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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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