|
PureBytes Links
Trading Reference Links
|
Dennis,
My understanding is that when passing a scalar as argument when an
array is expected, then an *entire* array is constructed on the fly
(i.e. as many elements as there are bars under analysis) such that all
elements of the transient array contain the same value - the scaler.
So, taking your example in a 500 bar analysis, you will have created a
500 element array for each of (a>b), (b>c), (b<c) and the result of
IIf. That's 2000 positions in memory that you did not need!
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Mike,
>
> Isn't it great how many ways there are to solve the same problem --
> depending on your frame of mind.
>
> One thing I did not understand about your statement though.
> IIF(condition1, condition2, condition3) does not generate any arrays.
> For example:
>
> a=1; b=2; c=3;
>
> IF( IIF( a>b, b>c, b<c)){statements}
>
> No arrays involved. Although you could conceptually say that every
> number is an array in AFL --some with just one element.
>
> When the conditions are simple like above, execution efficiency does
> not come into play.
>
> But you are right in that both parts of an IIF are evaluated and that
> can make a difference with big arrays.
>
> It is important for all to throughly understand the flow control and
> the IIF() operators since they are the key to program logic. Getting
> tripped up a few times usually does the trick (in my case). That is
> one good reason for newbies to try different ways.
>
> BR,
> Dennis
>
> On Jan 9, 2009, at 7:05 PM, Mike wrote:
>
> > Ok, I give up. Clearly the Yahoo rich text editor is having troubles
> > :( Or maybe it's the Google Chrome browser causing the grief?
> >
> > For the sake of efficiency, I'd go with an if-else
> > instead of creating so many intermediary arrays (condition1,
> > condition2, condition3, resulting IIf) and executing 2 expressions
> > (condition2 and condition3 as per IIf behavior) instead of just 1. You
> > could break out the clauses to make the intent more evident.
> >
> > if (condition1) {
> > if (condition2) {
> > ...
> > }
> > } else if (condition3) {
> > ...
> > }
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >>>
> >>>
> >>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown see3d@ wrote:
> >>>>
> >>>> The way I keep them straight is to think of IF( condition) as a
> > flow
> >>>> control that will only take a True/False scaler, and IIF as an
> >>>> operator that returns an array or scaler value.
> >>>>
> >>>> I sometimes use IIF(condition, 1, null) as a special type of
> >> boolean.
> >>>>
> >>>> You could write IF( IIF( condition1, condition2, condition3 ) )
> >>>> instead of writing IF( ( condition1 AND condition2 ) OR
> >>>> ( NOT( condition1 ) AND condition3 ) )
> >>>>
> >>>> I prefer the first one for readability of intent.
> >>>>
> >>>> IIF can be very useful with scalers.
> >>>>
> >>>> BR,
> >>>> Dennis
> >>>>
> >>>>
> >>>> On Jan 9, 2009, at 3:16 PM, ozzyapeman wrote:
> >>>>
> >>>>> Mike,
> >>>>>
> >>>>> Thank you yet again! The code works, and your insights are
> > very
> >>>>> helpful.
> >>>>>
> >>>>> Each time I think I've coded something correctly, seems I
> > actually
> >>>>> have a number of basic bugs or sloppy implementation. Getting
> > the
> >>> hang
> >>>>> of when to use array functions (iif) vs scalar (if) can also
> > be
> >>>>> confusing sometimes.
> >>>>>
> >>>>>
> >>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> >>>>>>
> >>>>>>
> >>>>>> Ozzy,
> >>>>>>
> >>>>>> You've got a few things going on:
> >>>>>>
> >>>>>> 1. You should not be using IIf in this scenario. Because all
> >> values
> >>>>>> are
> >>>>>> scalers, you should just use a simple if statement.
> >>>>>>
> >>>>>> 2. Since you are initializing WinTest to 0, no WinPct will
> > ever
> >> be
> >>>>>> less
> >>>>>> than it and FinalFast will never be changed from its initial
> >> value
> >>>>>> of 0.
