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Dimitris,
I understand, thank you.
<LABEL id=HbSession
SessionId="2163666004">
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, March 03, 2004 9:14
PM
Subject: [amibroker] Re: The ^AEX
2003timing
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
offor(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)you
tryfor(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);> > > Send BUG REPORTS
to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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