
Buy = ROC(MA(C,K),1)>0;
Sell = ROC(MA(C,K),1)<0;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
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 = ROC(MA(C,KPASS),1)>0;
Sell = ROC(MA(C,KPASS),1)<0;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Plot(Kpass,"kpass",1,1);
Filter=1;
AddColumn((kpass),"Kpass");
The QQQ optimization would be
k=Optimize("k",1,1,200,1);
Buy = ROC(MA(C,K),1)>0;
Sell = ROC(MA(C,K),1)<0;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
>From Jan2000 till now the profits range is from +185% to -98%
The Inspection Points would give a +53% for the same period
[buy, sell, short, cover at +1Open, commission 0.25%]
Note here that my data begins the Jan3, 2000 and all the Equity study
is based on this fact.
Note also that the optimal k=1 for the great 99 days was exactly the
catastrophic parameter for my period [-98.66% !!]
To execute the research for more data, do not forget to change the
START=DateNum()==1000530 ;
to a new, about 6 months after the start of your data.
I do not have earlier data for QQQ.
I tried ^NDX from 1995 to now.
The optimization gave a range -99% to +2220%.
The Inspection Points were at +634%.
One interesting detail : The system was long from 30/12/1996 until
18/9/2000 [!!] in one single trade, profitable by +340%.
It was working from March96 until Xmas 96 with k=49 and, just after
Xmas, at the 26/12/1996 inspection, it "understood" that
it would be better to use k=181. It didnīt change this excellent
decision until 11/12/2000 .
The worse trade was a -7.3% [Jan-Feb 1996]
The system keeps on making profits after 2000 decline [nearly double
price the last 3 years] and it is more than 2x the total B&H for this
8-year period.
[Of course it could offer protection against the so many ruine
probabilities...]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Keith Bennett" <kbennett@xxxx>
wrote:
> Dave and Dimitris,
>
> Is it possible that Dimitri's InspectionPoints approach, or your
> Continuous Equity Feedback method could help in the following
> situation:
>
> My trade signals are generated by OB/OS indicators in conjunction
> with the underlying market trend. Market trend is determined either
> by MA crossovers or the one day ROC of a moving average. The
problem
> of course is what MA to use. One that worked well in 1997 for
example
> was pretty useless in 1999. This can be seen using the following
> simplified code where the MA has been optimized for each year.
>
> period =
> IIf(Year() == 1995, 105,
> IIf(Year() == 1996, 29,
> IIf(Year() == 1997, 143,
> IIf(Year() == 1998, 4,
> IIf(Year() == 1999, 1,
> IIf(Year() == 2000, 25,
> IIf(Year() == 2001, 150,
> IIf(Year() == 2002, 43,33))))))));
>
> Buy = ROC(MA(C,period),1)>0;
> Sell = ROC(MA(C,period),1)<0;
> Short=Sell;Cover=Buy;
>
> Run on QQQ with no margin it produces a net% profit of 2677%, but
> that is with perfect rear vision. I tried unsuccessfully to modify
> your code to handle this (must spend more time with the user guide)
> What do you think? Is it worth pursuing?
>
> Keith
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > while Demitris' was looking into InspectionPoints, I've been
> investigating
> > continuous equity feedback as a way of setting parameters for
> trading
> > indicators. where InspectionPoints test past performance every
> specified
> > number of days, the code below tests performance for this stock
and
> adjusts
> > parameter settings on every bar. it also skips the trade
completely
> if no
> > parameter combination was profitable. the performance metric used
is
> > smoothed return over the prior 3 years.
> >
> > results have been more mixed than I expected. for certain stocks,
> it works
> > quite while, for many others, not well at all. testing the NASDAQ
> 100 from
> > 1/1/94 to present, 51% of stocks made a profit, 42% lost, and 8%
> didn't
> > trade at all.
> >
> > since it does work very well on some stocks, one interesting next
> step would
> > be to trade it as a ranked portfolio, using past performance as
> > PositionScore. however, for PositionScore to have the effect of
> selecting
> > only stocks that trade profitably this way, there have to be
> significantly
> > more simultaneous entry signals than available positions. this
> requires
> > widening the universe of stocks examined well beyond the N100.
for
> other
> > systems I've done using that principle, I used the whole NASDAQ,
> but with
> > bar by bar optimization of each individual stock, this auto-
> optimization
> > system is quite slow. the N100 took somewhere upwards of 30
minutes
> on my
> > 800mHz PIII laptop, so running the whole NASDAQ as a scored
> portfolio is out
> > of reach for me I think.
> >
> > anyway, here's the code, for comments, bug finding, and food for
> thought.
> >
> > dave
> >
> > ===========================
> > // CONFIG
> > has_min_vol = (MA(v, 50) > 1000000) or (MarketID(1) == "Mutual
> Funds");
> > is_min_price_long = c > 1;
> > is_min_price_short = c > 5;
> > equity_lookback_bars = 252 * 3;
> > equity_lookback_smoothing = 5;
> >
> > // SIGNALS
> > best_profit = 0;
> > best_range = 0;
> > best_smoothing = 0;
> > for(range = 2; range <= 50; range++) {
> > for(smoothing = 2; smoothing <= 50; smoothing++) {
> > // calc indicator w those settings
> > stoD = StochD(range, smoothing, smoothing);
> > stoK = StochK(range, smoothing);
> > sig = stoD - stoK;
> > // calc buy/sell/short/cover w those settings
> > long_signal = Cross(sig, 0);
> > short_signal = Cross(0, sig);
> > buy = cover = long_signal;
> > sell = short = short_signal;
> > buy = buy and is_min_price_long and has_min_vol;
> > short = short and is_min_price_short and has_min_vol;
> > // calc performance w those settings
> > e = Equity(0, 0);
> > e_ref = Ref(e, -equity_lookback_bars);
> > profit = MA((e - e_ref) / e_ref,
> equity_lookback_smoothing) * 100;
> > // track settings w best performance and resulting
> performance
> > is_new_best = IIf(profit > best_profit, 1, 0);
> > best_profit = IIf(is_new_best, profit, best_profit);
> > best_range = IIf(is_new_best, range, best_range);
> > best_smoothing = IIf(is_new_best, smoothing,
> best_smoothing);
> > }
> > }
> >
> > // calc real signals w optimal settings
> > stoK =
> > MA(100*(C-LLV(L,best_range))/(HHV(H,best_range)-LLV
> (L,best_range)),best_smoo
> > thing);
> > stoD = MA(stoK, best_smoothing);
> > sig = stoD - stoK;
> >
> > // calc buy/sell/short/cover w optimal settings
> > long_signal = Cross(sig, 0);
> > short_signal = Cross(0, sig);
> > buy = cover = long_signal;
> > sell = short = short_signal;
> > buy = buy and is_min_price_long and has_min_vol;
> > short = short and is_min_price_short and has_min_vol;
> >
> > // don't buy or short unless profitable
> > buy = buy and best_profit > 0;
> > short = short and best_profit > 0;
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