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<FONT face=Arial color=#0000ff
size=2>Eric,
You
keep track.... we will hold you an the honor system to assume your
responsibilities when the time is right :)
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: ericleake
[mailto:eleake@xxxxxxxxxxxxxxxxxx]Sent: Friday, December 05, 2003
1:04 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Simple Optimize questionI 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@xxxx]> 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@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.> > >> > >> >
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