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We shall see now a typical 2-parametic optimization
procedure.
I have placed AMZN, BBBY, CPWR, IDPH, MSFT and PTEN in
WatchList6 to examine the
<FONT
size=2>BuyLEVEL=Optimize("BL",20,20,45,5);SellLEVEL=Optimize("SL",60,60,85,5);Buy=Cross(StochD(),BuyLEVEL);Sell=Cross(SellLEVEL,StochD());
The test period was from Jan2000 till now, buy/sell at +1Open,
commission 0.25%, all stops disabled.
For the whole List, the profits distribution was from
-76%[IDPH, 35, 65] to +344%[CPWR, 35, 60]For the most profitable CPWR, the
profits distribution was from 13.52% [CPWR, 45, 70] TO +344.17% [CPWR, 35,
60]
The average profit for the whole WL would vary from +7% to
+73%, with equal initial equities for the 6 stocks.
The IP method will define 9 inspection points and trade the
top equity stock between two cascade IPs.
In AA terms, one should execute one optimization per IP,
see the optimals
IP0, 30/5/2000 #1, 20, 70
IP1, 20/10/2000 #3, 45, 85IP2,
19/3/2001 #2, 40, 80IP3,
10/8/2001 #2, 40, 80IP4,
10/1/2002 #2, 40, 80IP5,
6/6/2002 #2, 40, 80IP6, 29/10/2002
#2, 35, 80IP7, 26/3/2003 #2, 35, 80IP8,
19/8/2003 #2, 35, 60
and then trade the respective # per period to see the
final result.
This procedure may be available in Indicator builder
with
// Inspection points for a 2-parametric trading
system
<FONT
face="Times New Roman">START=DateNum()==1000530
;per=101;EVENT=BarsSince(START)%per==0;EXIT=Ref(EVENT,1);Plot(10000,"",Cum(1)%2,1);Plot(0,"",1,styleNoLine);Counter=Cum(EVENT)%10;shape=IIf(Counter==1,shapeDigit0,IIf(Counter==2
,shapeDigit1,IIf(Counter==3 ,shapeDigit2,IIf(Counter==4
,shapeDigit3,IIf(Counter==5 ,shapeDigit4,IIf(Counter==6
,shapeDigit5,IIf(Counter==7 ,shapeDigit6,IIf(Counter==8
,shapeDigit7,IIf(Counter==9
,shapeDigit8,shapeDigit9)))))))));PlotShapes(shape*EVENT,colorIndigo);G=0;NUM=6;list
= GetCategorySymbols( categoryWatchlist, NUM );for( i = 0; ( sym =
StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global
Sell;for(SellLevel=60;SellLevel<90;SellLevel=SellLevel+5){for(BuyLevel=20;BuyLevel<50;BuyLevel=BuyLevel+5){Buy=Cross(StochD(),BuyLEVEL);Sell=Cross(SellLEVEL,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}}}F=0;list
= GetCategorySymbols( categoryWatchlist, NUM );for( i = 0; ( sym =
StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global
Sell;for(SellLevel=60;SellLevel<90;SellLevel=SellLevel+5){for(BuyLevel=20;BuyLevel<50;BuyLevel=BuyLevel+5){Buy=Cross(StochD(),BuyLEVEL)
;Sell=Cross(SellLEVEL,StochD())
;E1=Equity(1,0);E11=ValueWhen(EVENT,E1);EE=IIf(E11==G,E1,0);G=IIf(E11==G,0,G);F=F+EE;}}}D=0;SLpass=0;BLpass=0;list
= GetCategorySymbols( categoryWatchlist, NUM );for( i = 0; ( sym =
StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global
Sell;for(SellLevel=60;SellLevel<90;SellLevel=SellLevel+5){for(BuyLevel=20;BuyLevel<50;BuyLevel=BuyLevel+5){Buy=Cross(StochD(),BuyLEVEL);Sell=Cross(SellLEVEL,StochD());E1=Equity(1,0);D1=IIf(E1==F,I,0);SL1=IIf(E1==F,SellLevel,0);BL1=IIf(E1==F,BuyLevel,0);d=d+d1;SLpass=SLpass+SL1;BLpass=BLpass+BL1;}}}STEP=IIf(EVENT,F-Ref(F,-1),0);T=Cum(STEP);Changes=Cum(D!=Ref(D,-1));SettingsCommission=0.25/100;FINAL=(F-T)*(1-2*Settingscommission*Changes);Plot(FINAL,"\n"+WriteIf(EVENT,"*","")+"[#"+WriteVal(d,1.0)+",
BL="+WriteVal(BLpass,1.0)+",
SL="+WriteVal(SLpass,1.0)+"]\n"+Date(),IIf(EVENT,colorRed,colorBlack),8);//
The individual CRWR
EquitiesCountER=0;SetForeign("CPWR",True,True);for(SellLevel=60;SellLevel<90;SellLevel=SellLevel+5){for(BuyLevel=20;BuyLevel<50;BuyLevel=BuyLevel+5){Buy=Cross(StochD(),BuyLEVEL);Sell=Cross(SellLEVEL,StochD());E1=Equity(1,0);CountER=CountER+1;//
Plot(E1,"\n["+WriteVal(BuyLevel,1.0)+",
"+WriteVal(SellLevel,1.0)+"]",35+CountER%5,1);}}
<FONT
face="Times New Roman">
The code uses CPWR
from 19/03/2001 continuously and changes the BuyLevel, SellLevel for better
performance.
