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--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Tuzo,
>
> Thanks for the cleaner code and division by 0 catch (and for staying up
> late!)
I was up anyway. :)
> I assume that this part: "if ( PairFrequency != 0 )..." should be part
> of the barcount loop. But either way, it does not work.
In your first example the avg calculation was in the loop so the avg
was only calculated if there was a buy signal so you would never have
a division by zero error. But, you don't need to calculate the
average every iteration -- just at the end.
> There is still a mysterious bug. Now all values of DistanceMin are 0,
> even though by definition they have to be greater than 0.
I think the logic is OK. Your issue is formatting related. In the line:
StrFormat( "%.0f,%.0f,%.0f,%.4f,%.4f\n", PairFrequency, Fast, Slow,
DistanceMin, DistanceAvg )
You are only printing out the first 4 decimal places (rounded). So if
your min is small (e.g. 0.00002) then it will show as zero. Remove
the formatting and change it to:
StrFormat( "%.0f,%.0f,%.0f,%f,%f\n", PairFrequency, Fast, Slow,
DistanceMin, DistanceAvg )
and you should see the correct values. Here is what I get:
798,5,15,0.000020,0.056575
Good luck...remember that _TRACE is your friend!
Tuzo
> The code logic seems so straightforward, it's hard to figure out why
> this isn't working just as is.
>
> Anyone?
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "tuzo_wilson" <j.tuzo.wilson@>
> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@ 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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