> >>>>>> You must instead initialize WinTest to greater than 100.
> >>>>>>
> >>>>>> 3. You need to do some rudimentary validation on the input
> > data
> >>>>>> before
> >>>>>> blindly trying to work with it. Even after correcting the 2
> >> issues
> >>>>>> above, the last line of your file may be a blank line. This
> >> causes
> >>>>>> StrExtract to return an empty string "" which StrToNum then
> >>>>>> converts to
> >>>>>> a 0. Thus, your lowest %Win would be found to be 0 as would
> > the
> >>>>>> associated fast.
> >>>>>>
> >>>>>> Some additional thoughts:
> >>>>>>
> >>>>>> 1. No need to seperate out the first line read, do it all in
> > the
> >>> same
> >>>>>> while loop.
> >>>>>>
> >>>>>> 2. Move the fclose(fh) inside the if (fh) block.
> >>>>>>
> >>>>>> 3. Good practice to move variables into the smallest scope
> > within
> >>>>>> which
> >>>>>> they will be used.
> >>>>>>
> >>>>>> Have a try with the following:
> >>>>>>
> >>>>>> FinalFast = 0;
> >>>>>>
> >>>>>> fh = fopen( "C:\\logFile2.txt", "r" );
> >>>>>>
> >>>>>> if ( fh )
> >>>>>> {
> >>>>>> WinTest = 101;
> >>>>>>
> >>>>>> while ( !feof( fh ) )
> >>>>>> {
> >>>>>> Line1 = fgets( fh );
> >>>>>> WinsPctStr = StrExtract( Line1, 2 );
> >>>>>>
> >>>>>> if ( WinsPctStr == "" )
> >>>>>> {
> >>>>>> continue;
> >>>>>> }
> >>>>>>
> >>>>>> WinsPct = StrToNum( WinsPctStr );
> >>>>>>
> >>>>>> if ( WinsPct < WinTest )
> >>>>>> {
> >>>>>> FinalFast = StrToNum( StrExtract( Line1, 0 ) );
> >>>>>> WinTest = WinsPct;
> >>>>>> }
> >>>>>> }
> >>>>>>
> >>>>>> fclose( fh );
> >>>>>> }
> >>>>>>
> >>>>>> _TRACE( NumToStr( FinalFast ) );
> >>>>>>
> >>>>>>
> >>>>>> Mike
> >>>>>>
> >>>>>>
> >>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@>
> > wrote:
> >>>>>>>
> >>>>>>> Having a bit of trouble designing a simple parser to extract
> >>> values
> >>>>>> from
> >>>>>>> a csv file. My code only seems to work for some cases, but
> > not
> >>>>>>> others,
> >>>>>>> and I can't seem to figure out why.
