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[amibroker] Re: Inspection Points vs Continuous Inspection



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Sjaak,
The main thing is to replace my Stochd example with your trading 
rules in a 2-parametric system. I hope it will be useful.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "sjaak1943" <haasn102@xxxx> wrote:
> Hi Dimitris,
> 
> The code works, now I can study with it on Dutch stock.
> Thank you very much and keep on your excellent job for us.
> BTW my daughter and family moved to their own build house in Pano 
> Chersonissos, last wednesday.
> 
> Sjaak
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" 
> <TSOKAKIS@xxxx> wrote:
> > 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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