To have a visual
experience how it works, take a full page pane and uncomment the last line //
Plot(E1,...
to see the bunch of
CPWR equity lines for various BuyLevel, SellLevel. Since CPWR is the favorite
for the last 7 IPs, see how the code selects
automatically
the optimal combination.
The most important
[for the dangers of optimization] : The catastrophic stock of this WL, #3 IDPH
was the optimal back on 20/10/2000 !!
The IPs followed this
local champion up to 19/3/2001 and never touch it again.
An IDPH fan could
probably stay more and suffer from severe losses.
The Oct2000 picture
had [IDPH, 45, 85] with the great +124%, by far the optimal compared to the
+33%, +2%, -16%, -22% and -56% of the rest WL members.
The opinion for the
"repetition of local profits" is quite expensive and may cause great damage for
the fanatics...
Dimitris
Tsokakis
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, October 21, 2003 3:08 PM
Subject: Inspection Points, Hi-pass Equity for the whole Market,
part III
The Inspection Points theory becomes very interesting when
applied to profitable trading systems.
The system
// System xII
<FONT
size=2>STARTBUY=DateNum()==1020222;STARTSELL=DateNum()==1020308;X=26;Y=24;Buy=BarsSince(STARTBuy)%X==0;Sell=BarsSince(STARTSell)%Y==0;Short=Sell;Cover=Buy;
is profitable for the N100 database.[+346% when
buy/sell/short/cover at +1Open, commission 0.25%, all stops disabled, initial
equity=100007losers/94winners up to 2,650%, 8 stocks >+1000%, 17 stocks
between +500% and +1000%].With the use of the Inspection Points, you could
trade only one stock and come to a final Equity 205,911 !!How does it work
:At each IP the code selects automatically the top Equity stock and follows
its trades up to the next IP.The selections for the 8 IPs and the respective
movements wereIP0 ADCT, buy
ADCTIP1 VRSN, sell ADCT, buy
VRSNIP2 VRSN, <FONT
color=#ff0000>nothingIP3 ERICY, <FONT
color=#ff0000>sell VRSN, buy ERICYIP4 VRSN, <FONT
color=#ff0000>sell ERICY, buy VRSNIP5 ERICY, <FONT
color=#ff0000>sell VRSN, buy ERICYIP6 ERICY, <FONT
color=#ff0000>nothingIP7 VRSN, <FONT
color=#ff0000>sell ERICY, buy VRSNIP8 VRSN, <FONT
color=#ff0000>nothingYou may see the critical IP7, when the
system decided to sell the [red] ERICY and buy [again] the [green]
VRSN
// Inspection Points and the xII
systemSTART=DateNum()==1020227
;per=Param("per",50,50,200,10);EVENT=BarsSince(START)%per==0;EXIT=Ref(EVENT,1);Plot(10000,"",Cum(1)%2,1);Plot(0,"",1,styleNoLine);Counter=Cum(EVENT)%10;shape=IIf(Counter==1,shapeDigit0,IIf(Counter==2
,shapeDigit1,IIf(Counter==3 ,shapeDigit2,IIf(Counter==4
,shapeDigit3,IIf(Counter==5 ,shapeDigit4,IIf(Counter==6
,shapeDigit5,IIf(Counter==7 ,shapeDigit6,IIf(Counter==8
,shapeDigit7,IIf(Counter==9
,shapeDigit8,shapeDigit9)))))))));
PlotShapes(shape*EVENT,colorIndigo);G=0;
NUM=254;list = GetCategorySymbols( categoryGroup, NUM
);for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global Sell;global
Short;global
Cover;STARTBUY=DateNum()==1020222;STARTSELL=DateNum()==1020308;X=26;Y=24;Buy=BarsSince(STARTBuy)%X==0;Sell=BarsSince(STARTSell)%Y==0;Short=Sell;Cover=Buy;E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}//
Plot(G,"\nG",colorBlue,8);D=0;F=0;list = GetCategorySymbols(
