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<SPAN
class=570094919-18122003>The key question is whether any information available
*beforehand* can tell you what MA period to use *going forward*.
<SPAN
class=570094919-18122003>
<SPAN
class=570094919-18122003>It's not my impression that prior performance, at
least as captured by the simple measures I applied to equity feedback, does
this very well. Unfortunately, that conclusion was the main take-away I got from
the auto-optimization framework. Maybe I didn't use the right performance
metrics, or go far enough in some other sense.
<SPAN
class=570094919-18122003>
<SPAN
class=570094919-18122003>If you figure out how to make it sing the song of the
grail, Clue Me (:-)
<SPAN
class=570094919-18122003>
<SPAN
class=570094919-18122003>Dave
<SPAN
class=570094919-18122003>
<BLOCKQUOTE
>Dave
and Dimitris,Is it possible that Dimitri's InspectionPoints approach,
or your Continuous Equity Feedback method could help in the following
situation:My trade signals are generated by OB/OS indicators in
conjunction with the underlying market trend. Market trend is determined
either by MA crossovers or the one day ROC of a moving average. The
problem of course is what MA to use. One that worked well in 1997 for
example was pretty useless in 1999. This can be seen using the following
simplified code where the MA has been optimized for each
year.period = IIf(Year() == 1995, 105,IIf(Year() == 1996,
29,IIf(Year() == 1997, 143,IIf(Year() == 1998, 4,IIf(Year() ==
1999, 1,IIf(Year() == 2000, 25,IIf(Year() == 2001, 150,IIf(Year()
== 2002, 43,33))))))));Buy = ROC(MA(C,period),1)>0;Sell =
ROC(MA(C,period),1)<0;Short=Sell;Cover=Buy;Run on QQQ with no
margin it produces a net% profit of 2677%, but that is with perfect rear
vision. I tried unsuccessfully to modify your code to handle this (must
spend more time with the user guide) What do you think? Is it worth
pursuing?Keith--- In amibroker@xxxxxxxxxxxxxxx, "Dave
Merrill" <dmerrill@xxxx> wrote:> while Demitris' was looking
into InspectionPoints, I've been investigating> continuous equity
feedback as a way of setting parameters for trading> indicators.
where InspectionPoints test past performance every specified>
number of days, the code below tests performance for this stock and
adjusts> parameter settings on every bar. it also skips the trade
completely if no> parameter combination was profitable. the
performance metric used is> smoothed return over the prior 3
years.> > results have been more mixed than I expected. for
certain stocks, it works> quite while, for many others, not well at
all. testing the NASDAQ 100 from> 1/1/94 to present, 51% of stocks
made a profit, 42% lost, and 8% didn't> trade at all.>
> since it does work very well on some stocks, one interesting next
step would> be to trade it as a ranked portfolio, using past
performance as> PositionScore. however, for PositionScore to have the
effect of selecting> only stocks that trade profitably this way,
there have to be significantly> more simultaneous entry signals
than available positions. this requires> widening the universe of
stocks examined well beyond the N100. for other> systems I've done
using that principle, I used the whole NASDAQ, but with> bar by bar
optimization of each individual stock, this auto-optimization>
system is quite slow. the N100 took somewhere upwards of 30 minutes on
my> 800mHz PIII laptop, so running the whole NASDAQ as a scored
portfolio is out> of reach for me I think.> > anyway,
here's the code, for comments, bug finding, and food for thought.>
> dave> > ===========================> //
CONFIG> has_min_vol = (MA(v, 50) > 1000000) or (MarketID(1) ==
"Mutual Funds");> is_min_price_long = c > 1;>
is_min_price_short = c > 5;> equity_lookback_bars = 252 * 3;>
equity_lookback_smoothing = 5;> > // SIGNALS> best_profit
= 0;> best_range = 0;> best_smoothing = 0;> for(range =
2; range <= 50; range++) {>
for(smoothing = 2; smoothing <= 50; smoothing++) {>
// calc
indicator w those settings>
stoD =
StochD(range, smoothing, smoothing);>
stoK = StochK(range, smoothing);>
sig = stoD -
stoK;> //
calc buy/sell/short/cover w those settings>
long_signal =
Cross(sig, 0);>
short_signal = Cross(0, sig);>
buy = cover =
long_signal;>
sell = short = short_signal;>
buy = buy and
is_min_price_long and has_min_vol;>
short = short and is_min_price_short and
has_min_vol;>
// calc performance w those settings>
e = Equity(0,
0);>
e_ref = Ref(e, -equity_lookback_bars);>
profit = MA((e - e_ref) / e_ref,
equity_lookback_smoothing) * 100;>
// track settings w best performance and
resulting performance>
is_new_best = IIf(profit > best_profit, 1,
0);>
best_profit = IIf(is_new_best, profit, best_profit);>
best_range =
IIf(is_new_best, range, best_range);>
best_smoothing = IIf(is_new_best, smoothing,
best_smoothing);> }>
}> > // calc real signals w optimal settings> stoK
=>
MA(100*(C-LLV(L,best_range))/(HHV(H,best_range)-LLV(L,best_range)),best_smoo>
thing);> stoD = MA(stoK, best_smoothing);> sig = stoD -
stoK;> > // calc buy/sell/short/cover w optimal settings>
long_signal = Cross(sig, 0);> short_signal = Cross(0, sig);> buy
= cover = long_signal;> sell = short = short_signal;> buy = buy
and is_min_price_long and has_min_vol;> short = short and
is_min_price_short and has_min_vol;> > // don't buy or short
unless profitable> buy = buy and best_profit > 0;> short =
short and best_profit > 0;Send
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