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[amibroker] Re: Inspection Points (For DT)



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Dimitris,

To explore 1995 I made only a single change in the formula. I 
replaced DateNum()==1000530 with 950103. The current symbol was 
COMPQX (TC2000) and I set the AA Range to 01/01/1995 - 12/31/1995. I 
hope they are appropriate and correct settings.

Similarly, if I leave the DateNum() at 1000530 I have a Kpass of 183 
through to 3/14/01. Optimizing for k in my simplified afl below, and 
for the same period, the result is 134.

Should Kpass and k be the same, and if so, where am I going wrong.

Keith

--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx> 
wrote:
> Keith,
> My formula begins with
> START=DateNum()==1000530 ;
> x=100;
> EVENT=BarsSince(START)%x==0;
> It begins on May30, 2000 and places IPs per 100 bars.
> How did you explored 1995 ?
> Did you use the formula as is ?
> [it would not make sense...]
> Did you change the initial lines and how ?
> [in an attempt to reproduce your exploration...]
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" 
<TSOKAKIS@xxxx> 
> wrote:
> > 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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