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The 25/28 combination is still the timing
preference.
As the time frame increases, the system "understands" that it
could work with higher harmonics and presents resonance behavior.
Multiples of 25 [50] and multiples of 28 [56, 84, 112] appear
in the top of the extended optimization
// Nikkei 2003 timing extended
OptimizationSYM="^N225";STARTBUY=DateNum()==1030131;STARTSELL=DateNum()==1030217;BuyFREQ=Optimize("bf",10,10,120,1);SellFREQ=Optimize("sf",10,10,120,1);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);
The 50/84 would give 6trades/6winners/0losers as you may see
in the upper graph.
The Inspection Points could "see" this opportunity and select
higher harmonics as you may see in the lower graph.
This harmonics should be used if we extend the 2003 timing for
more than a year, else the regular range [10 to 40] is closer to
the real conditions [I think it is not easy to have a yearly
perspective and, on the other side, Sell every 112 bars...]
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, January 21, 2004 9:09 AM
Subject: The top4 competition
The optimization
// Nikkei 2003 timing
OptimizationSYM="^N225";STARTBUY=DateNum()==1030131;STARTSELL=DateNum()==1030217;BuyFREQ=Optimize("bf",10,10,40,1);SellFREQ=Optimize("sf",10,10,40,1);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);gives
the top4 combinations25/28, 18/37, 33/28, 16/28.
The graph
// Nikkei 2003 timing
GraphSYM="^N225";STARTBUY=DateNum()==1030131;STARTSELL=DateNum()==1030217;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);Plot(Equity(),WriteVal(BuyFREQ,1.0)+"/"+WriteVal(SellFREQ,1.0),1,1);BuyFREQ=18;SellFREQ=37;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);Plot(Equity(),WriteVal(BuyFREQ,1.0)+"/"+WriteVal(SellFREQ,1.0),2,1);BuyFREQ=33;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);Plot(Equity(),WriteVal(BuyFREQ,1.0)+"/"+WriteVal(SellFREQ,1.0),4,1);BuyFREQ=16;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);Plot(Equity(),WriteVal(BuyFREQ,1.0)+"/"+WriteVal(SellFREQ,1.0),5,1);
gives more details.The future is, as usual,
unknown.Dimitris Tsokakis
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