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--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi Dimitris,
>
> Wednesday, December 17, 2003, 10:17:42 PM, you wrote:
>
> First of all, what a wonderful treat to see this. Thank you very
> much for putting time into the 225. I can't tell you how much I
> appreciate it. Rest in line below:
You know ^N225 puzzles me long time ago, since the best N100
indicators/systems just fail [not to say crash] on it.
But, if nothing else, this market should have some rhythms
[especially because of the important role of the foreign money:when
they come, they come to stay and play, when they leave, they do not
come back the same night !!]
> DT> What could we do not to miss the move ? Here is the elementary
> DT> AI proposal:
>
> DT> The first significant ^N225 trough was on Jan31, 2003 and the
> DT> very next significant peak was on Feb17.
> DT> Suppose we follow this pattern and
> DT> then buy every x1 days after the first buy and sell every x2
days after the
> DT> first sell.
> DT> By the end of the first 6 months we try to learn the rhythm of
> DT> the market and trade it for the next 6 months.
> DT> The initial rhythm may need
> DT> corrections as the market changes, inspections every 15-20 days
are
> DT> necessary.
>
> Okay . . . question one is how do we do the inspections? Remember,
I
> am severely handicapped at understanding such complex code. ^_^
>
Nothing to worry about, inspections are automatically executed by the
code. Two bars ago the inspection no9 was automatically added. The
inspection result is written in the title :BFpass=..., SFpass=...
and plotted in the blue-black dotted lines.
Should I add buy/sell arrows in IndBuilder chart ?? Let me know
> DT> The results are interesting:
> DT> There were 3 main rhythm
> DT> combinations [x1,x2], the [29,24] for 34 days, the [26,33] for
the next 34 days
> DT> and, finally,
> DT> a potential combination [25,28] was detected around mid
> DT> September and it is valid untill now.
> DT> Another important issue : The system
> DT> "understood" around mid July that x1 should be < x2.
> DT> It means buys should
> DT> be more frequent than sells, a characteristic of bullish
markets
> DT> [the more
> DT> you delay a Sell, the more part of the bullish trend you
enjoy...]
> DT> The black
> DT> [29,24] equity line was a nice solution up to the end of July,
the white [26,33]
> DT> up to the middle of August.
> DT> The red [25,28] was the most tenacious all year
> DT> long.
>
> Absolutely cannot argue with these results. They are great.
>
> DT> The trading parameters are
>
> DT> Settings Initial Equity: 10000 Periodicity/Positions:
> DT> Daily/Long Short Commissions: 0.50 % Annual interest rate:
> DT> 0.00% Range: 30/5/2003 00:00:00 - 17/12/2003 Apply to: Current
> DT> Symbol Margin requirement: 100 Futures mode: No Def. round
lot
> DT> size: 0 Def. Tick Size 0 Drawdowns based on: Open prices
> DT> Long trades Buy price: Open Sell price: Open Buy delay: 1
> DT> Sell delay: 1 Short trades Short price: Open Cover price:
> DT> Open Short delay: 1 Cover delay: 1 Stops Maximum loss:
> DT> disabled Profit target: disabled Value: 30.00 Value: 20.00
> DT> Exit at stop? yes Exit at stop? no Trailing stop: disabled
> DT> Value: 5.00 Exit at stop? no
>
> Okay, this below I save in my system formulae folder. I shall call
> it 225 Timer System by Dimitris Tsokakis.
>
> DT> FormulaSYM="^N225";in=DateNum()>=1030530;
> DT> STARTBUY=DateNum()==1030131;
> DT> STARTSELL=DateNum()==1030217;
> DT> startIP=DateNum()==1030530;
> DT> x=17;
> DT> // A Hi-pass filter
> DT> EVENT=BarsSince(startIP)%x==0;
> DT> k0=20;Plot(k0,"k0",Cum(1)%2,1);s0=60;
> DT> shape=33+2*(Cum(event)%10);
> DT> PlotShapes(shape*EVENT,colorRed);
> DT> Plot(0,"",1,1);Plot(100,"",1,1);Slevel=80;
> DT> G=0;
> DT> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> DT> {
> DT> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> DT> {
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);
> DT> }}
> DT> BFpass=0;SFpass=0;
> DT> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> DT> {
> DT> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> DT> {
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);
> DT> E11=ValueWhen(EVENT,E1);
> DT> BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1;
> DT> SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1;
> DT> G=IIf(E11==G,0,G);
> DT> }}
>
> DT> Buy=BarsSince(STARTBuy)%bfpass
> DT> ==0;Sell=BarsSince(STARTSell)%sfpass==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
>
> DT> Overall performance summary
>
> Very good of course. Excellent. I am not getting *exactly* the
same
> numbers you are, but they are very close. Let's not worry about
that
> at this moment; I will recheck my settings. The numbers are very
> close, however.
>
> DT> For Indicator builder see the timing coefficients variations
> DT> and the more important equity lines with the code
>
> DT> // ^N225 timing for
> DT> 2003
> DT> STARTBUY=DateNum()==1030131;// first
> DT> trough
> DT> STARTSELL=DateNum()==1030217;// first
> DT> peak
> DT> startIP=DateNum()==1030530;// inspections and trading
> DT> start
> DT> x=17;
> DT> // The Hi-pass
> DT> filter
> DT> EVENT=BarsSince(startIP)%x==0;
> DT> k0=10;Plot(k0,"k0",Cum(1)%2,1);
> DT> s0=60;
> DT> shape=33+2*(Cum(event)%10);
> DT> PlotShapes(shape*EVENT,colorIndigo);
> DT> Plot(0,"",1,1);
> DT> Plot(50,"",1,1);
> DT> G=0;
> DT> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> DT> {
> DT> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> DT> {
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);
> DT> }}
> DT> BFpass=0;SFpass=0;
> DT> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> DT> {
> DT> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> DT> {
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);
> DT> E11=ValueWhen(EVENT,E1);
> DT> BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1;
> DT> SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1;
> DT> G=IIf(E11==G,0,G);
> DT> }}
> DT> Plot(BFPASS,"\nBFpass",colorBlack,8);Plot
(SFPASS,"SFpass",colorBlue,8);
>
> DT> // the 3 main equity lines
>
> DT> BuyFREQ=29;SellFREQ=24;
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);
> DT> Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)
+"]",colorblack,8+styleLeftAxisScale);
>
>
> DT> BuyFREQ=26;SellFREQ=33;
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);
> DT> Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)
+"]",colorwhite,8+styleLeftAxisScale);
>
>
> DT> BuyFREQ=25;SellFREQ=28;
> DT> Buy=BarsSince(STARTBuy)%Buyfreq
> DT> ==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;
> DT> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> DT> e1=Equity(1,0);
> DT> Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)
+"]",colorred,8+styleLeftAxisScale);
>
> Okay, no problems getting that middle chart you have, showing the 3
> equity lines.
>
> I'm having two problems however: 1) Where does that bottom chart
come
> from? 2) I can't seem to get trade arrows on my price chart for
this.
> I know I should be able to right click the trade list in AA and
> select this, but it doesn't seem to be working.
>
> Yuki (who still does not understand, but will)
The bottom chart is the Individual Equity from AA window.
Doubleclick on the results list of the "old" backtester, wait 1-2 sec
and the arrows will appear on the price chart .
Let me know if these technicalities are all OK, because the main
subject will begin after this.
Would it be better to have one unique code for both AA and IB ?
Dimitris Tsokakis
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