categoryGroup, NUM );for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global Sell;global
Short;global
Cover;STARTBUY=DateNum()==1020222;STARTSELL=DateNum()==1020308;X=26;Y=24;Buy=BarsSince(STARTBuy)%X==0;Sell=BarsSince(STARTSell)%Y==0;Short=Sell;Cover=Buy;E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G11=ValueWhen(EVENT,G);D1=IIf(E11==G,i,0);D=D+D1;EE=IIf(E11==G,E1,0);F=F+EE;}
STEP=IIf(EVENT,F-Ref(F,-1),0);T=Cum(STEP);
<FONT
size=2>Plot(F-T,"F-T",IIf(EVENT,colorRed,colorBlack),8);Changes=Cum(D!=Ref(D,-1));SettingsCommission=0.25/100;//
FINAL=F-T-2*Settingscommission*Changes*(F-T);Plot(FINAL,"FINAL",2,1);
Title="System xII for Group "+WriteVal(num,1.0)+",
TopEquity Stock is # "+
"["+WriteVal(D,1.0)+"]"+WriteIf(EVENT,"*","");
<FONT
size=2>SetForeign(StrExtract(LIST,95),True,True);STARTBUY=DateNum()==1020222;STARTSELL=DateNum()==1020308;X=26;Y=24;Buy=BarsSince(STARTBuy)%X==0;Sell=BarsSince(STARTSell)%Y==0;E0=Equity(1,0);Plot(E0,"VRSN",colorBrightGreen,1);SetForeign(StrExtract(LIST,33),True,True);STARTBUY=DateNum()==1020222;STARTSELL=DateNum()==1020308;X=26;Y=24;Buy=BarsSince(STARTBuy)%X==0;Sell=BarsSince(STARTSell)%Y==0;E0=Equity(1,0);Plot(E0,"ERICY",colorRed,1);GraphXSpace=2;
Note 1.The code needs amibroker 4.45.0, Oct19,
2003Note 2.The database should be absolutely
alignedNote 3. My N100 database is in Group254
Note 4. I have not included the [ 11 ] commissions
at the IPs changes.Uncomment the // FINAL... line to see them included
Dimitris Tsokakis
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 17, 2003 12:13 PM
Subject: Fw: Inspection Points and Hi-pass Equity for the whole
Market, part II
The
systemBuy=Cross(StochD(),30);Sell=Cross(80,StochD());was applied
over the N100 database from Jan2000 till now.The HiEquity-pass filter
selected for various Inspection Points [IP] theNVDA, at IP0ADBE, at
IP1CPWR, from IP2 to IP7 andSYMC at IP8.At each IP the [blue] ground
level G is defined. It is the value of the Equity() for this date.See how it
works.The black line is the Equity of the selected stock from IP to the next
IP.At IP2 [point A] the system selected CPWR [ yellow Equity line] and,
since CPWR was the top Equity stock for IP3, IP4, IP5, IP6 and IP7, there
was no reason to change stock.The decision at A was to sell ADBE, buy CPWR
and follow CPWR signals until the IP8. All this period SYMC Equity [red
line] was growing up and, some days before IP8 [point B] crossed the CPRW equity
lineabd became the top Equity stock.The IP8 decision was to sell CPRW,
buy SYMC and follow SYMC trades until the next IP9. These
details come from the Ind. builder code
// A HiEquity-pass filterSTART=DateNum()==1000530
;Title="TOP EQ
STOCK";EVENT=BarsSince(START)%101==0;Plot(2000,"",1,1);Plot(10000,"",Cum(1)%2,1);PlotShapes(shapeCircle*EVENT,colorRed);G=0;CountER=0;list
= GetCategorySymbols( categoryGroup, 254 );for( i = 0; ( sym = StrExtract(
list, i ) ) != ""; i++ ){SetForeign(SYM,True,True);global Buy;global
Sell;Buy=Cross(StochD(),30);Sell=Cross(80,StochD());E1=Equity(1,0);//Plot(E1,"\n["+WriteVal(CountER,1.0)+"]",Counter+40,1);E11=ValueWhen(EVENT,E1);T11=ValueWhen(EVENT,Cum(1));G=IIf(G>E11,G,E11);CountER=CountER+1;}Plot(G,"\nG",colorBlue,8);CountER1=0;D=0;list
