|
PureBytes Links
Trading Reference Links
|
<SPAN
class=155574802-29102003>glad it's working. it's too bad the no-array
limitations on the native AB functions make us get a little more techie about
this than we'd otherwise have to, it's workable.
<SPAN
class=155574802-29102003>
<SPAN
class=155574802-29102003>re no rows, near the bottom is the exploration code,
including the filter statement, which I think defaults to buy or sell or short
or cover. if that's what you want, then the problem is probably that you're not
seeing any buys, in analysis mode either, yes? if so, make sure the index
tickers you're using have volume data (some do some don't in the QuotesPlus data
I use), or modify the minimum volume requirement in the TRADE ENTRY RESTRICTIONS
section.
<SPAN
class=155574802-29102003>
<SPAN
class=155574802-29102003>that's actually the sleazy answer. a better one is to
look in the FRAMEWORK ENGINE section, at 'tweak volume entry requirements for
things with no volume data', and find this expression:
<SPAN
class=155574802-29102003> StrLeft(Name(), 1) ==
"!"
<SPAN
class=155574802-29102003>with my QuotesPlus data, that's how indexes are
flagged, by having their ticker names begin with "!". with other providers, it's
probably different; I think yahoo is "^", for example. change that code, and
anything with that prefix won't be subject to the minimum volume rule in TRADE
ENTRY RESTRICTIONS. the unreleased update of the framework has a better way of
handling this.
<SPAN
class=155574802-29102003>
<SPAN
class=155574802-29102003>hope this helps,
<SPAN
class=155574802-29102003>
<SPAN
class=155574802-29102003>dave
<BLOCKQUOTE
>It
works!!!! Making my MFI period, p1, a constant, eliminated
theerror...thanksThen, since sum() appears to take an array for
its period, I was able to getthis updated, dynamic-or-not function to
run:function BuySellPcntBMFI(dynamic, p1, p2) { // p1 = MFI period, p2
= highcrossover threshhold price =
Close; BA = 20; //Bband MA BD =
2;//Bband Stdev BL = ML = 20;// lower crossover
threshhold MP = p1;// MFI period
if(dynamic) { MoneyFlow = V *
Avg; Change = Avg - Ref( Avg, -1
); PositiveFlow=Sum( IIf( Change
> 0, MoneyFlow, 0 ) ,p1 );
NegativeFlow=Sum( IIf( Change < 0, MoneyFlow, 0 ) ,p1
);
MoneyRatio=PositiveFlow/NegativeFlow;
MFIndex=100-(100/(1+MoneyRatio)); } else
{
MFIndex=MFI(MP); } MH = BH = p2;//
higher crossover threshhold b= ((price - BBandBot(
price, BA, BD )) / (BBandTop( price, BA, BD ) -BBandBot(price, BA, BD )))
* 100; Buy = Cover = b > BH AND MFIndex >
MH; Sell = Short = b < BL AND MFIndex <
ML;}thanks again-johnBTW, when I use
1990-to-current EOD data for MSN's $COMPX or Yahoo's ^IXIC(both supposedly
the NASDAQ composite) as my 'current stock', i get a singleresult row for
Backtest and NO rows, just headers, for Explore. Individualstocks do
yield multiple rows.----- Original Message ----- From: Dave
MerrillTo: amibroker@xxxxxxxxxxxxxxxSent: Tuesday, October 28, 2003
12:09 PMSubject: RE: [amibroker] Auto-optimization AFL
uploadedhi john, I don't have time right now to mess in detail w
this, but trytemporarily replacing p2 with a fixed number and see if the
error goes away.it won't give you correct results, but might verify my
suspicion, which isthat AB's BBand functions can't take arrays for their
period. if that's thecase, you'd need to code a replacement in AFL that
can, or if we're lucky,maybe those functions are part of
indicators.dll.I hope that some day soon, we'll get versions of all
built in AB indicatorsthat are array-capable. many of them already are,
and it would be great iflife was that kind of symetrical, not to mention
useful.daveI think i have a 'dynamic=false' situation like
your BuySellStoch. (I amusing p1 as the number of periods for MFI() and
assume that this"mfi(periods=14)" syntax in Help means that MFI can take
only a single-valueparameter. And p2 is a single-value crossover threshold
for Bollinger's %b.)FWIW, here is my rule code producing the
error:function BuySellPcntBMFI(dynamic, p1, p2) { // p1 = MFI period,
p2 = highcrossover threshhold price =
Close; BA = 20; //Bband MA BD =
2;//Bband Stdev BL = ML = 20;// lower crossover
threshhold MP = p1;// MFI period
MH = BH = p2;// higher crossover threshhold //b is
Bollinger's %b b = ((price - BBandBot( price, BA, BD ))
