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The code is for both IB and AA windows. A ribbon is added to
show the trading phase.
// Nikkei 2003 timing
<FONT
size=2>SYM="^N225";STARTBUY=DateNum()==1030131;STARTSELL=DateNum()==1030217;startIP=DateNum()==1030530;in=DateNum()>=1030530;x=17;EVENT=BarsSince(startIP)%x==0;Plot(50,"",1,1);shape=33+2*(Cum(event)%10);PlotShapes(shape*EVENT,colorIndigo);Plot(0,"",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 trading systemBuy=in*BarsSince(STARTBuy)%BFpass
==0;Sell=in*BarsSince(STARTSell)%SFpass==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,"Equity",colorBrightGreen,styleOwnScale);PlotShapes(shapeUpArrow*Buy,colorBrightGreen);PlotShapes(shapeDownArrow*Sell,colorRed);Plot(
2, "Ribbon",IIf( BarsSince(Buy)>BarsSince(Sell), colorRed, colorGreen),
styleArea|styleNoLabel, -1, 100 );GraphXSpace=5;Title=sym+",
BFpass="+WriteVal(BFpass,1.0)+", SFpass="+WriteVal(SFpass,1.0)+",
Equity="+WriteVal(e1,1.0);
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, December 18, 2003 10:05 AM
Subject: Fw: Artificial Intelligence, an introduction, ^N225
2003
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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Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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