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Bruce, thanks a bunch. That's a nifty solution.
It will take me a few days to play around with it, and I will post any
questions here should they come up. But it looks like it will do
exactly what I was hoping for!
Thanks again.
--- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@xxx> wrote:
>
> Part II -
>
> I mentioned that I had needed to detect IS/OOS in walk-forward testing
> for signal work. It is actually needed for several applications, and
> again I hope that Tomasz adds the status property. Below is a brief,
> demo example that might be of use. Side note - Yahoo really sucks for
> doing this ! At least, I've met my yearly posting target for 2009 :-)
>
> It is a very simple 2MA crossover optimization that was used to
> initially test OptSampleType(). It is NOT meant to be practical. It
> can be run, for example, on the SP500 in "Easy mode" as follows -
>
> Start - 12/31/2001
> End - 12/31/2002
> Last - 9/30/2003
> Step - 3 months
> NOT anchored
> Optimization target - CAR/MDD
>
> These parameters don't have to be used, but this example shows some
> interesting tidbits. For example, it show the limitations in
> transitioning from a bear to a bull period with limited lookback. It
> also shows some boundary effects in the walk-forward mode. But these
> are stories for another day.
>
> Anyway, here's a snippet of the _Trace output -
>
> Name = SP-CP , ActionEx = 14 , From = 6/30/2003 , To = 9/30/2003 ,
> OptSampleType = 3
> Fast = 45 , Slow = 49
> Signals -
> BUY - 6/30/2003
> SELL - 8/15/2003
> BUY - 8/27/2003
> SELL - 9/10/2003
> BUY - 9/17/2003
> Name = SP-CP , ActionEx = 14 , From = 9/30/2003 , To = 12/31/2003 ,
> OptSampleType = 3
> Fast = 97 , Slow = 75
> Signals -
> SELL - 9/30/2003
>
> Finally, the code -
>
>
//--------------------------------------------------------------------------------------------------
> //
> // Simple 2MA Optimization.afl - 1/18/09
> //
> // Example to show use of OptSampleType() function. Note that this
> is meant as a
> // non-practical example that demonstrates a special case and a
> boundary condition
> // related to signals in a walk-forward optimization.
> //
>
//--------------------------------------------------------------------------------------------------
>
> #include <OptSampleType.afl>
>
> // Get the optimization pass type - this must be outside of any
> conditionals
> samptype = OptSampleType( );
>
> // Test routine for OptSampleType
>
> // Choose an engine and set a simple, short optimization
> OptimizerSetEngine( "spso" ); // cmae, trib
> OptimizerSetOption( "Runs", 2 );
> OptimizerSetOption( "MaxEval", 500 );
>
> // Simple 2 MA crossover system
> fast = Optimize( "Fast MA", 13, 1, 100, 1 );
> slow = Optimize( "Slow MA", 55, 1, 100, 1 );
> Buyimp = Cross( MA( C, fast ), MA( C, slow ) );
> Sellimp = Cross( MA( C, slow ), MA( C, fast ) );
> Short = Cover = 0;
>
> // Handle a signal in progress at the start of the period - note that
> // this will introduce a few redundant signals (if first signal of OOS
> // period is the same as the last signal of the last OOS period).
These
> // will have to be filtered later, but it is the easiest way for this
> demo
> Buystate = Flip( Buyimp, Sellimp );
> Sellstate = NOT Buystate;
> fbir = Status( "firstbarinrange" );
> Buy = Buyimp OR fbir * Buystate;
> Sell = Sellimp OR fbir * Sellstate;
>
//--------------------------------------------------------------------------------------------------
>
> // Debug output
> if ( samptype == 3 )
> {
> _TRACE ( "Name = " + StrLeft( Name( ) + " ", 5 )
> + " , ActionEx = " + Status( "actionex" )
> + " , From = " + NumToStr( DateTimeConvert( 2, Status(
> "rangefromdate" ) ), formatDateTime )
> + " , To = " + NumToStr( DateTimeConvert( 2, Status( "rangetodate"
> ) ), formatDateTime )
> + " , OptSampleType = " + samptype
> );
> _TRACE( " Fast = " + fast + " , Slow = " + slow );
> }
>
> // Show the signals for the out-of-sample period
> if ( samptype == 3 )
> {
> bi = BarIndex( );
> bi = bi - bi[ 0 ];
> dt = DateTime( );
> fbi = LastValue( ValueWhen( Status( "firstbarinrange"), bi ) );
> lbi = LastValue( ValueWhen( Status( "lastbarinrange" ), bi ) );
> _TRACE( " Signals - " );
> for ( i = fbi; i <= Lbi; i++ )
> {
> if ( Buy[ i ] )
> _TRACE( " BUY - " + NumToStr( dt[ i ], formatDateTime ) );
> if ( Sell[ i ] )
> _TRACE( " SELL - " + NumToStr( dt[ i ], formatDateTime ) );
> }
> }
>
>
//--------------------------------------------------------------------------------------------------
>
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