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Sjaak,
Yes.
As you see, there are two double FOR loops with 30*30=900 steps per
loop.
It will be even slower if you extend the search area, if, for
example, instead of
for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
you try
for(BuyFREQ=10;BuyFREQ<80;BuyFREQ++)
to catch the higher harmonics.
As the time goes by some harmonics have better behavior. If, for
example, the BFpass=25/SFpass=28 is the optimal choice after the
first six months, the BFpass=25/SFpass=56 may appear as a better
choice [56=2*28] or the BFpass=25/SFpass=84 [84=3*28]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, sjaak haasnoot <sjaakhaasnoot@xxxx>
wrote:
> Hello Dimitris,
>
> I did everything, step by step, and it's working.
> However the chart comes very slowly and the computer is working
slow with it.
> Is this normal?
>
> Sjaak
>
>
>
>
>
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, February 27, 2004 10:44 AM
> Subject: [amibroker] The ^AEX 2003timing
>
>
> ^AEX example is an opportunity to describe this timing procedure
for those who did not follow the related messages.
>
> STEP1.
> Find the first significant peak/trough of 2003
> Although it is subjective, I will use an average zig(C,6) as a
measure
> Begin with
> Plot(Zig(C,6),"",colorYellow,1);
> Plot(C,"",colorBlack,64);
> to see the first peak on Jan2, 2003 and the first trough on
Feb10, 2003
> STEP2.
> By the end of May2003 run the
>
> // ^AEX 2003 timing Optimization
> SYM="^AEX";
> STARTBUY=DateNum()==1030210;
> STARTSELL=DateNum()==1030102;
> BuyFREQ=Optimize("bf",25,10,40,1);
> SellFREQ=Optimize("sf",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);
>
> The top combination was bf=18, sf=28, ie buy every 18 bars/sell
every 28 bars.
>
> STEP3.
> Since 18+28=46 and 46/2=23, we may define the period of
Inspection Points as x=23 [or x=24, if you prefer even numbers].
> It means we shall check the optimal bf/sf every 24 bars.
> STEP4.
> Insert these ^AEX numbers [the STARTBUY/STARTSELL/INSPECTION
PERIOD]in the basic Ind. builder code
> and...thats it !!
>
> // ^AEX 2003 timing
> // The following 4 lines need to change for another index study
> SYM="^AEX";
> STARTBUY=DateNum()==1030210;// the datenum of the first
significant trough
> STARTSELL=DateNum()==1030102;// the datenum of the first
significant peak
> INSPECTIONPERIOD=24;// the average of the optimal bf+sf is a good
point to start the period research
> // The following lines are the same for any index study
> x=INSPECTIONPERIOD;
> startIP=DateNum()==1030530;in=DateNum()>=1030530;
> EVENT=BarsSince(startIP)%x==0;
> Plot(50,"",1,1);
> // INSPECTION COUNTER
> 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);
> // OPTIMAL BF, SF SELECTION
> 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);
>
>
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