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Yuki
If something is true when 2 conditions exist, then reversing both conditions
does not make the inverse something true. Confusing, yes. :) Another way is
that you must also take into account all 4 condition options. It takes 3
options to invert 1 option
1st option >= and >=
2ndoption >= and <
3rd option < and >=
4th option < and <
to invert the 1st then you must specify all of the remaining 3 options.
A simpler way is just to say "Not option 1" like this
AND not ( (Ref(Foreign("^225", "Close"),-1) >=
Ref(Foreign("^225","Close"),-2) * 1.01 AND Ref(Foreign("^IXJ",
"Close"),-1) >= Ref(Foreign("^IXJ", "Close"),-2) * 1.01) );
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
-----Original Message-----
From: Yuki Taga [mailto:yukitaga@xxxxxxxxxxxxx]
Sent: Saturday, July 31, 2004 12:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] logic problem
I have a system than runs short term trades, both long and short. I
notice that on days when the market is very strong, say the Nikkei
AND TOPIX are both up more than 1 percent (I'll use 1.1 percent in
the example to follow), taking short signals generated by my system
the next day is ill advised.
I prove this by appending the following to my short statement:
AND (Ref(Foreign("^225", "Close"),-1) >=
Ref(Foreign("^225","Close"),-2) * 1.01 AND Ref(Foreign("^IXJ",
"Close"),-1) >= Ref(Foreign("^IXJ", "Close"),-2) * 1.01);
(^225 is the symbol for the Nikkei 225 and ^IXJ is the symbol for the
TOPIX)
Now, the system ONLY takes shorts in the case I outlined in the first
paragraph (market was quite powerful the day before), and the shorts
are a losing proposition. Ever slightly more losers, and losers
average larger than winners, and the return on shorting is negative.
I am not at all surprised. The total number of shorts involved here
is rather small, 23 out of 323 shorts when I don't worry at all about
the previous day's market direction or strength. I am also not
surprised it is a small number. That kind of volatility (market up
strongly one day but large cap stocks signalling short on my system
the next day) is not that common. But eliminating any unprofitable
element from a profitable system makes a good system even better.
However, when I run what I think is the reverse of this, appending
the following to the short statement in an attempt to eliminate
*only* those 23 shorts . . .
AND (Ref(Foreign("^225", "Close"),-1) <
Ref(Foreign("^225","Close"),-2) * 1.01 AND Ref(Foreign("^IXJ",
"Close"),-1) < Ref(Foreign("^IXJ", "Close"),-2) * 1.01);
. . . I end up eliminating 118 short trades (number of shorts is now
205 versus 323). And the total return is now lower than it is with
the plain vanilla system, run with no reference to the previous day's
indices. Obviously, I am losing too many good shorts, in addition to
the 23 that I want to lose. Otherwise, I should be money ahead if I
have a profitable system that I have just subtracted an unprofitable
element from. But I'm cutting out more than I want to.
So, before I lose my mind ^_^ can someone give me an idea where I
might look to find the reason that so many short trades are
evaporating on the second example? All trades are either 2-bar or
3-bar trades. I cannot understand why there is such a discrepancy.
In all three cases . . . (completely unmodified, taking only the
expected bad shorts, and trying to eliminate only the known bad
shorts) the number of long trades does not vary by a single trade --
there are always 548 long trades in each case. So it's not a matter
of interaction between the long and short sides, and not a matter of
not enough cash or anything simple like that. Whatever it is though,
my head doesn't get it, and I need some help.
Yuki (who has a headache from tying to figure this out)
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