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[amibroker] Fw: Artificial Intelligence, an introduction, ^N225 2003



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Some details:
The system is Short since Dec2.
It will cover and buy again in 7 bars.
The last 4 trades are profitable.
Dec16 was the 9th inspection day, the [25,28] combination is 
again the timing preference for the next 17 bars.
[25,28] is the top combination for a 5th period, it is quite 
successful.
[33,28] is ready to replace [25,28] , if the rhythm needs some 
change.
[An intelligent system should always take care  of the 
succession...]
Spy the future of the system with the simple
<FONT 
size=2>SYM="^N225";in=DateNum()>=1030530;STARTBUY=DateNum()==1030131;STARTSELL=DateNum()==1030217;startIP=DateNum()==1030530;BuyFREQ=Optimize("b",33,10,40,1);SellFREQ=Optimize("s",28,10,40,1);Buy=BarsSince(STARTBuy)%Buyfreq 
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
 
[33,28] and its harmonic hybrid [16,28] are the probable 
successors of the long-time champion [25,28]
 
Dimitris Tsokakis
----- Original Message ----- 
From: <A 
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis 

To: <A title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Wednesday, December 17, 2003 3:17 PM
Subject: Artificial Intelligence, an introduction, ^N225 
2003

Yuki wrote at <A 
href="">http://groups.yahoo.com/group/amibroker/message/54931
<FONT face="Times New Roman" 
size=2>"...There are a lot of people who missed the move this year, 
and..."
What could we do not to miss the move ? Here is the elementary 
AI proposal:
 
The first significant ^N225 trough was on Jan31, 2003 and the 
very next significant peak was on Feb17.Suppose we follow this pattern and 
then buy every x1 days after the first buy and sell every x2 days after the 
first sell.By the end of the first 6 months we try to learn the rhythm of 
the market and trade it for the next 6 months.The initial rhythm may need 
corrections as the market changes, inspections every 15-20 days are 
necessary.The results are interesting:There were 3 main rhythm 
combinations [x1,x2], the [29,24] for 34 days, the [26,33] for the next 34 days 
and, finally, a potential combination [25,28] was detected around mid 
September and it is valid untill now.Another important issue : The system 
"understood" around mid July that x1 should be < x2. It means buys should 
be more frequent than sells, a characteristic of bullish markets [the more 
you delay a Sell, the more part of the bullish trend you enjoy...]The black 
[29,24] equity line was a nice solution up to the end of July, the white [26,33] 
up to the middle of August.The red [25,28] was the most tenacious all year 
long.The trading parameters are
 


  
  
    Settings

  
  
     
  
    Initial Equity:
    10000
    
    Periodicity/Positions: 
    Daily/Long Short
  
    Commissions:
    0.50 %
    
    Annual interest rate:
    0.00%
  
    Range:
    30/5/2003 00:00:00 - 17/12/2003
    
    Apply to:
    Current Symbol
  
    Margin requirement:
    100
    
    Futures mode:
    No
  
    Def. round lot size:
    0
    
    Def. Tick Size
    0
  
    Drawdowns based on:
    Open prices
    
     
     
  
    Long trades
  
    Buy price:
    Open
    
    Sell price: 
    Open
  
    Buy delay:
    1
    
    Sell delay: 
    1
  
    Short trades
  
    Short price:
    Open
    
    Cover price: 
    Open
  
    Short delay:
    1
    
    Cover delay: 
    1
  
    Stops
  
    Maximum loss:
    disabled
    
    Profit target: 
    disabled
  
    Value:
    30.00
    
    Value: 
    20.00
  
    Exit at stop?
    yes
    
    Exit at stop? 
    no
  
     
  
    Trailing stop:
    disabled
    
      
     
  
    Value:
    5.00
    
      
     
  
    Exit at stop?
    no
    
      
     


  
  
    FormulaSYM="^N225";in=DateNum()>=1030530; 
STARTBUY=DateNum()==1030131; 
STARTSELL=DateNum()==1030217; 
startIP=DateNum()==1030530; 
x=17; 
// A Hi-pass filter 
EVENT=BarsSince(startIP)%x==0; 
k0=20;Plot(k0,"k0",Cum(1)%2,1);s0=60; 
shape=33+2*(Cum(event)%10); 
PlotShapes(shape*EVENT,colorRed); 
Plot(0,"",1,1);Plot(100,"",1,1);Slevel=80; 
G=0; 
for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++) 
{ 
for(SellFREQ=10;SellFREQ<40;SellFREQ++) 
{ 
Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy; 
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short); 
e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11); 
}} 
BFpass=0;SFpass=0; 
for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++) 
{ 
for(SellFREQ=10;SellFREQ<40;SellFREQ++) 
{ 
Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy; 
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short); 
e1=Equity(1,0); 
E11=ValueWhen(EVENT,E1); 
BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1; 
SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1; 
G=IIf(E11==G,0,G); 
}} 
 
Buy=BarsSince(STARTBuy)%bfpass ==0;Sell=BarsSince(STARTSell)%sfpass==0;Short=Sell;Cover=Buy; 
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);


  
  
    Overall performance summary
  
     
  
    Total net profit:
    4079.56
     
    Total commissions paid:
    895.39
  
    Return on account:
    40.80 % 
     
    Open position gain/loss
    -34.86
  
    Buy&Hold profit:
    2121.88
     
    Bars (avg. days) in test:
    137 (201)
  
    Buy&Hold % return:
    21.22%
     
    System to Buy&Hold index:
    92.26%
  
     
  
    Annual system % return: 
    86.13%
     
    Annual B&H % return:
    41.83%
  
     
  
