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Thanks Tooz!
Never occurred to me that the values could have more decimal places
than my actual data, which only goes to four. But that was in fact the
issue.
--- In amibroker@xxxxxxxxxxxxxxx, "tuzo_wilson" <j.tuzo.wilson@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> 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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