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Inspection Points decide every, say, 100 bars the optimal
solution for the next 100 bars.
We may apply Continuous Inspection and change the optimals
according to the stock [market] performance.
Is it better ?
The question is not simple, we should examine the
situation carefully.
An o/b, o/s stochastic system was used as example.The BuyLevel
was from 20 to 50 and the SellLevel from 60 to 90.
Settings:Buy,Sell at +1Open, commission 0.25%, all stops
disabled, initial equity 10,000, from Jan3, 2000 till Nov14, 2003.
In AA window paste the
// Inspection Points vs Continuous
Inspection
// A. Inspection
PointsSTART=DateNum()==1000530
;EVENT=BarsSince(START)%100==0;k0=20;s0=60;shape=33+2*(Cum(event)%10);PlotShapes(shape*EVENT,colorBlack);Plot(0,"",1,1);Plot(100,"",1,1);G=0; for(K=k0;K<=50;K=K+5){for(s=s0;s<=90;s=s+5){Buy=Cross(StochD(),K);Sell=Cross(S,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}}Kpass=0;Spass=0;for(K=k0;K<=50;K=K+5){for(s=s0;s<=90;s=s+5){Buy=Cross(StochD(),K);Sell=Cross(S,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);K1=IIf(E11==G,K,0);Kpass=Kpass+K1;S1=IIf(E11==G,S,0);Spass=Spass+S1;G=IIf(E11==G,0,G);}}Buy=Cross(StochD(),kpass);Sell=Cross(Spass,StochD());eIP=Equity(1,0);//
B. Continuous
InspectionG=0;Kpass=0;Spass=0;k0=20;s0=60;for(K=k0;K<=50;K=K+5){for(s=s0;s<=90;s=s+5){Buy=Cross(StochD(),K);Sell=Cross(S,StochD());E1=Equity(1,0);G=IIf(G>E1,G,E1);}}for(K=k0;K<=50;K=K+5){for(s=s0;s<=90;s=s+5){Buy=Cross(StochD(),K);Sell=Cross(S,StochD());E1=Equity(1,0);K1=IIf(G==E1,K,0);Kpass=Kpass+K1;S1=IIf(G==E1,S,0);Spass=Spass+S1;G=IIf(E1==G,0,G);}}Buy=Cross(StochD(),kpass);Sell=Cross(Spass,StochD());eCont=Equity(1,0);Filter=eCont>eIP;AddColumn(eCont,"eCont");AddColumn(eIP,"eIP");
Explore the N100 database for the n=1 last quotations, for
various Filter conditions
Some interesting results
Filter=eIP>10000 AND eCont>eIP;
13stocks/101Filter=eIP>10000 AND eCont<eIP;
26stocks/101Filter=eCont>eIP;
39stocks/101
The Continuous Inspection did not improve the IP performance for the tested
system.
Dimitris Tsokakis
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