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Employing "Use" variables as shown below is a clever approach to
sorting out useful vs non-useful indicators, BUT am I missing
something basic here? The "OR" parts of each condition seem wrong.
Surely the code should read (e.g):-
RSIx>Ref(RSIx,-1) AND RSIUse == 1;
and similar for the other indicators.
Brian
--- In amibroker@xxxxxxxxxxxxxxx, ftonetti@xxx wrote:
>
> One way to code this is as below ...
>
> One could of course code in separate "Use" optimizable variables
for each of the indicators to allow them to be independently used or
not on the buy / sell side.
>
> The default values in the optimization statements below were
arrived at from the best results based on CAR - MDD over the entire
life of a common Index using daily data. Notice that the
optimization process determined NOT to use the MACD indicator i.e.
MACDUse = 0 but did employ the other two.
> RSILen = Optimize("RSILen", 43, 1, 100, 1);
> RSIUse = Optimize("RSIUse", 1, 0, 1, 1);
> RSIx = RSI(RSILen);
> RSIBuy = RSIx > Ref(RSIx, -1) OR RSIUse == 0;
> RSISell = RSIx < Ref(RSIx, -1) OR RSIUse == 0;
> StoLen1 = Optimize("StoLen1", 16, 1, 100, 1);
> StoLen2 = Optimize("StoLen2", 25, 1, 100, 1);
> StoLen3 = Optimize("StoLen3", 99, 1, 100, 1);
> StoUse = Optimize("StoUse", 1, 0, 1, 1);
> StoK = StochK(StoLen1, StoLen2);
> StoD = StochD(StoLen1, StoLen2, StoLen3);
> StoBuy = StoK > StoD OR StoUse == 0;
> StoSell = StoK < StoD OR StoUse == 0;
> MACDLen1 = Optimize("MACDLen1", 32, 1, 100, 1);
> MACDLen2 = Optimize("MACDLen2", 60, 1, 100, 1);
> MACDLen3 = Optimize("MACDLen3", 48, 1, 100, 1);
> MACDUse = Optimize("MACDUse", 0, 0, 1, 1);
> MACDx = MACD(MACDLen1, MACDLen2);
> MACDs = Signal(MACDLen1, MACDLen2, MACDLen3);
> MACDBuy = MACDx > MACDs OR MACDUse == 0;
> MACDSell = MACDx < MACDs OR MACDUse == 0;
> Buy = RSIBuy AND StoBuy AND MACDBuy;
> Sell = RSISell AND StoSell AND MACDSell;
>
>
> ----- Original Message -----
> From: longarm61
> Date: Thursday, January 8, 2009 12:49 am
> Subject: [amibroker] Re: Optimization Question
> To: amibroker@xxxxxxxxxxxxxxx
>
> > Thanks, appreciate it. If it's not too much trouble, could you
> > (or
> > someone) give me a quick example of how exactly that would be
coded?
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, ftonetti@ wrote:
> > >
> > > One way to do this is to have an on/off ( 1/0 ) optimizable
> > variable for each indicator so that individual indicators are
> > either
> > used or not and then let optimzation make the determination.
> > >
> > > ----- Original Message -----
> > > From: longarm61
> > > Date: Wednesday, January 7, 2009 8:25 pm
> > > Subject: [amibroker] Optimization Question
> > > To: amibroker@xxxxxxxxxxxxxxx
> > >
> > > > Is there a way to optimize a group of indicators so that the
> > > > results
> > > > not only give you the optimized values, but also tell you
> > which
> > > > indicators you'd have better off not using at all? Something
> > > > like
> > > > this:
> > > >
> > > > Best return: Indicator1=80, Indicator2=NO, Indicator3=50,
> > > > Indicator4=NO
> > > >
> > > > Thanks in advance,
> > > >
> > > > Grant
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
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