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I replaced RSW with WtdMAM for PositionScore and getting slightly
better results:
function MOM(price, momper)
{
// Standard momentum
return (100 * ((price / Ref(price, -momper)) - 1));
}
function MAM(price, momper)
{
// Most Anchored Momentum -
// An outgrowth of a MA filter is that the MA is delayed by the
period/2.
// To get the coincident average of a price N ticks ago, use a period
OR
// N*2 for the MA. This is used to "anchor" the demonimator of the
// momentum calculation.
smaper = 2 * momper + 1;
return (100 * ((price / MA(price, smaper)) - 1));
}
mperiod = 16;
Plot(MOM(Close, mperiod), "MOM", colorYellow, styleLine);
Plot(MAM(Close, mperiod), "MAM", colorGreen, styleLine);
Plot(0, "", colorWhite, styleLine);
WtdMAM = 0.4*MAM(C,63) + 0.2*MAM(C,126) + 0.2*MAM(C,189) +
0.2*MAM(C,252);
PositionScore=WtdMAM;//
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Pal Anand" <palsanand@xxxx> wrote:
> I have it for Mini-Forex as:
>
> Initial equity = 1000
> Positions = Long and Short
> Periodicity = Daily
> Allow position size shrinking
> Reverse entry signal forces exit
> Allow single bar trade (same bar trade)
> MinShares = 130
> Round Lot Size = 10 (Assuming 1 contract = 10 Lots)
> Tick Size = 1
> Commissions & rates = 0 //Assuming no slippages, would set it to
0.5
> for trades > $1,000,000.00
> Annual interest rate = 0
> Margin requirement = 2
>
> LB1=5;LB2=16;
> //MaxOpenPos= LB = Optimize("MaxOpenPos",5,LB1,LB2,1); //Optimized
> using UPI
> MaxOpenPos= LB = Param("MaxOpenPos",5,LB1,LB2,1);
> SetOption("MaxOpenPositions", MaxOpenPos );
>
> MS1=130;MS2=390;
> //MinShares = Optimize("MinShares",130,MS1,MS2,100);
> MinShares = Param("MinShares",130,MS1,MS2,100);
> SetOption("MinShares", MinShares);
>
> PositionSize=-100/MaxOpenPos=-100/5=-20 Lots(-2 Contracts)
> =MaxRisk*Equity/(-MDD/2);
>
> /* Assuming MDD of 30% and verified by MCS. In reality, I limit my
> MaxRisk to 10% per trade, eventhough Optimalf% based on Win/Loss
> ratio of 96/4 comes out with a MaxRisk (Optimalf%) of 92%.
> Historical Kelly Value for MaxRisk = 0.45 */
>
> MaxRisk/trade=-2*(-300/2)/1000=0.3 = 30%
>
> //TR1 = Optimize("TotalReturn1",0.25,0.10,0.50,0.05);
> TR1 = Param("TotalReturn1",0.25,0.10,0.50,0.05);
> //TR2 = Optimize("TotalReturn2",0.45,0.10,0.50,0.05);
> TR2 = Param("TotalReturn2",0.45,0.10,0.50,0.05);
> //TR3 = Optimize("TotalReturn3",0.45,0.10,0.50,0.05);
> TR3 = Param("TotalReturn3",0.45,0.10,0.50,0.05);
> //TR4 = Optimize("TotalReturn4",0.45,0.10,0.50,0.05);
> TR4 = Param("TotalReturn4",0.45,0.10,0.50,0.05);
>
> tr13 = TR1 * (C - Ref(C, -63)) / Ref(C, -63) * 100;
> tr26 = TR2 * (C - Ref(C, -126)) / Ref(C, -126) * 100;
> tr37 = TR3 * (C - Ref(C, -189)) / Ref(C, -189) * 100;
> tr52 = TR4 * (C - Ref(C, -252)) / Ref(C, -252) * 100;
>
> RSW = tr13 + tr26 + tr37 + tr52; //Plan to experiment with Most
> Anchored Momentum (MAM) later
>
> PositionScore = RSW;
>
> Would be curious to know what you come up with. Feedback
appreciated
> from all.
>
> rgds, Pal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "pip_hunter_2003"
> <pip_hunter_2003@xxxx> wrote:
> > How to set up the AmiBroker 4.50 std for EURUSD Forex backtesting?
> >
> > I want to buy and sell only 1 slot / trade.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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