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Yuki,
We saw the same trouble the first days after IP 10.
The system will try Long profits for the next 10 bars [SellFreq is
still 28, we are already 18 bars after the last Sell signal]
As you know, the system checks in every IP the best Equity curve and
trades the next 17 bars according to this principle.
Is there any idea to change the basic principle ?
We can not pick up the ascending curve of the day, it is not good for
the long run.
The [29,33] combination, for example, was ascending today, but it was
not the optimal selection [it is at 16,000 vs 18,000]and [probably]
will not be in the next IP.
Since you watch the code, if you have any idea to change the method,
let me know and I will try to AFL it.
BTW,here is an update for the IP digits.You will read now IP10, IP11
etc [Bill asked the same feature]
// Nikkei 2003 timing
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);
Color=colorIndigo;space=-40;
PlotShapes(shape*EVENT,color,0,Graph0,space);
event1=Cum(event)%10==0 AND Ref(Cum(event)%10,-1)!=0;
Counter1=Cum(event1);
shape1 = IIf(counter1==0,shapeNone,shapeDigit0 + 2 * ( Counter1%
10 )) ;
PlotShapes(event*shape1,color,0,Graph0,space+10);
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 system
Cb=in*BarsSince(STARTBuy)%BFpass ==0;
Cs=in*BarsSince(STARTSell)%SFpass==0;
Cb=ExRem(Cb,Cs);Cs=ExRem(Cs,Cb);
Buy=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(shapeUpTriangle*Cb,colorBrightGreen);
PlotShapes(shapeDownTriangle*Cs,colorRed);
PlotShapes(shapeUpArrow*Cb,colorDarkGreen);
PlotShapes(shapeDownArrow*Cs,colorDarkRed);
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);
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi Dimitris,
>
> Well you said the 225 timing system may need to be reworked
> periodically, and indeed this may be the case. As you have said in
> the past couple weeks, things look rather negative, compared to the
> recent past. Indeed, we had a golden opportunity to rebound
> yesterday, the first day of a 'timing' buy, but the market fell flat
> on its face, despite just about everything else in Asia rising,
> Europe up, and the Globex strong. Likewise, the US fell flat after
a
> one-day rally.
>
> We'll see, but it looks like this timing model is just a touch out
of
> synch right now. The collapse last week saved what was looking like
> a very dicey short signal on 1/13. Now the signal is long, but the
> market appears in no hurry to agree. But it is early, and we shall
> see.
>
> Yuki
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