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--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
Ozzy,
You've got a lot going on there. :)
It's 1:30am here so I don't have time to go into it all but this should hopefully do what you want. Take a look and see if it helps.
//
-----------------------------------------------------------------------
// SIMPLE TRADING SYSTEM
//
-----------------------------------------------------------------------
BuyPrice = SellPrice
= ShortPrice = CoverPrice = Close;
Fast = Optimize( "fast", 5, 5, 10, 1 );
Slow = Optimize( "Slow", 15, 10, 15, 1 );
FastMA = MA( C, Fast );
SlowMA = MA( C, Slow );
Buy = Cross( Close, FastMA );
Sell = Cross( SlowMA, Close );
Short = Sell;
Cover = Buy;
//
-----------------------------------------------------------------------
// DUMP STATS TO FILE: Distance between the
Close and FastMA @ Buy
//
-----------------------------------------------------------------------
// For each
Fast/Slow Pair buy, dump stats to a file.
// Find the
Minimum and Average Distances for each Pair.
Distance = Close - FastMA;
PairFrequency = 0;
DistanceMin =
DistanceSum = DistanceAvg = 0;
for ( i = 0; i < BarCount
- 1; i++ )
{
if ( Buy[i] )
{
// If current distance is less than the
current min or this is the first time
// then set DistanceMin
if ( Distance[i] < DistanceMin ||
PairFrequency == 0 )
{
DistanceMin = Distance[i];
}
PairFrequency++;
DistanceSum += Distance[i];
}
}
// Avoid division
by zero error otherwise may show 1.#INF
if ( PairFrequency
!= 0 )
{
DistanceAvg = DistanceSum / PairFrequency;
}
fh = fopen( "C:\\DistanceStats.csv", "a" ); // a = appending, write our stats to
file
if ( fh )
{
fputs( StrFormat( "%.0f,%.0f,%.0f,%.4f,%.4f\n", PairFrequency,
Fast, Slow, DistanceMin, DistanceAvg ), fh );
fclose( fh );
}
Tuzo
> Hello, hoping someone can help spot the bug in this rather simple code.
> I can't seem to find the flaw.
>
> All I am trying to do is optimize over a pair of variables, and dump a
> database to a file that contains some stats for each winning pair.
> Namely, I want to calculate the minimum distance between the Close and
> FastMA, as well as the average distance - over all the Buys for each
> pair of optimization variables.
>
> While everything appears to work fine, the problem is that sometimes the
> minimum is larger than the average! And of course, that cannot be. If
> you run an optimization and open up the resulting CSV file, you will see
> what I mean.
>
> I've been staring at this loop for hours, and just can't see how it can
> be wrong. But of course it must be. It's probably something obvious that
> my brain is overlooking. Any input much appreciated!
>
>
> //
> -----------------------------------------------------------------------
> // SIMPLE TRADING SYSTEM
> //
> -----------------------------------------------------------------------
>
> BuyPrice = SellPrice = ShortPrice = CoverPrice = Close;
>
>
> Fast = Optimize( "fast", 5, 5, 10, 1 );
> Slow = Optimize( "Slow", 15, 10, 15, 1 );
>
> FastMA = MA(C, Fast);
> SlowMA = MA(C, Slow);
>
> Buy = Cross( Close, FastMA);
> Sell = Cross( SlowMA, Close);
>
> Short = Sell;
> Cover = Buy;
>
>
> //
> -----------------------------------------------------------------------
> // DUMP STATS TO FILE: Distance between the Close and FastMA @ Buy
> //
> -----------------------------------------------------------------------
>
>
> // For each Fast/Slow Pair buy, dump stats to a file.
> // Find the Minimum and Average Distances for each Pair.
>
>
> Distance = Close - FastMA;
>
> PairFrequency = 0;
>
> DistanceMin = DistanceSum = DistanceAvg = DistanceOld = 0;
>
> for (i = 0; i < BarCount - 1; i++)
> {
> if(Buy[i])
> {
> PairFrequency++;
>
> if(Distance[i] < DistanceOld) DistanceMin = Distance[i];
>
> DistanceSum = DistanceSum + Distance[i];
> DistanceAvg = DistanceSum/PairFrequency;
>
> DistanceOld = Distance[i];
> }
> }
>
> fh = fopen( "C:\\DistanceStats.csv", "a" ); // a = appending, write our
> stats to file
>
> if ( fh )
> {
> fputs( StrFormat( "%.0f,%.0f,%.0f,%.4f,%.4f\n", PairFrequency, Fast,
> Slow, DistanceMin, DistanceAvg), fh );
> fclose( fh );
> }
>
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