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Before
embarking on a reverse engineering journey, what are "very good" and "Robust"
results?
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size=2>
Can
you give some performance reports/stats?
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best
regards,
<FONT face=Arial color=#0000ff
size=2>Herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: pwaget
[mailto:pwaget@xxxxxxxx]Sent: Monday, April 19, 2004 10:13
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Gaussian Keltner trading system with good resultsThis
trading system in Wealth-lab code gives very good and robust results. Can
someone translate it in AFL ?{$I 'Gaussian'}var Bar,
GaussianKeltnerLong, TuneFactor, SelfTuneEndBar: integer;var BandFactor,
MaxEquity: float;const ProfitTarget = 12;const Days = 1;const
KeltnerHiLoPeriod = 30;const KeltnerAveragePeriod = 9;const
SelfTuneStartBar = 30; SelfTuneEndBar :=
BarCount-1;MaxEquity := -99999999;function LongFilter:
boolean;begin Result := (PriceOpen(Bar) >
@GaussianKeltnerLong[Bar-1]);end;procedure Trade(StartBar, EndBar:
integer);begin for Bar := StartBar to EndBar do
begin if not LastPositionActive
then begin if
LongFilter then BuyAtLimit(Bar+1,
@GaussianKeltnerLong[Bar], 'Long Entry');
end else if
PositionLong(LastPosition) then
begin if not SellAtLimit(Bar+1,
PositionEntryPrice(LastPosition) * (1+ProfitTarget/100), LastPosition,
'ProfitTarget') then if
Bar-PositionEntryBar(LastPosition) = Days-1
then SellAtClose(Bar+1,
LastPosition, 'TimeOut');
end else
end;end;for TuneFactor := 80 to 94 dobegin
GaussianKeltnerLong :=
MultiplySeriesValue(SubtractSeries(GaussianSeries(#AverageC,
KeltnerAveragePeriod, 4), GaussianSeries(SubtractSeries(#High, #Low),
KeltnerHiLoPeriod, 4)), TuneFactor/100);
Trade(SelfTuneStartBar, SelfTuneEndBar); if Equity(SelfTuneEndBar)
> MaxEquity then begin MaxEquity :=
Equity(SelfTuneEndBar); BandFactor :=
TuneFactor/100; end;
ClearPositions;end;GaussianKeltnerLong :=
MultiplySeriesValue(SubtractSeries(GaussianSeries(#AverageC,
KeltnerAveragePeriod, 4), GaussianSeries(SubtractSeries(#High, #Low),
KeltnerHiLoPeriod, 4)), BandFactor);Trade(30,
BarCount-1);PlotSeries(OffsetSeries(GaussianKeltnerLong, -1), 0, #Red,
0);DrawLabel('BandFactor: ' + FloatToStr(BandFactor),
0)Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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