/ (BBandTop( price, BA, BD ) -BBandBot(price, BA, BD ))) *
100; Buy = Cover = b > BH AND MFI(MP) >
MH; Sell = Short = b < BL AND MFI(MP) <
ML;}TIA,-john----- Original Message -----
From: Dave MerrillTo: amibroker@xxxxxxxxxxxxxxxSent: Tuesday,
October 28, 2003 8:03 AMSubject: RE: [amibroker] Auto-optimization
AFLthanks for the compliments, glad it's kind of sane in there
(:-).just FYI, there's a new version of this that I haven't posted
yet. amongother changes, it handles up to 3 optimization parameters, and
allows eachrule to set the optimization parameter ranges independently. it
also movesthe docs into a separate file, so the code file is smaller and
easier todeal with. I'll get that up as soon as I can finish it
off.no, you don't have to set dynamic yourself, and shouldn't. did you
read thecomments about it? I bet it's not dynamic itself that your rule is
gettinghung up on, it's the optimization parameters being arrays when
dynamic istrue.here's the section about this from the newer
version, expanded a bit fromthe original; not sure if the example BuySell
rules it mentions are exactlythe same:--------------during
optimization, the active rule is called multiple times, once witheach
combination of p1, p2 and p3 being tested. at this time, p1, p2 and p3are
simple numeric values, not arrays. once optimal settings have
beendetermined for every bar, the rule is called once more, to generate
actualtrading signals. this time, p1, p2 and p3 are arrays, each bar
dynamicallycontaining the optimal p1, p2 and p3 value for that
bar.whether they're simple values or arrays matters because not all AB
functionscan accept arrays as inputs. for example, MA, TEMA, DEMA, WMA and
AMA canuse an array as their period, but EMA and MACD can't. it's usually
possibleto code an equivalent in AFL that can, like the included EMAx
function is areplacement for EMA. an AFL replacement may be significantly
slower though,if it has to do a lot of work, since rules are called many
times duringoptimization. you could also use a DLL, like indicators.dll
from the 3rdparty section of the AB site, but I didn't want this code to
depend onoutside tools.if this is an issue for a particular rule,
include both slower array-capablecode for use in the final
signal-generation phase, and faster,non-array-capable code for use during
the many optimization tries. use the'dynamic' parameter to know which to
call; see BuySellStoch, below, for anexample. you can also write a custom
function with both versions, and passdynamic into it; see BuySellCCI and
CCIx for an example.--------------hth,daveHi
Dave,I started working with it...very nice, structured, work...this
will helpfolks learn AFL as well as general programming design, I
believe..so far, i am having a bit of trouble with the 'dynamic'
True/False parameterbeing fed to one of my indicators---but i suspect this
is my problem notyours:BuySellRule(True, best_p1,
best_p2);-----------------------------------^Bad args.0-th
argument of function call has invalid (or unsupported) typeI don't
have to specifically set 'dynamic'; do I?thanks-john-----
Original Message ----- From: Dave MerrillTo:
amibroker@xxxxxxxxxxxxxxxSent: Thursday, October 23, 2003 6:32
PMSubject: RE: [amibroker] Auto-optimization AFL
uploadedthanks, appreciate it (:-).so, did you figure out
how we can all be millionaires by morning with ityet? or at least learn
something about something?you probably noticed this, but the way it
comes set up, it's not usingequity feedback to optimize with, but net bars
on the right side of themarket. my initial impression after I built that
was that it worked betterthan equity, but since then, I've concluded that,
guess what, it depends. soanyway, try the other scoring algorithm too, if
you haven't already.keep me posted (:-).anyone else playing
with this thing?daveI've downloaded it and run it about a dozen
times. What you've done is
veryimpressive.Thanks,Howard-----Original
Message-----From: Dave Merrill [mailto:dmerrill@xxxxxxx]Sent:
Wednesday, October 22, 2003 1:11 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Auto-optimization AFL
uploadedforgot to say it howard, but I'm very interested in what you
think about it,and any results you get from fiddling with
it.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.
|