> >>>>>>>
> >>>>>>> I have a csv log file with three columns: FastMa, SlowMA,
> >>> %Winners:
> >>>>>>>
> >>>>>>> 11,100,32
> >>>>>>> 22,100,35
> >>>>>>> 31,100,36
> >>>>>>> 43,100,37
> >>>>>>> 52,100,38
> >>>>>>> 23,125,32
> >>>>>>> 32,125,35
> >>>>>>> 44,125,36
> >>>>>>> 53,125,48
> >>>>>>> 12,150,31
> >>>>>>> 25,150,33
> >>>>>>> 34,150,32
> >>>>>>> 46,150,35
> >>>>>>> 54,150,36
> >>>>>>> 26,175,31
> >>>>>>> 36,175,34
> >>>>>>> 47,175,34
> >>>>>>> 55,175,36
> >>>>>>> 27,200,29
> >>>>>>> 37,200,33
> >>>>>>> 48,200,34
> >>>>>>> 57,200,36
> >>>>>>>
> >>>>>>> If I want to extract the value of the FastMA that
> > corresponds to
> >>> the
> >>>>>>> largest %Winner, the following code works correctly and
> > prints
> >> the
> >>>>>> value
> >>>>>>> "53":
> >>>>>>>
> >>>>>>>
> >>>>>>
> >>>>>
> >>>
> >> //------------------------------------------------------------------
> > ----\
> >> \
> >>> \
> >>>>>> \
> >>>>>>> --------
> >>>>>>> // PARSER VERSION 1: Find value of FastMA that corresponds
> > to
> >>>>>>> largest
> >>>>>>> %Winners
> >>>>>>>
> >>>>>>
> >>>>>
> >>>
> >> //------------------------------------------------------------------
> > ----\
> >> \
> >>> \
> >>>>>> \
> >>>>>>> --------
> >>>>>>>
> >>>>>>>
> >>>>>>> fh = fopen( "C:\\logFile2.txt", "r" );
> >>>>>>>
> >>>>>>> FinalFast = WinsPct = WinTest = fast = slow = 0;
> >>>>>>>
> >>>>>>> if(fh)
> >>>>>>> {
> >>>>>>> Line1 = fgets(fh);
> >>>>>>> WinsPct = StrToNum( StrExtract(Line1,2) );
> >>>>>>> WinTest = WinsPct; // initialize WinTest
> >>>>>>>
> >>>>>>> while( !feof(fh) )
> >>>>>>> {
> >>>>>>> Line1 = fgets(fh);
> >>>>>>>
> >>>>>>> fast = StrToNum( StrExtract(Line1,0) );
> >>>>>>> slow = StrToNum( StrExtract(Line1,1) );
> >>>>>>> WinsPct = StrToNum( StrExtract(Line1,2) );
> >>>>>>>
> >>>>>>> FinalFast = IIf(WinsPct > WinTest, fast, FinalFast);
> >>>>>>>
> >>>>>>> _TRACE("FinalFast"+FinalFast);
> >>>>>>>
> >>>>>>> WinTest = IIf(WinsPct > WinTest, WinsPct, WinTest);
> >>>>>>>
> >>>>>>> _TRACE("WinTest"+WinTest);
> >>>>>>>
> >>>>>>> }
> >>>>>>> }
> >>>>>>> fclose(fh);
> >>>>>>>
> >>>>>>> printf(NumToStr(FinalFast) );
> >>>>>>>
> >>>>>>>
> >>>>>>> But if I want to extract the value of the FastMA that
> >> corresponds
> >>> to
> >>>>>> the
> >>>>>>> smallest %Winners, and simply change all ">" to "<", the
> > code
> >>> should
> >>>>>>> work. But it doesn't. Intead of printing "27", it prints
> > "0".
> >> Why
> >>>>>>> are
> >>>>>>> the values being reset to initialization, when it did not
> > happen
> >>>>>>> with
> >>>>>>> the case above? Below is the code. As mentioned, the only
> >> trivial
> >>>>>>> difference are the inequalities. Otherwise, it's identical
> > to
> >> the
> >>>>>> above.
> >>>>>>>
> >>>>>>> Any feedback much appreciated.
