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Hi,
the code may be used for any stock/index, data at least from Jan2000.
If you copy the code from the web, please go to
http://groups.yahoo.com/group/amibroker/message/52020?expand=1
to avoid some wrapping mistakes.
Please let me know if the copy/paste is OK, the code works.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "sjaak1943" <haasn102@xxxx> wrote:
> Hi Dimitris,
>
> Can I use the code also on the Dutch AEX?
> When I do, I get the following:
>
> "Variable 'eip' used without having been initialized."
>
> From cloudy Holland,
>
> Sjaak
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
> <TSOKAKIS@xxxx> wrote:
> > 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 Points
> > START=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 Inspection
> > G=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/101
> > Filter=eIP>10000 AND eCont<eIP; 26stocks/101
> > Filter=eCont>eIP; 39stocks/101
> >
> > The Continuous Inspection did not improve the IP performance for
> the tested system.
> > Dimitris Tsokakis
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