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[amibroker] Re: Inspection Points (For DT)



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Keith,
I'm [quite]far from the office all day long, poor internet 
connection, give me please some time to look at this tomorrow 
[European Monday] morning.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Keith Bennett" <kbennett@xxxx> 
wrote:
> Thank you Dimitris for your message #49581 in response to the 
> question I raised in #49576. I was hoping that this would achieve 
the 
> objective but the results I am getting are puzzling.
> 
> Taking the year 1995 in isolation, if I optimize for k in the 
> following code the result for COMPQ is 193 and the gain 
(short/long) 
> for the year is 41%.
> 
> k    = Optimize("k",100,1,200,1);
> Buy  = ROC(MA(C,K),1)>0;
> Sell = ROC(MA(C,K),1)<0;
> Buy  = ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short= Sell;Cover=Buy;
> Short= ExRem(Short,Cover);Cover=ExRem(Cover,Short);
> 
> When I run the exploration on COMPQ in your #49581 for year 1995 I 
> get a kpass of 17. Plugging this into the above trading rules 
> produces a loss of 11.24%. Am I wrong to expect the same 192?
> 
> Either my expectations are unrealistic (not unusual for me), or I 
am 
> missing the point in your suggested solution. Could you help 
further?
> 
> Keith


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