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<FONT face=Arial color=#0000ff
size=2>Eric,
All
the optimizations have been commented out with the //
<FONT face=Arial color=#0000ff
size=2>
for
example you have AVERAGE = 53;
//Optimize("AVERAGE",53,27,80,5); this means the average is set to 53. To
optimize this value you would need to type...
<FONT
face="Courier New">
AVERAGE
= Optimize("AVERAGE",53,27,80,5);
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: ericleake
[mailto:eleake@xxxxxxxxxxxxxxxxxx]Sent: Friday, December 05, 2003
12:21 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Simple Optimize questionActually, 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 FILESEXPLAINATION:
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. STOCHASTICSTRANSLATED:
8/18/03NOTE: THIS IS A MODIFIED VERSION OF
RUTVOL. THIS VERSION PRODUCES MODESTLY BETTER RETURNS WITH SAME DD AS
MEASURED AGAINST $RUT. BELOW ARE THE CHANGES NEED TO CONVERT TO
ORIGINAL RUTVOL.1. RUTTR_BUYCOND has no RSI filtering in the current
RUTTR.2. Current version of RUTVOL does not use the volume AccuTrak in
the volume buy condition*/// STEP #1: ESTABLISH
PARAMETERSRUT = Foreign("$ndx","C");//STOCHASTICSAVERAGE = 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;//MACDShortMA = 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;//RSIRSILEN = 14; //Optimize("RSILEN",14,7,21,1);BuyRSI =
63;SellRSI = 47;ShortRSI = 37;//VOLUME EMAVOLEMA1 = 60;
//Optimize("VOLEMA1",60,30,90,5);VOLEMA2 = 120;
//Optimize("VOLEMA2",120,60,180,5);//VOLUME
ACCUTRACKACCU_SHORTPERIOD = 11;
//Optimize("ACCU_SHORTPERIOD",11,5,16,1);ACCU_LONGPERIOD = 44;
//Optimize("ACCU_LONGPERIOD",44,22,66,3);//TOTAL VOLUME STOCH
CALCTVOL_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 BEGINKSTOCH = 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 BEGINRUTMACD = EMA(RUT,ShortMA) -
EMA(RUT,LONGMA);MACDSignalLINE = EMA(RUTMACD, SignalMA);MACD_HISTO =
RUTMACD - MACDSIGNALLINE;//RSI FILTER BEGINRSIFILTER_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
CONDRUTTR_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
STATERUTTR_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 VOLUPVOLCHG = (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 CALCNQVOL_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*********////CONDITIONSRUTVOL_BUYCOND = TVOL_STOCH_BUYSTATE AND
RUTTR_BUYSTATE;RUTVOL_SELLCOND = NOT TVOL_STOCH_BUYSTATE OR NOT
RUTTR_BUYSTATE;//STATESRUTVOL_BUYSTATE =
Flip(RUTVOL_BUYCOND,RUTVOL_SELLCOND);//SIGNALSBuy =
RUTVOL_BUYSTATE;Sell = NOT RUTVOL_BUYSTATE;//EXREM SIGNALSBuy =
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 BeginsBBandWid =
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@xxxx]> 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@xxxx]> > 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
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