= GetCategorySymbols( categoryGroup, 254 );for( i = 0; ( sym = StrExtract(
list, i ) ) != ""; i++ ){SetForeign(SYM,True,True);global Buy;global
Sell;Buy=Cross(StochD(),30);Sell=Cross(80,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);//Plot(E11,"\n["+WriteVal(CountER1,1.0)+"]",Counter1+40,1);G11=ValueWhen(EVENT,G);D1=IIf(E11==G,CountER1,0);D=D+D1;EE=IIf(E11==G,E1,-1E10);Plot(EE,"",1,1);CountER1=CountER1+1;}Title=Title+"
["+WriteVal(D,1.0)+"]"+WriteIf(EVENT," * ","");
<FONT
size=2>SetForeign(StrExtract(List,92),True,True);Buy=Cross(StochD(),30);Sell=Cross(80,StochD());E0=Equity(1,0);Plot(E0,"",4,8);SetForeign(StrExtract(List,25),True,True);Buy=Cross(StochD(),30);Sell=Cross(80,StochD());E0=Equity(1,0);Plot(E0,"",7,8);
Now, we should eliminate the [blue] G discontinuities and come
closer to the real facts.This is done by the // Trade the top
Equity stockSTART=DateNum()==1000530
;per=Param("per",101,90,110,1);EVENT=BarsSince(START)%per==0;EXIT=Ref(EVENT,1);Plot(10000,"",Cum(1)%2,1);Plot(0,"",1,styleNoLine);Counter=Cum(EVENT)%10;shape=IIf(Counter==1,shapeDigit0,IIf(Counter==2
,shapeDigit1,IIf(Counter==3 ,shapeDigit2,IIf(Counter==4
,shapeDigit3,IIf(Counter==5 ,shapeDigit4,IIf(Counter==6
,shapeDigit5,IIf(Counter==7 ,shapeDigit6,IIf(Counter==8
,shapeDigit7,IIf(Counter==9
,shapeDigit8,shapeDigit9)))))))));PlotShapes(shape*EVENT,colorIndigo);G=0;NUM=254;BuyLEVEL=Param("b",30,10,50,5);SellLEVEL=Param("s",80,50,95,5);list
= GetCategorySymbols( categoryGroup, NUM );for( i = 0; ( sym = StrExtract(
list, i ) ) != ""; i++ ){SetForeign(SYM,True,True);global Buy;global
Sell;Buy=Cross(StochD(),BuyLEVEL);Sell=Cross(SellLEVEL,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);T11=ValueWhen(EVENT,Cum(1));G=IIf(G>E11,G,E11);}D=0;F=0;list
= GetCategorySymbols( categoryGroup, NUM );for( i = 0; ( sym = StrExtract(
list, i ) ) != ""; i++ ){SetForeign(SYM,True,True);global Buy;global
Sell;Buy=Cross(StochD(),BuyLEVEL) ;Sell=Cross(SellLEVEL,StochD())
;E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G11=ValueWhen(EVENT,G);D1=IIf(E11==G,i,0);D=D+D1;EE=IIf(E11==G,E1,0);F=F+EE;}STEP=IIf(EVENT,F-Ref(F,-1),0);T=Cum(STEP);Plot(F-T,"",IIf(EVENT,colorRed,colorBlack),8);Title="Group
"+WriteVal(num,1.0)+", TopEquity Stock is # "+
"["+WriteVal(D,1.0)+"]"+WriteIf(EVENT,"*","");
A STEP function was introduced to measure the discontinuity
gap [positive or negative] and the T=Cum(STEP) will act for the whole range,
adding or subtracting at each IP the respective STEP.The final Equity line
is continuous and is closer to the reality [some commissions are missing, when,
for examplethe system sells CPWR at IP8 without a regular Sell signal and
Buys SYMC without the respective regular Buy signal]This method decisions
wereIP0 : Buy and Trade NVDAIP1 : Sell NVDA, Buy and Trade ADBEIP2 :
Sell ADBE, Buy and Trade CPWRIP3 to IP7 : Keep on trading CPWRIP8 : Sell
CPWR, Buy and Trade SYMC
Let us see now if it is interesting.The final Equity value
is 41,114.5.The
Buy=Cross(StochD(),30);Sell=Cross(80,StochD());over the whole N100
for the same period and settings gives a total net profit -3.5%.41 stocks
were profitable up to +390% and the rest 60 were loosing money [15 stocks were
below -75%...]
