Re: [amibroker] Re: Auto optimization

["Steve Dugas" <sjdugas@xxxxxxxxxxx>]

Hi Stephan,

The code below will do #'s 1 and 2 - it's getting late now, maybe I will try
to add #3 tomorrow. BTW - on my universe of 1600+ stocks, it only returns
5 - if you want to be rewarded with a nice long results list, you will have
to lose that "winning attitude"!   : - )

Steve



// user defined params

MinTrades = 10;

MinPctWinners = 50;

BestEquity = 0;

BestRange = 0;

for( Range = 5; Range < 100; Range++ )

{

Buy = Cross( Close, MA( Close, Range ) );

Sell = Cross( MA( Close, Range ), Close );

Le = LastValue( Equity() );

if( Le > BestEquity )

{

BestEquity = Le;

BestRange = Range;

}

}

Buy = Cross( Close, MA( Close, BestRange ) );

Sell = Cross( MA( Close, BestRange ), Close );

MyEquity = Equity();

BuyEquity = IIf( Buy, MyEquity, 0 );

SellEquity = IIf( Ref( Sell, -1 ), MyEquity, 0 ); // assumes 1 day delay

Profit = IIf( SellEquity, SellEquity - ValueWhen( BuyEquity, BuyEquity ),
0 );

Winners = IIf( Profit > 0, 1, 0 );

Losers = IIf( Profit < 0, 1, 0 );

NumWinners = Cum( Winners );

NumLosers = Cum( Losers );

PctWinners = NumWinners / ( NumWinners + NumLosers ) * 100;

NumTrades = NumWinners + NumLosers;

Filter = BarIndex() == BarCount - 1

AND Equity() > 14000

AND NumTrades > MinTrades

AND PctWinners > MinPctWinners;

AddColumn( BestRange, "Best Range" );

AddColumn( MyEquity, " My Equity" );

AddColumn( NumTrades, "Num Trades", 1.0 );

AddColumn( NumWinners, "Num Winners", 1.0 );

AddColumn( NumLosers, "Num Losers", 1.0 );

AddColumn( PctWinners, "Pct Winners" );

----- Original Message ----- 

From: "drsinfla" <drsteph@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, May 18, 2004 10:16 PM
Subject: [amibroker] Re: Auto optimization


> Answering my own post here for anyone else who comes along.
>
> Regards to question #1 - use the Cum(buy) function to count # of
> trades.  This works ok for a moving average - may need to use an
> EXREM(buy) for other systems prone to generating multiple signals.
>
> Change Filter line to:
>
> Filter = (BarIndex() == BarCount - 1) AND Equity()>14000 AND Cum(buy)
> >10;
>
> & then add a column to see how many trades under the exploration at
> end (last line)
>
> AddColumn(Cum(Buy),"number of trades");
>
> Jury is still out on #2 -I think it can be done using equity()
> processing the array itself to get # of up equity trades and # of
> down equity trades to give me the winners percentage, but haven't
> figured out how yet.
>
> #3, still no clue.
>
> Stephen
>
> --- In amibroker@xxxxxxxxxxxxxxx, "drsinfla" <drsteph@xxxx> wrote:
> > I've been playing around with the for loop optimization done under
> > exploration from a prior 2003 post...
> >
> > Wondering how I would add the following criteria to the optimized
> > exploration in this fashion:
> >
> > 1.  Only display securities which have >10 trades in the time
> period
> > analyzed
> >
> > 2.  Only display securities which have >50% winning trades
> >
> > 3.  Write a column showing maxDD.
> >
> > Any ideas?  Code follows:
> >
> > ************************************
> >
> > bestequity = 0;
> > bestrange = 0;
> >
> > // optimization loop
> >
> > for( range = 5; range < 100; range ++ )
> > {
> >
> >   Buy = Cross( Close, MA( Close, range ) );
> >
> >   Sell = Cross( MA( Close, range ), Close );
> >
> >  Le = LastValue( Equity() );
> >
> >   if( Le > bestequity )
> >   {
> >    bestequity = Le;
> >    bestrange = range;
> >  }
> > }
> >
> > range = bestrange;
> >
> > Buy = Cross( Close, MA( Close, range ) );
> >
> > Sell = Cross( MA( Close, range ), Close );
> >
> > Filter = (BarIndex() == BarCount - 1) AND Equity()>14000;
> >
> > AddColumn( bestrange, "Best range" );
> >
> > AddColumn( Equity(), "Best Equity" );
>
>
>
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> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>




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