|
PureBytes Links
Trading Reference Links
|
Fred, Thanks for the prompt response. I hadn't looked at your
combined Buy and Sell statements carefully enough before posting.
To pursue this topic, I assume that you then use ExRem on the
combined Buy and Sell results, and then for the surviving Buys and
Sells see how many have RSIUse = 0, etc.
My approach would have been to have the combined Buy read:-
Buy = RSIBuy OR STOBuy OR MACDBuy;
Then do an ExRem
on the surviving Buys and Sells and check how many have RSIUse =1,
etc.
It appears that both approaches should give the same results, but I
need to examine both in detail to check it out.
Brian
--- In amibroker@xxxxxxxxxxxxxxx, ftonetti@xxx wrote:
>
> The OR for each individual indicator is written so that a Buy
status exists when either the indicator is in Buy territory or is of
No ( 0 ) Use ... Thus when the combined Buy is evaluated all
indicators should either be in Buy territory or be of No ( 0 ) Use.
>
> Another possibly more sophisticated way to attack this might be to
have a voting mechanism or a weighted voting mechanism ...
>
> ----- Original Message -----
> From: brianw468
> Date: Thursday, January 8, 2009 4:03 pm
> Subject: [amibroker] Re: Optimization Question
> To: amibroker@xxxxxxxxxxxxxxx
>
> > 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@ 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
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|