Re: [amibroker] Re: Optimization Question, AmiBroker Email List Archive

While ExRem would remove superfluous signals, in this case at least its not necessary

----- Original Message -----
From: brianw468
Date: Thursday, January 8, 2009 5:37 pm
Subject: [amibroker] Re: Optimization Question
To: amibroker@xxxxxxxxxxxxxxx

> 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
> > > > > > >
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