> >>>>>>>
> >>>>>>>
> >>>>>>>
> >>>>>>
> >>>>>
> >>>
> >> //------------------------------------------------------------------
> > ----\
> >> \
> >>> \
> >>>>>> \
> >>>>>>> --------
> >>>>>>> // PARSER VERSION 2: Find value of FastMA that corresponds
> > to
> >>>>>>> smallest
> >>>>>>> %Winners
> >>>>>>>
> >>>>>>
> >>>>>
> >>>
> >> //------------------------------------------------------------------
> > ----\
> >> \
> >>> \
> >>>>>> \
> >>>>>>> --------
> >>>>>>>
> >>>>>>>
> >>>>>>> fh = fopen( "C:\\logFile2.txt", "r" );
> >>>>>>>
> >>>>>>> FinalFast = WinsPct = WinTest = fast = slow = 0;
> >>>>>>>
> >>>>>>> if(fh)
> >>>>>>> {
> >>>>>>> Line1 = fgets(fh);
> >>>>>>> WinsPct = StrToNum( StrExtract(Line1,2) );
> >>>>>>> WinTest = WinsPct; // initialize WinTest
> >>>>>>>
> >>>>>>> while( !feof(fh) )
> >>>>>>> {
> >>>>>>> Line1 = fgets(fh);
> >>>>>>>
> >>>>>>> fast = StrToNum( StrExtract(Line1,0) );
> >>>>>>> slow = StrToNum( StrExtract(Line1,1) );
> >>>>>>> WinsPct = StrToNum( StrExtract(Line1,2) );
> >>>>>>>
> >>>>>>> FinalFast = IIf(WinsPct < WinTest, fast, FinalFast);
> >>>>>>>
> >>>>>>> _TRACE("FinalFast"+FinalFast);
> >>>>>>>
> >>>>>>> WinTest = IIf(WinsPct < WinTest, WinsPct, WinTest);
> >>>>>>>
> >>>>>>> _TRACE("WinTest"+WinTest);
> >>>>>>>
> >>>>>>> }
> >>>>>>> }
> >>>>>>> fclose(fh);
> >>>>>>>
> >>>>>>> printf(NumToStr(FinalFast) );
> >>>>>>>
> >>>>>>>
> >>>>>>>
> >>>>>>>
> >>>>>>>
> >>>>>>>
> >>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@
> > wrote:
> >>>>>>>>
> >>>>>>>> My bad. I had changed the location of the file in one area
> > of
> >> the
> >>>>>> code
> >>>>>>>> and neglected the other.
> >>>>>>>>
> >>>>>>>> It works.
> >>>>>>>>
> >>>>>>>> Thanks a bunch!!
> >>>>>>>>
> >>>>>>>>
> >>>>>>>>
> >>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@
> > wrote:
> >>>>>>>>>
> >>>>>>>>> Awesome, Mike. That's exactly the type of thing I was
> > looking
> >>> for.
> >>>>>>>>>
> >>>>>>>>> One problem, though. I try to run your code and only the
> >> column
> >>>>>>>>> titles, "Fast,Slow,PCTWin" get written to the file. The
> > actual
> >>>>>>> values
> >>>>>>>>> are not getting written, despite the fact that my
> > optimization
> >>>>>>> reports
> >>>>>>>>> shows many values corresponding to % winners > 60.
> >>>>>>>>>
> >>>>>>>>> Looking at the trace output indicates the number of
> > triggers
> >> are
> >>>>>>> being
> >>>>>>>>> properly hit. Your code also appears to be quite
> >>> straightforward,
> >>>>>>> and
> >>>>>>>>> I cannot spot any obvious bug.
> >>>>>>>>>
> >>>>>>>>> Did you try running this? Does it work for you? Any idea
> > where
> >>> the
> >>>>>>> bug
> >>>>>>>>> might be?
> >>>>>>>>>
> >>>>>>>>>
> >>>>>>>>>
> >>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@>
> > wrote:
> >>>>>>>>>>
> >>>>>>>>>> AddToComposite is for storing values on a bar by bar
> > basis. I
> >>>>>>> don't
> >>>>>>>>>> think that this would be the right approach for your
> > goals,
> >>>>>> since
> >>>>>>> you
> >>>>>>>>>> are looking for a single scaler value representing total
> >>>>>>>> performance for
> >>>>>>>>>> a given period. Yes, you could write scripts to dig out
> > the
> >>>>>>>> performance
> >>>>>>>>>> metrics and persist the subset of interest. However, it
> > would
> >>> be
> >>>>>>>> easier
> >>>>>>>>>> to just track the interesting ones as they occur. The
> >> following
> >>>>>>>> AFL can
> >>>>>>>>>> be run through the Optimizer and persist in a separate
> > file
> >> the
> >>>>>>>>>> parameter values for only those backtests that were of
> >>> interest.
