|
PureBytes Links
Trading Reference Links
|
Anthony,
Yes, of course, although it is not the scope of this study.
As you see, I have included a
per=Param("per",75,25,200,25);
for the first, visual approach on the IP time frame.
I donīt want now to see "per" through optimization procedure. My
intension is to establish the EIP, Emergency Inspection Points. It
would be better to inspect the system not only every 75 or 150 bars,
but also when something wrong appears [an unexpected and undesirable
drawdown, for example].
The other branch is to use limited Equity functions [from...to...],
because now I check, at each IP, the Equity from the beginning.
The subject is interesting, we may rectify the system from time to
time, instead of using a ROBUST system from the beginning. The reason
is simple : We may not have any !!!
[to be continued]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> Dimitri,
>
> I have been following your recent IP coding....great piece of work
( as always ) ....One thing I noticed in the recent posting for
Steve's CMO(5) , you mention the following , which I presume you
arbitrarily select:
>
> " IP points were placed every 75 bars for this example"
>
> Would it be possible to find the Optimized length of bars for the
IP's during the formula execution ?
>
> Anthony
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, October 31, 2003 5:03 AM
> Subject: [amibroker] Steve CMO5 rules and the IPs
>
>
> at http://groups.yahoo.com/group/amibroker/message/50917 Steve
wrote, among the others
> "...As I have begged many times: give me something better...I'll
use it instead of this...."
>
> Steve,
> The point is how we can make it better, keeping your basic
favorite principle
> [not to begin again the symmetric/non-symmetric discussion]
> Let us see if automation may replace the trading experience.
> Your x=CMO5 is applied to SYMC and the threshold level b is
allowed to vary in the [wide] range [10,80]
> My IP theory has not your trading experience but "understood" that
> IP0 to IP7 : b=10
> IP7 : b=29
> IP8 to IP11 : b=34[Steve is right !!]
> IP11: b=36
> The black thick line is the IP equity, your E34 is red, the E10
is white and the recent champion E36 is green.
> IP points were placed every 75 bars for the example.
>
> // Inspection Points for Steve Karnish CMO5, SYMC application
> START=DateNum()==1000601 ;
> per=Param("per",75,25,200,25);
> 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;
> SetForeign("SYMC",True,True);
> for(b=10;b<80;b++)
> {
> P=5;
> X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref
(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)
+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
> Buy=Cross(-b,x5);Sell=Cross(x5,b);
> E1=Equity(1,0);E11=ValueWhen(EVENT,E1);
> G=IIf(G>E11,G,E11);
> }
> GraphXSpace=3;
> fpass=0;bpass=0;
> for(b=10;b<80;b++)
> {
> P=5;
> X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref
(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)
+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
> Buy=Cross(-b,x5);Sell=Cross(x5,b);
> E1=Equity(1,0);E11=ValueWhen(EVENT,E1);
> fpass=IIf(e11==g,e1,0)+fpass;
> bpass=IIf(e11==g,b,0)+bpass;
> G=IIf(E11==G,0,G);
> }
> STEP=IIf(EVENT,fpass-Ref(fpass,-1),0);T=Cum(STEP);
> FINAL=(fpass-T);
> Plot(FINAL,WriteIf(event,"*","")+" [b="+WriteVal(bpass,1.0)
+"]",IIf(event,colorRed,colorBlack),8);
> P=5;
> X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref
(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)
+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
> b=34;
> Buy=Cross(-b,x5);Sell=Cross(x5,b);
> E1=Equity(1,0);Plot(e1,"E34",colorRed,1);
> b=10;
> Buy=Cross(-b,x5);Sell=Cross(x5,b);
> E1=Equity(1,0);Plot(e1,"E10",colorWhite,1);
> b=36;
> Buy=Cross(-b,x5);Sell=Cross(x5,b);
> E1=Equity(1,0);Plot(e1,"E36",colorBrightGreen,1);
>
> As time goes by, the old top solution b=10 is not bad at all
[imagine an exit by the end of 2001], but new champions appeared [it
is obvious to me] and promiss more attractive profits.
> If their value is temporary, do not worry, some other b=XX will
be in the head of this [endless] marathon.
> How does it looks like ?
> Dimitris Tsokakis
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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.
>
>
> ---
> Outgoing mail is certified Virus Free.
> Checked by AVG anti-virus system (http://www.grisoft.com).
> Version: 6.0.532 / Virus Database: 326 - Release Date: 10/27/2003
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs from home.
Over 14,500 titles. Free Shipping
& No Late Fees. Try Netflix for FREE!
http://us.click.yahoo.com/ybSovB/hP.FAA/3jkFAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|