Dimitris Tsokakis
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 16, 2003 11:17 AM
Subject: Inspection Points and Hi-pass Equity for the whole Market,
part I
The code will choose the top Equity stock at the
Inspection Point [IP] and will trade all its [individual] signals up to the next
inspection.
The procedure will be repeated for every future
inspection.
The Equities at an inspection point are counted from the
beginning of the available data.
All stocks should be aligned, missing bars should be filled
before the research.
The starting and ending date for all stocks should be the
same
The application is effective from Amibroker 4.44.1, Oct12,
2003, when the
SetForeign( ticker, fixup = True, tradeprices =
False)
was implemented *
The selected stock at IP had an Equity value G. It is the
ground level for the next trades and is plotted as a blue thick
line.
Up to the next IP we may see if the selected top stock was
profitable [Eq>G] or not [Eq<G].
The black line is the Equity from IP to IP.
How does it work : At the Inspection point X, for
example, PETM was the top Equity stock [see PETM red equity
line]
The code selected PETM and followed its trades up to now [PETM
was the top stock for the next two IPs too !!]
// A Hi-pass Equity filter at the Inspection
PointsSTART=DateNum()==1000530 ;Title="TOP EQ
STOCK";EVENT=BarsSince(START)%101==0;Plot(2000,"",1,1);Plot(10000,"",Cum(1)%2,1);PlotShapes(shapeCircle*EVENT,colorRed);G=0;CountER=0;list
= GetCategorySymbols( categoryGroup, 254 );// group IDfor( i = 0; ( sym =
StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global
Sell;Buy=Cross(StochD(),30);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;}Plot(G,"\nG",colorBlue,8);CountER1=0;D=0;list
= GetCategorySymbols( categoryGroup, 254 );// group IDfor( i = 0; ( sym =
StrExtract( list, i ) ) != ""; i++
){SetForeign(SYM,True,True);global Buy;global
Sell;Buy=Cross(StochD(),30);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G11=ValueWhen(EVENT,G);D1=IIf(E11==G,CountER1,0);D=D+D1;EE=IIf(E11==G,E1,-1E10);Plot(EE,"",1,1);CountER1=CountER1+1;}Title=Title+"
["+WriteVal(D,1.0)+"]"+WriteIf(EVENT," *
","");SetForeign("PETM",True,True);Buy=Cross(StochD(),30);Sell=Cross(50,StochD());E0=Equity(1,0);Plot(E0,"",4,8);//Plot(D,"",1,styleOwnScale);
Notes
1. The 100 N100 stocks and the index ^NDX are placed in my
Group254.
If your stocks are in the WatchList5, for example, you should
change the // group ID lines as follows
list = GetCategorySymbols( categorywatchList, 5
);//
2. The
Buy=Cross(StochD(),30);Sell=Cross(50,StochD());was
used as example of the trading system.
Settings were arranged in AA window
Buy, Sell at Open
Delay +1
commission 0.25%
all stops disabled
initial equity 10000
3. G [thick blue line] is the ground level, the equity value
for the selected stock at the IP.
As you see, even for the top stocks, the system was not quite
profitable, the [black] individual Equity lines
are frequently below their Ground level G.
4. D is the ordinal # of the stock in the database. You may
uncomment the last line to see the top Ds.
If you place your cursor on some bar, you will read D in the
title.
An asterisk * will appear at each IP bar. As you
see, on Oct20, 2000 the system sold #67 [NVDA] to buy
the new top stock #2 [ADBE]
5. The graph is universal and will not change as you move from
ticker to ticker in your symbol tree.
This is the basic idea, to ride on the top equity
stock.
The expectation is a follow up, at least up to the next IP.
If negative, the inspector will search for the new rising star
of the show, right at the next IP !!
More details in part II, hopefully today...
Dimitris Tsokakis
* From the 4.44.1 Readme.html
SetForeign( ticker, fixup = True, tradeprices = False) and
RestorePriceArrays( tradeprices = False ) have new flag now: tradeprices
(False by default)
when tradeprices is set to TRUE, then not only OHLC, V, OI,
Avg arrays are set to foreign symbol values, but also BuyPrice, SellPrice,
ShortPrice, CoverPrice, PointValue, TickSize, RoundLotSize, MarginDeposit
variables are set to correspond to foreign
security.
This allows Equity() to work well with
SetForeign.
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