    System drawdown:
    -339.32
     
    B&H drawdown:
    0.00
  
    Max. system drawdown:
    -961.08
     
    B&H max. drawdown:
    -1793.58
  
    Max. system % drawdown:
    -8.11%
     
    B&H max. % drawdown:
    -13.39%
  
    Max. trade drawdown:
    -961.08
     
     
     
  
    Max. trade % drawdown:
    -8.11%
     
     
     
  
    Trade drawdown:
    -484.71
     
     
     
  
     
  
    Total number of trades:
    8
     
    Percent profitable:
    75.0%
  
    Number winning trades:
    6
     
    Number losing trades:
    2
  
    Profit of winners:
    4696.27
     
    Loss of losers:
    -719.72
  
    Total # of bars in winners:
    117
     
    Total # of bars in losers:
    15
  
    Commissions paid in winners:
    677.37
     
    Commissions paid in losers:
    218.01
  
     
  
    Largest winning trade:
    1390.45
     
    Largest losing trade:
    -380.40
  
    # of bars in largest winner:
    23
     
    # bars in largest loser:
    9
  
    Commission paid in largest winner:
    110.42
     
    Commission paid in largest loser:
    117.32
  
     
  
    Average winning trade:
    782.71
     
    Average losing trade:
    -359.86
  
    Avg. # of bars in winners:
    19.5
     
    Avg. # bars in losers:
    7.5
  
    Avg. commission paid in winner:
    112.90
     
    Avg. commission paid in loser:
    109.01
  
    Max consec. winners:
    3
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    2
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    98.5%
     
    Risk adjusted ann. return:
    87.41%
  
    Ratio avg win/avg loss:
    2.18
     
    Avg. trade (win & loss):
    497.07
  
    Profit factor:
    6.53
     
    
    



  
  
    Performance for ^N225 
  
     
  
    Total net profit:
    4079.56
     
    Total commissions paid:
    895.39
  
    Return on account:
    40.80 % 
     
    Open position gain/loss
    -34.86
  
    Buy&Hold profit:
    2121.88
     
    Bars (days) in test:
    137 (201)
  
    Buy&Hold % return:
    21.22%
     
    System to Buy&Hold index:
    92.26%
  
     
  
    Annual system % return: 
    86.13%
     
    Annual B&H % return:
    41.83%
  
     
  
    System drawdown:
    -339.32
     
    B&H drawdown:
    0.00
  
    Max. system drawdown:
    -961.08
     
    B&H max. drawdown:
    -1793.58
  
    Max. system % drawdown:
    -8.11%
     
    B&H max. % drawdown:
    -13.39%
  
    Max. trade drawdown:
    -961.08
     
     
     
  
    Max. trade % drawdown:
    -8.11%
     
     
     
  
    Trade drawdown:
    -484.71
     
     
     
  
     
  
    Total number of trades:
    8
     
    Percent profitable:
    75.0%
  
    Number winning trades:
    6
     
    Number losing trades:
    2
  
    Profit of winners:
    4696.27
     
    Loss of losers:
    -719.72
  
    Total # of bars in winners:
    117
     
    Total # of bars in losers:
    15
  
    Commissions paid in winners:
    677.37
     
    Commissions paid in losers:
    218.01
  
     
  
    Largest winning trade:
    1390.45
     
    Largest losing trade:
    -380.40
  
    # of bars in largest winner:
    23
     
    # bars in largest loser:
    9
  
    Commission paid in largest winner:
    110.42
     
    Commission paid in largest loser:
    117.32
  
     
  
    Average winning trade:
    782.71
     
    Average losing trade:
    -359.86
  
    Avg. # of bars in winners:
    19.5
     
    Avg. # bars in losers:
    7.5
  
    Avg. commission paid in winner:
    112.90
     
    Avg. commission paid in loser:
    109.01
  
    Max consec. winners:
    3
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    2
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    98.5%
     
    Risk adjusted ann. return:
    87.41%
  
    Ratio avg win/avg loss:
    2.18
     
    Avg. trade (win & loss):
    497.07
  
    Profit factor:
    6.53
 
 
For Indicator builder see the timing coefficients variations 
and the more important equity lines with the code
 
 
// ^N225 timing for 
2003STARTBUY=DateNum()==1030131;// first 
troughSTARTSELL=DateNum()==1030217;// first 
peakstartIP=DateNum()==1030530;// inspections and trading 
startx=17;// The Hi-pass 
filterEVENT=BarsSince(startIP)%x==0;k0=10;Plot(k0,"k0",Cum(1)%2,1);s0=60;shape=33+2*(Cum(event)%10);PlotShapes(shape*EVENT,colorIndigo);Plot(0,"",1,1);Plot(50,"",1,1);G=0;for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++){for(SellFREQ=10;SellFREQ<40;SellFREQ++){Buy=BarsSince(STARTBuy)%Buyfreq 
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}}BFpass=0;SFpass=0;for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++){for(SellFREQ=10;SellFREQ<40;SellFREQ++){Buy=BarsSince(STARTBuy)%Buyfreq 
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);E11=ValueWhen(EVENT,E1);BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1;SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1;G=IIf(E11==G,0,G);}}Plot(BFPASS,"\nBFpass",colorBlack,8);Plot(SFPASS,"SFpass",colorBlue,8);
// the 3 main equity lines
BuyFREQ=29;SellFREQ=24;Buy=BarsSince(STARTBuy)%Buyfreq 
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)+"]",colorblack,8+styleLeftAxisScale);<FONT 
size=2>
BuyFREQ=26;SellFREQ=33;Buy=BarsSince(STARTBuy)%Buyfreq 
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)+"]",colorwhite,8+styleLeftAxisScale);
BuyFREQ=25;SellFREQ=28;Buy=BarsSince(STARTBuy)%Buyfreq 
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)+"]",colorred,8+styleLeftAxisScale);
 
Dimitris Tsokakis


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