> >>>>>>> I'll
> >>>>>>>>>> leave the digging out of values in the second AFL to you,
> > as
> >> it
> >>>>>>> sounds
> >>>>>>>>>> like you have an idea already of how you want to do that.
> >> Mike
> >>>>>>>>>> fast = Optimize("Fast", 10, 10, 50, 10); slow =
> >>> Optimize("Slow",
> >>>>>>> 100,
> >>>>>>>>>> 100, 200, 25);
> >>>>>>>>>> Buy = Cross(MA(Close, fast), MA(Close, slow)); Sell =
> >>>>>>> Cross(MA(Close,
> >>>>>>>>>> slow), MA(Close, fast));
> >>>>>>>>>> SetCustomBacktestProc("");
> >>>>>>>>>> if (Status("ActionEx") == actionExOptimizeSetup) {
> >>>>>>>>>> _TRACE("Optimize Begin"); fh =
> >>>>>>>>>> fopen("C:\\temp\\logFile.csv", "w");
> >>>>>>>>>> if (fh) { fputs("Fast,Slow,PCTWin\n", fh);
> >>>>>>>>>> fclose(fh); } }
> >>>>>>>>>> if (Status("action") == actionPortfolio) {
> > _TRACE("Portfolio
> >>>>>>>>>> Backtest"); bo = GetBacktesterObject(); bo.Backtest();
> >>>>>>>>>> stats = bo.GetPerformanceStats(0); pctWinners =
> >>>>>>>>>> stats.getValue("WinnersPercent");
> >>>>>>>>>> if (pctWinners > 60) { _TRACE("Trigger"); fh =
> >>>>>>>>>> fopen("C:\\temp\\logFile.csv", "a");
> >>>>>>>>>> if (fh) {
> >>>>>>>>>> fputs(StrFormat("%f,%f,%f\n", fast, slow, pctWinners),
> >>>>>>> fh);
> >>>>>>>>>> fclose(fh);
> >>>>>>>>>> } }
> >>>>>>>>>> } --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman"
> > <zoopfree@>
> >>>>>>> wrote:
> >>>>>>>>>>>
> >>>>>>>>>>> Sorry if I was not clear enough. I will try to give more
> >>>>>>> details.
> >>>>>>>>>>>
> >>>>>>>>>>> Basically I want to run an optimization on two
> > variables,
> >> then
> >>>>>>>>>>> somehow, automatically, store all values of optimized
> >>>>>> variables
> >>>>>>> that
> >>>>>>>>>>> correspond to a certain metric range (let's say %Winners
> >>
> >>>>>> 60).
> >>>>>>>>>>> Another AFL would then pull that range of optimized
> >> variables
> >>>>>>> for a
> >>>>>>>>>>> backtest.
> >>>>>>>>>>>
> >>>>>>>>>>> I would use the Walk Forward feature of AmiBroker for
> > this,
> >>>>>>>> except it
> >>>>>>>>>>> only uses the 'best' value, not a range of values. My
> > system
> >>>>>>>> requires
> >>>>>>>>>>> a range of values, not just the best one. I also want to
> >>>>>>> permanently
> >>>>>>>>>>> store the best values.
> >>>>>>>>>>>
> >>>>>>>>>>> I am stuck trying to figure out how to automatically
> > pull
> >> the
> >>>>>>>>>>> optimized variables from the optimization report. The
> > custom
> >>>>>>>>>>> backtester only allows me to pull the built-in metrics.
> >>>>>>>>>>>
> >>>>>>>>>>> So the basic question is - how do I extract the
> > optimized
> >>>>>>> variables
> >>>>>>>>>>> after an optimization is run? Do I have to write some
> >> vbscript
> >>>>>>> that
> >>>>>>>>>>> exports the report to csv, then opens that report, then
> >>>>>> somehow
> >>>>>>>> parses
> >>>>>>>>>>> through that report to find the correct column and
> > range? Or
> >>>>>> is
> >>>>>>>> there
> >>>>>>>>>>> (hopefully) a simpler way of extracting the values?
