|
PureBytes Links
Trading Reference Links
|
<SPAN
class=909581303-20102003>sure, I plan to. I need to spend some time making it a
bit more user friendly<SPAN
class=744532303-20102003> though. it's a framework you can plug your
own buy/sell functions into, set equity feedback and other parameters, and
press Go. because you need to modify the code to use your own indicators etc, it
really does have to be explained somewhat.
<SPAN
class=909581303-20102003>
<SPAN
class=909581303-20102003>and instead of documenting it, I keep trying to get it
to turn a healthy profit on some indicator, any indicator, which mostly<SPAN
class=744532303-20102003> it stubbornly refuses to do. that in turn leads
me to spend time posting here on how this can be so...
<SPAN
class=909581303-20102003>
<SPAN
class=909581303-20102003>but once it's posted, I'd love your (and everyone's)
feedback, bug reports, ideas, etc. maybe the lack of performance is the result
of coding issues.
<SPAN
class=909581303-20102003>
<FONT
color=#0000ff>I'm curious though<SPAN
class=744532303-20102003>, what about my posting<SPAN
class=744532303-20102003> sounded promising to you? performance with this simple
EMAxEMA system bites, so it can't be that, and you and others seem to have
issues with the whole idea behind it. I'm not trying to chase you away or
anything, just wondering (:-).
<SPAN
class=909581303-20102003>
<SPAN
class=909581303-20102003>dave
<BLOCKQUOTE
>
This looks promising. Is your auto-optimization code something
you canshare with us?Thanks,Howard<SPAN
class=744532303-20102003><FONT color=#0000ff
size=2>
> I modified my
auto-optimization code so it can skip a selected number of> bars
between optimizations. the idea was to contrast re-optimizing every>
day> (what I've been calling auto-optimizing), with the more common
method of> optimizing up to some date, using those settings for a
while, then> optimizing again at some later date.> >
using a simple rule of switching long to short when one EMA crosses>
another> EMA, 1/1/95 to present, trading next day at avg price, $7
commission,> here's> what I found:> > trading the
NASDAQ Composite index:>
----------------------------------------------------> bars
skipped annual
return sharpe ratio>
----------------------------------------------------> 0 (every
day) 18.19%
.52> 21 (1
month) 16.63%
.47> 63 (3
months) 15.78%
.45> 252 (1
year) 17.23%
.49>
----------------------------------------------------> > >
trading the Russell 200 index:>
----------------------------------------------------> bars
skipped annual
return sharpe ratio>
----------------------------------------------------> 0 (every
day) 6.82%
.16> 21 (1
month) 3.82%
.04> 63 (3
months) 5.64%
.11> 252 (1
year) -1.23%
-.21>
----------------------------------------------------> > >
I'd interpret this as no radical difference. if anything, it favors>
optimizing constantly.> > CAVEATS:> this is too small a
sample to be anything like conclusive. there are other> other
meaningful performance measures besides annual return and sharpe>
ratio. this trading rule doesn't perform well enough in any of these>
circumstances to be very interesting.> >
dave
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|