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I modified the AA code as follows:
in_trade_long = Flip( Buy, Sell );
in_trade_short = Flip( Short, Cover);
AddToComposite( in_trade_long, "~OpenLongPosCount", "V" );
AddToComposite( in_trade_short, "~OpenShortPosCount", "V" );
/* We use "~OpenPosLongCount" and "~OpenPosShortCount" artificial
ticker to store the results. Again we should run just Scan of the
formula AND these tickers would become available.
Use */
Graph1 = Foreign( "~OpenLongPosCount", "V");
Graph2 = Foreign( "~OpenShortPosCount", "V");
/* in Indicator Builder after running the back-test to see the chart
of the number of Open long and short positions of your system. */
Modified Indicator code as follows:
Graph1 = Foreign( "~OpenLongPosCount", "V");
Plot(Graph1,"OpenLongPosCount",1,style=1,0,20);
Graph2 = Foreign( "~OpenShortPosCount", "V");
Plot(Graph2,"OpenShortPosCount",2,style=1,0,20);
Plot(7,"My line",colorRed);
Now, I show both open long (12) and short positions (5), but since
the MaxOpenPos has been optimized/set to 7, the trades list has only
7 open positions ( 5 long and 2 short). I have no idea yet what the
issue selection criteria is for long and short trades, though. Can
anybody take a guess?
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> 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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