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<SPAN
class=587362920-29102003>comments below...
<SPAN
class=587362920-29102003>
<BLOCKQUOTE
>
I assume by 'analysis mode' you mean Scan
mode; right?<FONT face="Courier New"
color=#0000ff>
<FONT
face=Arial>I meant backtest or
portfolio backtest. I rarely use scan
mode.
<FONT
face=Arial><SPAN
class=587362920-29102003>
<BLOCKQUOTE
>
<SPAN
class=587362920-29102003> <FONT
size=2>And, yes, the Index Symbols below have no Buys/Sells/Shorts/Covers with
'my' rule in Scan mode, although they do have volume...<SPAN
class=587362920-29102003><FONT face="Courier New"
color=#0000ff>
<SPAN
class=587362920-29102003>try commenting out the whole trade entry
restrictions section. if you still get no trades, it could mean that no
combination of parameter values was profitable, over any part of the time period
tested. don't think I've ever seen that, but I can't think of any other reason
why it wouldn't trade.
<SPAN
class=587362920-29102003>
<SPAN
class=587362920-29102003>if you want to, email me your code and I'll poke around
a bit when I get a chance.
<SPAN
class=587362920-29102003>
<BLOCKQUOTE
>
Since it seems to be working, I am now
wondering what my next step should be, given my ultimate objective of a QQQ
options system that uses EOD data. I welcome your
inputs on this, but I think I will first take advantage of all the rules you
have provided and compare, via the sum of BackTest Profit, their QQQ
results with those of my rule. (And I will also record Explore results so I
can see the optimum parameter values, although I am not clear on how to best
utilize these results yet.)<FONT
face="Courier New"
color=#0000ff>
<SPAN
class=587362920-29102003>hmmm. don't think I can offer much on qqq
options.
<SPAN
class=587362920-29102003>
<SPAN
class=587362920-29102003>"working" is a relative thing (;-). I
understood you to be saying that you still weren't seeing any trades, right?
have you tried this system w completely static parameters outside the
auto-optimize framework? do you get any trades then? if so, try setting the
auto-optimization paremters up with the start and end values the same, so
only that one value is tried, and see if you get trades
then.
<SPAN
class=587362920-29102003>
<SPAN
class=587362920-29102003>re making use of the optimum parameter values you see
when exploring: plain old optimization, where one range of data is examined to
find one set of optimum parameter values, you might as well do with AB's built
in tools. what auto-optimization does that that can't is vary parameters over
time in response to changing market conditions. if you have a trading strategy
and an equity scoring method that work well together (big if, in my
experience), the resulting system should adjust itself towards profitability
dynamically over time.
<SPAN
class=587362920-29102003>
<SPAN
class=587362920-29102003>the only practical way I know of to trade that total
system is to backtest or explore it within the auto-optimization framework, and
trade the resulting signals. recording optimum parameter values at various
points in time is kind of useless, and more work besides. I do look at the
optimum values it generates sometimes, out of curiousity, and to think
about how I could improve the system, maybe by widening or narrowing the
optimization ranges, adding stops, or some other way. for instance, check if a
parameter is stuck way at one end of the allowed range, or isn't changing
at all, or values in certain ranges are never profitable, whatever patterns
there are that might be useful to know.
<SPAN
class=587362920-29102003>
<SPAN
class=587362920-29102003>
<SPAN
class=587362920-29102003>dave
<SPAN
class=587362920-29102003>
<BLOCKQUOTE
>
thanks again
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, October 28, 2003 7:03
PM
Subject: RE: [amibroker]
Auto-optimization AFL uploaded
<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.daveSend BUG REPORTS to
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