|
PureBytes Links
Trading Reference Links
|
Hi Dave –
I appreciate your postings and am looking
forward to your auto-optimizer.
Howard
-----Original Message-----
From: Dave Merrill
[mailto:dmerrill@xxxxxxx]
Sent: Sunday, October
19, 2003 <span
>8:31 PM<font size=2
face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker]
performance with periodic optimization vs optimizing every day
<span
>sure, I plan to.
I need to spend some time making it a bit more user friendly 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
>and instead of
documenting it, I keep trying to get it to turn a healthy profit on some
indicator, any indicator, which mostly it stubbornly refuses to do. that in
turn leads me to spend time posting here on how this can be so...
<span
>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
>I'm curious
though, what about my posting 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
>dave
This looks promising. Is your auto-optimization code something
you can<span
>
share with us?
Thanks,
Howard
> I modified my auto-optimization code so it can skip a
selected number of<span
>
> 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<font
size=2 face="Courier New"> to present, trading
next day at avg price, $7 commission,<font size=2
face="Courier New">
> 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
<font size=3
face="Times New Roman">
<font size=2
color="#003399" face="Times New Roman">Send
BUG REPORTS to <span
>bugs@xxxxxxxxxxxxx<font size=2
face="Courier New">
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: <font
size=2 face="Courier New">amiquote@xxxxxxxxxxxxxxx<font
size=2 face="Courier New"> <font
size=2 face="Courier New">
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of
Yahoo! Groups is subject to the Yahoo!
Terms of Service.
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.
|