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I am just wondering....how many stupid questions do I get, before I
am booted from the group? :)
Maybe we should come up with a rookie system:
After posting 10 stupid quesions, and learning from your mistakes,
you then become the default "stupid question answerer". By my count,
I have 7 more to go.
Thanks again.
-Eric.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Eric,
> All the optimizations have been commented out with the //
>
> 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...
>
> AVERAGE = Optimize("AVERAGE",53,27,80,5);
>
> Regards,
> Jayson
> -----Original Message-----
> From: ericleake [mailto:eleake@x...]
> Sent: Friday, December 05, 2003 12:21 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Simple Optimize question
>
>
> 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.
> > >
> > >
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