> >>>>>>>>>>>
> >>>>>>>>>>> Once the values are extracted, it is then fairly easy to
> >>>>>> either
> >>>>>>>> write
> >>>>>>>>>>> them to a file or store them in static variables. But I
> > am
> >>>>>>> aiming to
> >>>>>>>>>>> store them in composite symbols, as (a) they are
> > 'permanent'
> >>>>>>> like
> >>>>>>>>>>> external files and (b) my sense is that it is more
> > efficient
> >>>>>> to
> >>>>>>> pull
> >>>>>>>>>>> values from a composite symbol than from an external
> > file.
> >>>>>>>>>>>
> >>>>>>>>>>> As I run through optimizations across different
> > historical
> >>>>>>>> periods, I
> >>>>>>>>>>> want to build a number of composite symbols that contain
> > the
> >>>>>>> 'best
> >>>>>>>>>>> values' of optimized variables for use in 'walk forward'
> >>>>>>> backtests,
> >>>>>>>>>>> and then eventual live trading.
> >>>>>>>>>>>
> >>>>>>>>>>> Hopefully the above is clearer now. Please let me know
> > if
> >> not.
> >>>>>>>>>>>
> >>>>>>>>>>>
> >>>>>>>>>>>
> >>>>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@
> > wrote:
> >>>>>>>>>>>>
> >>>>>>>>>>>> You would have to be a little more clear on exactly
> > what it
> >>>>>> is
> >>>>>>> you
> >>>>>>>>>> are
> >>>>>>>>>>>> trying to accomplish. Though, writing to a file
> > directly,
> >> or
> >>>>>>> using
> >>>>>>>>>>>> static variables might be areas to explore.
> >>>>>>>>>>>>
> >>>>>>>>>>>> Mike
> >>>>>>>>>>>>
> >>>>>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman"
> > <zoopfree@>
> >>>>>>> wrote:
> >>>>>>>>>>>>>
> >>>>>>>>>>>>> Ah. Well that would explain that. Thanks.
> >>>>>>>>>>>>>
> >>>>>>>>>>>>> Any ideas for a possible workaround?
> >>>>>>>>>>>>>
> >>>>>>>>>>>>>
> >>>>>>>>>>>>>
> >>>>>>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@>
> >>>>>>> wrote:
> >>>>>>>>>>>>>>
> >>>>>>>>>>>>>> Ozzy,
> >>>>>>>>>>>>>>
> >>>>>>>>>>>>>> The Stats object only contains values for built in
> >>>>>> metrics
> >>>>>>> as
> >>>>>>>>>>>>>> described here (scroll to bottom):
> >>>>>>>>>>>>>>
> >>>>>>>>>>>>>> http://www.amibroker.com/guide/a_custombacktest.html
> >>>>>>>>>>>>>>
> >>>>>>>>>>>>>> Mike
> >>>>>>>>>>>>>>
> >>>>>>>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman"
> >>>>>> <zoopfree@>
> >>>>>>>>>> wrote:
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> Hello, I've read Herman's excellent doc,
> > "IntroToATC".
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> I am trying to run an optimization, and then store
> > the
> >>>>>>>> values
> >>>>>>>>>> of
> >>>>>>>>>>>> the
> >>>>>>>>>>>>>>> optimized variables in some composite symbols. I
> > later
> >>>>>>>> want to
> >>>>>>>>>>>> pull
> >>>>>>>>>>>>>>> values of a certain range and input them
> > automatically
> >>>>>>> in
> >>>>>>>>>>>> another
> >>>>>>>>>>>>>> AFL.
> >>>>>>>>>>>>>>> However, I keep getting a syntax error that the
> > fields
> >>>>>>>> are not
> >>>>>>>>>>>>>>> available, even though they clearly are.
