|
PureBytes Links
Trading Reference Links
|
Actually, I'm looking at Optimization for the first time...I am
trying to optimize Gary's RUTVOL. I havn't made any changes to the
code, other than for my data provider, eSignal-at least I don't
think I have.
Here is what I have been using:
/*RUTVOL SIGNAL LOGIC FROM .INI FILES
EXPLAINATION: RUTVOL BASES THE FOLLOWING INDICATORS ON RUSSELL 2K
INDEX.
1. STOCHASTICS
2. MACD
3. RSI
CALCULATIONS BASED ON THE NASDAQ
TVOLQ,UVOLQ,DVOLQ AS FOLLOWS
1. ACCUTRACK
2. STOCHASTICS
TRANSLATED: 8/18/03
NOTE: THIS IS A MODIFIED VERSION OF RUTVOL. THIS VERSION PRODUCES
MODESTLY BETTER RETURNS WITH SAME DD AS MEASURED AGAINST $RUT.
BELOW ARE THE CHANGES NEED TO CONVERT TO ORIGINAL RUTVOL.
1. RUTTR_BUYCOND has no RSI filtering in the current RUTTR.
2. Current version of RUTVOL does not use the volume AccuTrak in the
volume buy condition
*/
// STEP #1: ESTABLISH PARAMETERS
RUT = Foreign("$ndx","C");
//STOCHASTICS
AVERAGE = 53; //Optimize("AVERAGE",53,27,80,5);
SMOOTH = 49; //Optimize("SMOOTH",49,25,74,5);
TRIGGER = 28; //Optimize("TRIGGER",28,14,42,5);
BuyVALUE = 0;
SellVALUE = 0;
//MACD
ShortMA = 45; //Optimize("SHORTMA",45,23,90,5);
LONGMA = 90; //Optimize("LONGMA",90,45,135,5);
SignalMA = 8; //Optimize("SIGNALMA",8,4,12,1);
BuyLEVEL = 0;
SellLEVEL = 0;
//RSI
RSILEN = 14; //Optimize("RSILEN",14,7,21,1);
BuyRSI = 63;
SellRSI = 47;
ShortRSI = 37;
//VOLUME EMA
VOLEMA1 = 60; //Optimize("VOLEMA1",60,30,90,5);
VOLEMA2 = 120; //Optimize("VOLEMA2",120,60,180,5);
//VOLUME ACCUTRACK
ACCU_SHORTPERIOD = 11; //Optimize("ACCU_SHORTPERIOD",11,5,16,1);
ACCU_LONGPERIOD = 44; //Optimize("ACCU_LONGPERIOD",44,22,66,3);
//TOTAL VOLUME STOCH CALC
TVOL_AVG = 41; //Optimize("TVOL AVG",41,22,66,2);
TVOL_SMOOTH = 10; //Optimize("TVOL_SMOOTH",10,5,15,1);
TVOL_TRIGGER = 8; //Optimize("TVOL_TRIGGER",8,4,12,1);
//********RUTTR CALC*********//
//STOCH CALC BEGIN
KSTOCH = 100 * (RUT - LLV(RUT,AVERAGE)) / (HHV(RUT,AVERAGE) - LLV
(RUT,AVERAGE));
DSTOCH = EMA(KSTOCH,SMOOTH);
SignalLINE = EMA(DSTOCH,TRIGGER);
STOCH_HISTO = DSTOCH - SignalLINE;
//MACD CALC BEGIN
RUTMACD = EMA(RUT,ShortMA) - EMA(RUT,LONGMA);
MACDSignalLINE = EMA(RUTMACD, SignalMA);
MACD_HISTO = RUTMACD - MACDSIGNALLINE;
//RSI FILTER BEGIN
RSIFILTER_SELL = RSIa(RUT,RSILEN) < Ref(RSIa(RUT,RSILEN),-3) AND RUT
< Ref(RUT,-1) AND RSIa(RUT,RSILEN) < SellRSI;
RSIFILTER_BUY = RSIa(RUT,RSILEN) > BuyRSI;
//RUTTR SIGNAL LOGIC
//STEP#1: BUY & SELL COND
RUTTR_BUYCOND = (Stoch_HISTO > 0 AND MACD_HISTO > 0) OR
RSIFILTER_BUY;
RUTTR_SELLCOND = (Stoch_HISTO < 0 AND MACD_HISTO < 0) AND
RSIFILTER_SELL;
//STEP#2: BUY & SELL STATE
RUTTR_BUYSTATE = Flip(RUTTR_BUYCOND,RUTTR_SELLCOND);
//RUTTR_SELLSTATE = Flip(RUTTR_SELLCOND,RUTTR_BUYCOND);
RUTTR_SELLSTATE = NOT RUTTR_BUYSTATE;
//*********RUTVOL CALC*********//
TVOLQ = Foreign("$tvolq","C");
UVOLQ = Foreign("$uvolq","c");
DVOLQ = Foreign("$dvolq","C");
NQVOLEMA = EMA(TVOLQ,VOLEMA1);
NQUVOLEMA = EMA(UVOLQ,VOLEMA2);
NQDVOLEMA = EMA(DVOLQ,VOLEMA2);
//ACCUTRACK CALC OF NQ UP/DN VOL
UPVOLCHG = (NQUVOLEMA - Ref(NQUVOLEMA,-1)) / Ref(NQUVOLEMA,-1);
DNVOLCHG = (NQDVOLEMA - Ref(NQDVOLEMA,-1)) / Ref(NQDVOLEMA,-1);
UPVOL = EMA(UPVOLCHG, ACCU_LONGPERIOD);
DNVOL = EMA(DNVOLCHG, ACCU_LONGPERIOD);
VOL_DIFF = UPVOL - DNVOL;
ACCU_UPDNVOL = EMA(VOL_DIFF,ACCU_SHORTPERIOD);
ACCU_UPDNVOL_BUY = Cross(ACCU_UPDNVOL, 0);
//ACCU_UPDNVOL_SELL = Cross(0, ACCU_UPDNVOL);
// NASDAQ TOTAL VOLUME STOCHASTICS CALC
NQVOL_KSTOCH = 100 * (NQVOLEMA - LLV(NQVOLEMA,TVOL_AVG)) / (HHV
(NQVOLEMA,TVOL_AVG) - LLV(NQVOLEMA,TVOL_AVG));
NQVOL_DSTOCH = EMA(NQVOL_KSTOCH,TVOL_SMOOTH);
NQVOL_SIGNALLINE = EMA(NQVOL_DSTOCH,TVOL_TRIGGER);
