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Does anyone know why this would cause Amibroker to crash when trying
to optimize it?
Tks
//X = Param("Lookback Length", 126, 2, 252, 2);
X = Optimize("Lookback Length", 126, 2, 252, 2);
DBA = Foreign("DBA", "C");
DBE = Foreign("DBE", "C");
DBP = Foreign("DBP", "C");
DBV = Foreign("DBV", "C");
EEM = Foreign("EEM", "C");
IYR = Foreign("IYR", "C");
SPY = Foreign("SPY", "C");
TLT = Foreign("TLT", "C");
//AGG1 = IIf(AGG/Ref(AGG,-X) > 1, 1, 0);
DBA1 = IIf(DBA/Ref(DBA,-X) > 1, 1, 0);
DBE1 = IIf(DBE/Ref(DBE,-X) > 1, 1, 0);
DBP1 = IIf(DBP/Ref(DBP,-X) > 1, 1, 0);
DBV1 = IIf(DBV/Ref(DBV,-X) > 1, 1, 0);
EEM1 = IIf(EEM/Ref(EEM,-X) > 1, 1, 0);
IYR1 = IIf(IYR/Ref(IYR,-X) > 1, 1, 0);
SPY1 = IIf(SPY/Ref(SPY,-X) > 1, 1, 0);
TLT1 = IIf(TLT/Ref(TLT,-X) > 1, 1, 0);
Total = DBA1 + DBE1 + DBP1 + DBV1 + EEM1 + IYR1 + SPY1 + TLT1;
A = C/Ref(C,-X);
Cond1 = IIf(A > 1, 1, -1);
B = A*Cond1;
SetBacktestMode( backtestRotational );
//WRH = Param("Worst Rank Held", 1, 1, 10, 1);
SetOption("WorstRankHeld", LastValue(Total));
//HMB = Param("Hold Min Bars", 5, 1, 21, 1);
//SetOption("HoldMinBars", HMB);
//PosSize = Param("Position Size", 1, 1, 25, 1 );
SetOption("MaxOpenPositions", LastValue(Total) );
PositionSize = -100/LastValue(Total);
//Buy = A > 0 AND Cond1 == 1;
//Sell = A < 0 AND Cond1 != 1;
PositionScore = B;
Filter = 1;
AddTextColumn(FullName(), "ETF Name");
AddColumn(A, "Return", 1.5 );
AddColumn(B, "Adjusted Return", 1.5 );
AddColumn(Total,"Total", 1);
//AddColumn(AGG1,"AGG", 1);
AddColumn(DBA1,"DBA", 1);
AddColumn(DBE1,"DBE", 1);
AddColumn(DBP1,"DBP", 1);
AddColumn(DBV1,"DBV", 1);
AddColumn(EEM1,"EEM", 1);
AddColumn(IYR1,"IYR", 1);
AddColumn(SPY1,"SPY", 1);
AddColumn(TLT1,"TLT", 1);
Plot(Ref(C,-X), "Close", colorYellow, styleLine);
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