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Re: [amibroker] Re: Ignore systems with too few trades during optimization



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Trading Reference Links

I added some money management and backtested this
system with trade delays 1,1,1,1 and it looks
profitable. My question is, is this really a system?
Seeing how it searchs for trades with the For loop, I
find it hard to follow that it is in fact a system.

Any thoughts? 

Eric 
--- drsinfla <drsteph@xxxxxxxxxx> wrote:

> --- In amibroker@xxxxxxxxxxxxxxx, "John Larsson"
> <amibroker@xxxx> wrote:
> > Sometimes when optimizing, a solution with just a
> few trades emerges as 
> > the best. This is probably not an interesting
> solution, because there 
> > is no general capability built into it. It just
> captures a single or a 
> > few very good moves. I'd like to skip these
> solutions.
> >  
> > Is there a way to tell AmiBroker to ignore systems
> with les than N (30 
> > or so) trades during optimization? 
> > Thanks,
> > John
> 
> Do you mean this exploration? ( I thinks so...)
> 
>
--------------------------------------------------------
> 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()>20000 AND
> Equity()<1000000 AND Cum(Buy)>20;
> //assuming risk free rate of return of 5% p.a. you
> need to make >$2000
> profit to justify risk
> //and you should really expect $4000 for a
> reasonable (10%) return
> //and if you don't have at least 20 trades, forget
> it.
> 
> AddColumn( bestrange, "Best range" );
> 
> AddColumn( Equity(), "Best Equity" );
> 
> AddColumn(Cum(Buy),"number of trades");
> 
> 
> 


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