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Hello,
You should do this the other way round - don't generate trades
when values are conflicting:
For example, in the main code (not in custom backtester), add
the following
if( Fast > Slow )
{
PositionSize = 0; // don't enter any
trades
}
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, March 04, 2008 10:33
PM
Subject: Re: [amibroker] Sequential
Optimizations for independent variables
Sure, I know Tomasz... But that doesn't solve my
problem. And my problem is that I am getting several conflicting values from
the optimizer. In the underneath mentioned code there is a logical rule that
says : Fast must be smaller than Slow. So when I am getting as optimal values
a result like let's say Fast = 100 and Slow = 10, there is
something wrong from a logical perspective. In practice I cannot accept these
values. To avoid them I want to alter the result of the 'Objective
Function' ( ObFn ) during the optimization process by simply changing the
result in a very negative value so that in the Sort it will no longer be on
top of the list. During the optimization process I need something
like : if fast>slow then ObFn = -100. And that doesn't work because AB
tells me that I am using a variable ( fast or slow ) not being initialized.
What of course is correct. Therefore I would like to get these values with
GetValue(). Hoping not to get the error
message again -)
Regards, Ton.
----- Original Message -----
Sent: Tuesday, March 04, 2008 9:28
PM
Subject: Re: [amibroker] Sequential
Optimizations for independent variables
The values are available as a result of OPTIMIZE
function:
fast = Optimize("fast", 12, 5, 20, 1 ); // 'these are values of opt
variables
slow = Optimize("slow",
26, 10, 25, 1 );
(note optimize calls should be on
GLOBAL level (i.e OUTSIDE "if" of custom backtest
proc)
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, March 04, 2008 9:14
PM
Subject: Re: [amibroker] Sequential
Optimizations for independent variables
Thanks for that one and something else about
optimization Thomasz/Herman. I know how to get the built-in backtester
statistics with GetValue. Let's say :
RetValue = st.getvalue("CAR");
But how do I get the values of both optimized
values in underneath mentioned code ?
I tried the same way as above but
failed. What I did was something like :
OptFast =
st.getvalue("fast");
OptSlow =
st.getvalue("slow");
But that did gave me errors. What's
wrong with that ? Why ? The requested field is not available ? But
didn't I initialize both fields in the Optimize instruction ? Both fields
show up in the optimization list in AA. I
don't understand what going wrong ...
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
st =
bo.GetPerformanceStats(0);
fast =
Optimize("fast", 12, 5, 20, 1 );
slow = Optimize("slow", 26, 10, 25, 1 );
Regards, Ton.
----- Original Message -----
Sent: Tuesday, March 04, 2008 2:19
PM
Subject: Re: [amibroker] Sequential
Optimizations for independent variables
Opt =
Optimize("TotalOpt",10,1,200,1);
switch( 1 )
{
case TotalOpt <=100:
Opt1 = TotalOpt;
Opt2 = 10;
break;
case TotalOpt > 100:
Opt1 = 10;
Opt2 =
TotalOpt - 100;
break;
}
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, March 04, 2008
2:10 PM
Subject: [amibroker] Sequential
Optimizations for independent variables
Awhile back I suggested, on the feedback site, an option to perform
sequential optimizations. The response was that this is already
possible, however I can't figure out how. Can someone explain to me
how to run the following two optimizations sequentially, that is
independently, one after another?
Opt1 = Optimize("Opt1",10,1,100,1);
Opt2 = Optimize("Opt2",10,1,100,1);
Sequential optimization would only require 200 opt cycles, while
the normal opt procedure is designed for dependent variables and
requires 10,000 opt cycles. Sequential opts for independent variables
would, in this case, be almost 100 times faster. I bet many users
don't consider whether the opt variables are independent or not...
doing so could turn a two hour opt into a 1 minute opt.
AFAIK, Opt()s cannot be if()d, and their arguments cannot be
changed dynamically, right?
I must be (again) missing something obvious.
many thanks,
herman
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