TVOL_STOCH_BUYCOND = Cross(NQVOL_DSTOCH,20) OR Cross
(NQVOL_DSTOCH,80) OR ACCU_UPDNVOL_BUY;
TVOL_STOCH_SELLCOND = Cross(20, NQVOL_DSTOCH) OR Cross
(80,NQVOL_DSTOCH);
TVOL_STOCH_BUYSTATE = Flip(TVOL_STOCH_BUYCOND,TVOL_STOCH_SELLCOND);
//*********RUTVOL SIGNAL LOGIC*********//
//CONDITIONS
RUTVOL_BUYCOND = TVOL_STOCH_BUYSTATE AND RUTTR_BUYSTATE;
RUTVOL_SELLCOND = NOT TVOL_STOCH_BUYSTATE OR NOT RUTTR_BUYSTATE;
//STATES
RUTVOL_BUYSTATE = Flip(RUTVOL_BUYCOND,RUTVOL_SELLCOND);
//SIGNALS
Buy = RUTVOL_BUYSTATE;
Sell = NOT RUTVOL_BUYSTATE;
//EXREM SIGNALS
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
ApplyStop(stopTypeLoss,stopModePercent,Optimize
("MaxLoss",10,1,20,1),True,True);
//-------------------------------------------------- PORTFOLIO
TRADING CODE BEGINS ------------------------------------------------
------------------
//Set Trade Delays and Initial Equity
//SetOption("InitialEquity", 100000);
//SetTradeDelays(1,1,1,1);
//RoundLotSize = 100;
//Position Size Info
//SetOption("MinShares",100);
//MaxPos = Optimize("Max Positions",5,1,15,1);
//SetOption("MaxOpenPositions",MaxPos);
//PositionSize = -100/MaxPos;
//Scoring Routine Begins
BBandWid = 2;
UBBand = BBandTop(Close, 21, BBandWid);
LBBand = BBandBot(Close, 21, BBandWid);
PositionScore = 100 - 100 * (Close - LBBand) / (UBBand -
LBBand);//0 when C == Upper Band, 100 when C == Lower Band
//********EXPLORE CODE*********//
Filter = 1;//Status("LastBarInRange");
RUTVOLSIG = IIf(RUTVOL_BUYSTATE == 1,1,0);
AddToComposite(RUTVOLSIG,"~RUTVOL","X",atcFlagDefaults |
atcFlagEnableInExplore);
AddColumn(RUTVOLSIG,"RUTVOL STATE",8.0);
AddColumn(RUTTR_BUYSTATE,"RUTTR",8.0, IIf(RUTTR_BUYSTATE ==
1,colorGreen,colorDefault), colorDefault);
AddColumn(TVOL_STOCH_BUYSTATE,"VOLUME",8.0,IIf(TVOL_STOCH_BUYSTATE
== 1,colorGreen,colorDefault), colorDefault);
AddColumn(Buy,"RUTVOL BUY",8.0,colorDefault,IIf(Buy ==
1,colorGreen,colorDefault));
AddColumn(Sell,"RUTVOL SELL",8.0,colorDefault,IIf(Sell ==
1,colorYellow,colorDefault));
//*********INDICATOR CODE*********//
Title = "RUTVOL: " + EncodeColor(colorBrightGreen) + "GREEN =
BUY " + EncodeColor(colorYellow) + "YELLOW = CASH";
Plot(0,"",colorLightGrey,styleNoLine+styleNoLabel);
PlotShapes(IIf(Buy ==1,
shapeUpArrow,shapeNone),colorBrightGreen,0,0,10);
PlotShapes(IIf(Sell ==1,
shapeHollowUpArrow,shapeNone),colorYellow,0,0,10);
What am I doing wrong?
-Eric.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Eric,
> post your code.....Something is missing here. You can send it to me
> privately if you prefer.
>
> Regards,
> Jayson
> -----Original Message-----
> From: ericleake [mailto:eleake@x...]
> Sent: Friday, December 05, 2003 11:36 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Simple Optimize question
>
>
> After hitting the Optimize button.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > Eric,
> > are you trying to find those values after hitting the back test
> button or
> > the optimize button??
> >
> > Regards,
> > Jayson
> > -----Original Message-----
> > From: ericleake [mailto:eleake@x...]
> > Sent: Friday, December 05, 2003 11:10 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Simple Optimize question
> >
> >
> > I have looked through the user guide, but I can't seem to find
what
> > should be a simple answer. I can't find the values used for an
> > optimization.
> >
> > The user guide states that the values used for optimization will
be
> > in the last column of the output window, but my last column
> > is "MaxLoss", and is the same # as the first column, "No." I
don't
> > see the variables listed anywhere else in the output window.
> >
> > -Eric.
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|