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> Hoping someone can point out my mistake, or give me
> >>>>>> some
> >>>>>>>>>>>>>> suggestions on
> >>>>>>>>>>>>>>> what else to try.
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> Here is the code. Any ideas? :
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>>
> >>>>>>>>>>
> >>> //--------------------------------------------------------------
> >>>>>>>>>>>> ----
> >>>>>>>>>>>>>> --
> >>>>>>>>>>>>>>> // TRADING SYSTEM
> >>>>>>>>>>>>>>>
> >>>>>>>>>>
> >>> //--------------------------------------------------------------
> >>>>>>>>>>>> ----
> >>>>>>>>>>>>>> --
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> FastMALength = Optimize("FastMALength", 10, 1,
> >>>>>>>> 10,
> >>>>>>>>>>>
> >>>>>>>>>>>>>> 1);
> >>>>>>>>>>>>>>> SlowMALength = Optimize("SlowMALength", 20, 20,
> >>>>>>> 50,
> >>>>>>>>>>>>>> 10);
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> FastMA = MA( C, FastMALength );
> >>>>>>>>>>>>>>> SlowMA = MA( C, SlowMALength );
> >>>>>>>>>>>>>>> Buy = Cross( FastMA, SlowMA );
> >>>>>>>>>>>>>>> Sell = Cross( SlowMA, FastMA );
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>>
> >>>>>>>>>>
> >>> //--------------------------------------------------------------
> >>>>>>>>>>>> ----
> >>>>>>>>>>>>>> --
> >>>>>>>>>>>>>>> // CUSTOM OPTIMIZATION PROCEDURE (Store opt vars in
> >>>>>>>> composite
> >>>>>>>>>>>>>> symbols)
> >>>>>>>>>>>>>>>
> >>>>>>>>>>
> >>> //--------------------------------------------------------------
> >>>>>>>>>>>> ----
> >>>>>>>>>>>>>> --
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> SetCustomBacktestProc( "" );
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> if ( Status( "action" ) == actionPortfolio )
> >>>>>>>>>>>>>>> {
> >>>>>>>>>>>>>>> bo = GetBacktesterObject();
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> // run default backtest procedure
> >>>>>>>>>>>>>>> bo.Backtest( 1 );
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> st = bo.getperformancestats( 0 );
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> // iterate through closed trades first
> >>>>>>>>>>>>>>> for ( trade = bo.GetFirstTrade(); trade; trade =
> >>>>>>>>>>>> bo.GetNextTrade
> >>>>>>>>>>>>>> () )
> >>>>>>>>>>>>>>> {
> >>>>>>>>>>>>>>> FastMALength = st.getvalue( "FastMALength" );
> >>>>>>>>>>>>>>> SlowMALength = st.getvalue( "SlowMALength" );
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>> AddToComposite( FastMALength, "~OptFastMA", "X",
> >>>>>>>>>>>> 1+2+8+16+64 );
> >>>>>>>>>>>>>>> AddToComposite( SlowMALength, "~OptSlowMA", "X",
> >>>>>>>>>>>> 1+2+8+16+64 );
> >>>>>>>>>>>>>>> }
> >>>>>>>>>>>>>>> bo.ListTrades();
> >>>>>>>>>>>>>>> }
> >>>>>>>>>>>>>>>
> >>>>>>>>>>>>>>
> >>>>>>>>>>>>>
> >>>>>>>>>>>>
> >>>>>>>>>>>
> >>>>>>>>>>
> >>>>>>>>>
> >>>>>>>>
> >>>>>>>
> >>>>>>
> >>>>>
> >>>>>
> >>>>>
> >>>>> ------------------------------------
> >>>>>
> >>>>> **** 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
> >>>>>
> >>>>>
> >>>>>
> >>>>
> >>>
> >>
> >
> >
> > ------------------------------------
> >
> > **** 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
> >
> >
> >
>
------------------------------------
**** 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/
|