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Hi Ton --
A comment on your example of insisting on fast being less than slow in your example code ---
I understand that that might just have been an example for ease of understanding.
But when the moving average lengths are fast < slow, the system is trend following; when fast > slow, the system is mean reverting. Trading system developers might let fast and slow change relationship, which changes the type of system, creating an adaptive trading system.
Thanks, Howard
On Tue, Mar 4, 2008 at 3:04 PM, Ton Sieverding < ton.sieverding@xxxxxxxxxx> wrote:
Of course ... thanks.
Regards, Ton.
----- Original Message -----
Sent: Tuesday, March 04, 2008 10:41
PM
Subject: Re: [amibroker] Sequential
Optimizations for independent variables
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
}
----- 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)
----- 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;
}
----- 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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