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Hi Barry,
Many thanks for your reply,
I'm very interested in the results you've
returned with the code running on a hourly chart via futures
contracts.
I wonder
if you optimized the ma's or if those huge returns are with the 8 by 13 ? .I
would be extremely happy with returns that you've mentioned or even part there
of.
From what i've
read in the forum you write/design code to link up with IB similar to what
Graham does for indicators/explorations, maybe i can contact you off the
forum to speak of setting up a Bot system.I have
no IB account at this stage but would be very happy to head in that direction
with your assistance.
re MA(C,MA1length); and MA(C,MA2length); yes thats how i've set up
to optimize the ma's by removing the MA(C,r);/ MA(C,t);//and copying it
behind the ma1length/ma2length while optimizing and then reversing that back
when i know what the fast/slow values were and assigning them to r and
t.
I didn't set up to short as my intention
initially was to try build an EOD system on equity's.
re walkforward and in sample testing,,,my intention
there was to back test 6 months and then trade it forward for a month after a
post i read here in the forum and do some experimenting with that
also.
i'm encouraged and amazed by what you've seen
on the return figures i have been contemplating going to IB soon as
to attempt some intraday work and view system draw downs etc. i wonder
if we can discuss generating a bot system for me please with IB
(?),
(i realise this would not happen overnight as i
know very little about IB itself)
kind regards
Paul
----- Original Message -----
Sent: Monday, October 13, 2008 2:47
AM
Subject: [amibroker] Re: backtesting a
watchlist problem
Some parts of the formula don't make sense. I rewrote the formula and
it is blow and made comments on some lines. For some reason using
positionsize causes the back test to fail but then I was running it
on
TFZ8, R200 futures contract. And I don't try to set back test
parameters
in my code. Anyway the BT ran hourly gave a 430% / year on
this contracts.
But don't believe everything a BT tells you and you
will be far ahead of
the game.
To run back test on a watchlist config the Auto Analysis
window Apply
to, to the watch list you want and run back test. Then set
the Range
from and to to some period. Don't use all quotations. You want
to
develop your system and test it on various periods to see how it
works in different sample sets. I ran this on a WL with the DOW 30.
The BT results will be added to the report.
Barry
Updated
formula:
pFast = Param("Fast MA", 8, 1, 20, 1);
pSlow = Param("Slow MA",
13, 1, 50, 1);
pFast = Optimize("Fast MA", pFast, 2, 50, 1);
pSlow =
Optimize("Slow MA", pSlow, 1, 50, 1);
fma = MA(C, pFast );
//MA(C,MA1length); ## I don't know what this is
but I expect you want
to optimize the MAs in this formula
sma = MA(C, pSlow );
//MA(C,MA2length); ## ditto
PositionScore = RSI(15);
MAup
= Cross(FMA, SMA) AND C > 0.1;
MAdn = Cross(SMA, FMA) AND C > 0.1;
// buy if condition true on last bar close
Buy = Cover = Ref(MAup,
-1) ;
BuyPrice=Open;
// sell if condition true on last bar
close
Sell = Short = Ref(MAdn, -1);
SellPrice = Open; // since you are
examining the last bar you want to
trade on the next open not the next
close
SetTradeDelays(0,0,0,0);
// PositionSize=50000; //
for some reason when I use this the back
test fails
Plot(Close,
"Price", colorBlack, styleBar);
Plot(fma, "Fast MA(" + NumToStr(pFast, 1.0)
+ ")", colorBlue,
styleLine);
Plot(sma, "Slow MA(" + NumToStr(pSlow,
1.0) + ")",
colorRed,styleLine);
PlotShapes(shapeUpArrow
* Buy,colorBrightGreen);//
PlotShapes(shapeDownArrow *
Sell,colorRed);
Filter = Buy OR Sell;
AddColumn(V,"volume");
AddColumn(RSI(15),"rsi");
---
In amibroker@xxxxxxxxxps.com,
"Paul Radge" <paulradge@x..> wrote:
>
> Hi ,
>
Looking for some help again please ,
> re the code below and
explorations/backtest reports,
> r=8;
>
>
t=13;
>
> Plot(Close, "Price", colorBlack, styleBar);
>
>
Plot(MA(Close,r),"r-MA",colorBlue,styleLine);
>
>
Plot(MA(Close,t),"t-MA",colorRed,styleLine);
>
>
>
>
MA1length=Optimize("ma1length",3,2,50,1);
>
>
MA2length=Optimize("MA2length",20,50,100,2);
>
>
fma=MA(C,r);//MA(C,MA1length);////
>
>
sma=MA(C,t);//MA(C,MA2length);////
>
>
PositionScore=RSI(15);
>
> Filter=Cross(FMA,SMA) AND
C>.1 ;
>
>
>
> Buy=Ref(Filter,-1);
>
> BuyPrice=Open;
>
> Sell=Buy;
>
>
SellPrice=Close;
>
> SetTradeDelays(0,0,0,0);
>
> PositionSize=5000;
>
>
PlotShapes(shapeUpArrow*Buy,colorBrightGreen);//
>
> PlotShapes(shapeDownArrow*Sell,colorRed);
>
>
>
> AddColumn(V,"volume");
>
>
AddColumn(RSI(15),"rsi");
>
>
>
> I'm
finding that if i explore a particular date ie 6/10/2008 and
then backtest
on the 7/10/2008 i'm not always backtesting the same
stock that was found
the day before,i say not always as sometimes the
backtest is correct but
not 100% of the time.This worries me because
when i optimize the system i
may be getting a false report.
>
> Within AA i'm using the
function "use filter" and
selecting "define"
,,market=asx,,group=equity's.
>
> Also ,sometimes the
stock that is backtested is not even in the
exploration results list from
the day before,,,,,,,,,,puzzled again.
>
>
>
>
I've also tried scanning the entire asx for stocks with a close
above 0.1
and created a new watchlist and then defined that watchlist
via AA with
similar problems,,,
>
>
>
> Wondering if anyone can
see an error in the code (?) or do you
think i've got a watchlist
population problem or maybe i need to
include a "get watchlist" in the
code,,i have tried looking through
the help file on get watchlist but i'm
getting a little lost there.
>
>
>
> Any advise
would be appreciated as i'm concerned any optimization
or backtest may
include some errors and i need to be confident i've
got a true report of
the system
>
> regards
>
>
Paul
>
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