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Eric: before you use up your next stupid question, be aware that if you
uncomment all the optimize statements I saw in your code, AB will tell
you that it cannot do the optimization....there will be too many
combinations. Perhaps you realize that or have experienced it.
When it comes to trying to optimize 16 variables or however many you
have typed in the code, you will open up several discussions that have
passed here before
--- ones on degrees of freedom and the wisdom of trying to optimize many
many variables.
--- ones on how to break up lots of variables into smaller groups and
manually go from group to group (you get the groups optimized but in the
sphere of 16 variable space you are no where near the "one true
optimum".
--- ones on how to sequence the increment in the optimize statement from
large values until you can narrow in on the useful range (again probably
useless for large numbers of variables.
I once tried this (16 or so variables), tutored by one of the master's
on the list. I know whereof I speak. The optimized equity curve of the
system in-sample was a beauty to behold. Straight upward sloping equity
line, very little drawdown, sometimes triple digit CAR. I was spending
the money as I typed.
Then I rean OOS (out of sample). Care to guess where the equity curve
went? Right.
I would suggest you start with something far more simple than that
RUTVOL stuff to practice your first series of optimizations.
Next question?
Ken
-----Original Message-----
From: ericleake [mailto:eleake@xxxxxxxxxxxxxxxxxx]
Sent: Friday, December 05, 2003 1:04 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Simple Optimize question
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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