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I came out with the following results adding more code:
eq = Foreign("~~~EQUITY", "C");
cash = Foreign("~~~EQUITY", "L");
dr = eq - Highest(eq);
MR1 = 0.1;
MR2 = 0.5;
MaxRisk = Optimize("MaxRisk",0.10,MR1,MR2,0.05);
Pd1=3;Pd2=12;LB1=1;LB2=17;
MaxOpenPos= LB = Optimize("MaxOpenPos",7,LB1,LB2,1);
//MaxOpenPos= LB = Param("MaxOpenPos",7,LB1,LB2,1);
GPS = (MaxRisk * eq)/dr;
PositionSize = GPS = -100/MaxOpenPos;
MaxOpenPos =
SetOption("MaxOpenPositions", MaxOpenPos );
Period = Pd = Param("Period", 3, Pd1, Pd2, 1 );
//Period = Pd = Optimize("Period", 3, Pd1, Pd2, 1 );
OptStart = (Pd = 3) AND (LB = 1) AND (MR1 = 0.1);
It was interesting to find that there were a range of values for
MaxRisk and the same MaxOpenPos for the highest CAR/MDD and UPI, but
all the values in the optimization were the same for this range.
Since, I want to minimize the Max% of the closed equity to
risk/trade, I guess I need to use the minimum in this range, which is
0.10 (10% Max risked/trade).
Also, concidentally or optimally, the MaxOpenPos came out to be 7,
which is also the same value I originally chose as part of the trader-
defined criteria. Still the discrepancy with the MaxOpenPos and the
Composite ~OpenPosCount through which I got 12 positions open now,
(where I plot it in a indicator window), still exists.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> Thanks. I optimized the Max Open Positions to 8.
>
> Maxpos=Optimize("maxpos",8,1,20,1);
> PositionSize = -100/Maxpos;
> SetOption("MaxOpenPositions", Maxpos );
>
> I am getting 8 positions open in the Results window:
>
> 12/4/03
>
> Entry signals(score):GU-9967=short(-1) UC-9967=buy(1)
>
> Exit signals:GU-9967=sell UC-9967=cover
>
> Enter Short GU-9967 Price: 1.7278 Shares: 250
> Commission: 0 Rank: -1 Equity 3712.71
>
> Enter Long UC-9967 Price: 1.3007 Shares: 350
> Commission: 0 Rank: 1 Equity 3712.71
>
> 8 Open Positions:$C-9967 $E-9967 AU-9967
> AC-9967 E$-9967 EA-9967 GU-9967
> UC-9967 Equity: 3718.23 Cash: 317.445
>
> But I find a discrepancy with the Open position count using the
> following code, where I got 11 positions open, when I plot it in a
> indicator window using
>
> Graph1 = Foreign( "~OpenPosCount", "V");
> Plot(Graph1,"OpenPosCount",1,style=1,0,100);
>
> The following is in Automatic Analysis:
>
> /* the following line uses Flip function to get "1" after the buy
> signal and reset it back to "0" after sell appears. */
>
> in_trade = Flip( Buy, Sell );
>
> AddToComposite( in_trade, "~OpenPosCount", "V" );
>
> /* We use "~OpenPosCount" artificial ticker to store the results.
> Again we should run just Scan of the formula AND
the "~OpenPosCount"
> ticker would become available.
>
> Use */
>
> Graph0 = Foreign( "~OpenPosCount", "V");
>
> /* in Indicator Builder after running the back-test to see the
chart
> of the number of Open positions of your system. */
>
> Can somebody tell me why this discrepancy occurs. TIA.
>
> rgds, Pal
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bvandyke" <bvandyke@xxxx> wrote:
> > Pal,
> >
> > Try the following example and modify the # of positions as needed:
> >
> > Maxpos=Optimize("maxpos",2,1,4,1);
> > PositionSize = -100/Maxpos;
> > SetOption("MaxOpenPositions", Maxpos );
> >
> > Bill
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
> wrote:
> > > Hi All,
> > >
> > > Does anybody has the code for Optimizing Max Open Positions. I
> > > remember seeing it somewhere in AFL guides. I can't seem to
find
> > it
> > > now or remember how to do it.
> > >
> > > TIA
> > >
> > > rgds, Pal
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