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Pal,
AFL stucture is quite comprehensive and the execution is fast.
I hope you are well informed about the AddToComposite() function and
the recent GetCategorySymbols().
They are almost unique in the T/A spacetime, scientifically accurate
and, above all, very fast.
Their use will give you the opportunity to examine your trading rules
not only for individuals but for the whole market also.
A well-tuned system gives interesting results when it handles the
market as a whole.
The N100 market is directional enough [the last 4 years I study it]
and will confirm your criteria. Many times the composite indicator
prooved to have better performance than the respective individuals.
So, on your way to convert your code[s], try the composites.
If, for example, you have an individual indicator Pal1 and a cross
condition Cond1, then you may create the
AddToComposite(Pal1,"~Pal1","C");
AddtoComposite(1,"~count","v");
buy=0;
and then study the properties of the
CompositePal1=foreign("~Pal1","C")/Foreign("~count","v");
We hope to see your codes soon.
For any help, please do not hesitate to ask detailed questions. Many
people here spend their precious time on this purpose and the level
of the list is, IMHO, fairly advanced.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> Hi,
>
> I'm in the process of converting all of my code in other software
> programs into AB, to speed up the analysis. Eventhough, my system
is
> quite good, it is by no means perfect. AB and its forum has helped
> me a lot in the process of perfecting it. A lot of it is to do
with
> the code I got from AB users and AFL library....
>
> Regards,
>
> Pal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > <I have solved the universal market prediction problem for all
> markets
> > for all time.>
> >
> > No kidding...
> >
> > Pal... Your talents might be wasted here. This is an AB related
> forum
> > where the rest of us are focused upon AB and its capabilities.
> >
> > Unlike you, I have NOT solved the universal market predition
problem
> > for all markets for all time, and your previous posts don't seem
to
> > indicate that you are willing to share your secrets related to
this
> > interesting subject (other than it is moving average based).
> >
> > As I recall, you started this thread out by hero worshiping Larry
> > Williams, only to make an amazing revelation that you have this
> > universally capable predictive system of your own in place.
> >
> > I hope you are getting something positive out of this... (I'm
not).
> >
> > Phsst
> > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
> wrote:
> > > Hi,
> > >
> > > > If I discover a good system to trade the S&P futures, I will
> > > certainly not
> > > > toss it aside if it performs poorly on Soy Beans. Generalize
> this
> > > to any
> > > > two markets. It only takes a few good trading system /
market
> > > combinations
> > > > to be a winning trader. There is no need to solve the
> universal
> > > market
> > > > prediction problem for all markets for all time.
> > >
> > > Maybe you would not toss it away, but I would. I have solved
> the
> > > universal market prediction problem for all markets for all
time.
> > >
> > > > To use the breakout system you mention specifically, breakout
> > > systems used
> > > > to work very well on futures; they now work poorly on
futures;
> they
> > > do not
> > > > work at all on most stocks. Please code up an example
breakout
> > > system in
> > > > afl, run it on futures data from 1970 on and on stock data.
If
> you
> > > find
> > > > something good, report it back to us all.
> > >
> > > I have used breakout systems (not the specific one in the
> example)
> > > successfully regardless of the type of market and I don't have
> time
> > > to do the experiment you suggested...
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > > >
> > > >
> > > > -----Original Message-----
> > > > From: palsanand [mailto:palsanand@x...]
> > > > Sent: Monday, October 20, 2003 8:43 AM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: Objective functions (was RE: [amibroker] Re:
> Optimization -
> > > - again)
> > > >
> > > >
> > > >
> > > > Hi,
> > > >
> > > > In my mind, curve fitting means either using different
systems
> for
> > > > different markets, or using different parameters of the same
> system
> > > > for different markets, and this is not valid technical
analysis.
> > > >
> > > > Historical testing via computer means feeding a set of
numbers
> > > (open,
> > > > ow, close prices), and receiving back an output set of rules
> that
> > > > hopefully will make money trading. The numbers themselves do
> not
> > > have
> > > > names, and the computer doesn't recognize the difference
> > > > between 'Beans' or 'Bonds'. For a system to be valid, it must
> work
> > > on
> > > > all numbers tested, not just those with certain names and not
> > > others
> > > > with different names.
> > > >
> > > > If a system works on Bonds and not on Beans, this system is
> curve
> > > > fitted over a specific set of data (Bonds) and it loses all
> > > > statistical validity. To believe it will work in the future
as
> it
> > > has
> > > > worked in the past is very dangerous.
> > > >
> > > > Also, different markets do not have different personalities.
> Again,
> > > > they are reduced to just being a set of numbers or a bunch of
> > > > algorithms. If a channel breakout (or any other) method is
> > > > successful, then the same parameter must be used for all the
> > > markets,
> > > > for the same reasons as above. You cannot use a 20-day
channel
> in
> > > > Silver and a 40-day channel in Corn, this also falls under
the
> > > crime
> > > > of curve fitting.
> > > >
> > > > I therefore take exception to any system, that either only
> trades
> > > one
> > > > specific market or group of markets, or trades different
> markets
> > > > using different parameters or rules of the same system. All
> this
> > > > proves is what has worked best in the past, and this will
> usually
> > > not
> > > > continue to work in the future, as there is no correlation
> under
> > > this
> > > > scenario.
> > > >
> > > > This is not specifically written to condemn vendors. This is
a
> > > > clarification of my definitions of 'optimizing' and 'curve
> > > fitting',
> > > > and a warning as to what types of trading systems may be
valid
> and
> > > > what to stay away from.
> > > >
> > > > Regards,
> > > >
> > > > Pal
> > > >
> > > >
> > > >
> > > > <<<<<<<<< SNIP >>>>>>>>>>>>>
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