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Hello Yofa,
In an attempt to improve stops optimizing a FX system I was piking
trades randomly out of signals generated by my entry logic.
The funny thing is that I get better results by removing the entry
logic completely.
SetOption( "initialequity", 100 );
SetOption( "FuturesMode" , 1);
SetOption( "ActivateStopsImmediately",
0 );
SetOption( "Allowsamebarexit", 0 );
SetOption( "PriceBoundChecking", 0 );
SetOption( "MaxOpenPositions" , 500);
PointValue = 1;
MarginDeposit = -2;
SetBarsRequired(-2,-2);
sl= Optimize("stop loss", 200, 10 , 200, 20)/100;
tp = Optimize("take profit", 10, 10 , 200, 20)/100;
tmf =inHourly;
TimeFrameSet(tmf);
Buy = mtRandomA()>mtRandomA();
Short
= !Buy;
sl = sl* ATR(10);
tp = tp*ATR(10);
Buy = Buy * !IsNull(sl);
Short
= Short
* !IsNull(sl);
TimeFrameRestore();
Buy = TimeFrameExpand(Buy, tmf );
Short
= TimeFrameExpand(Short, tmf );
Buy = BarsSince(!Buy)==1;
Short
= BarsSince(!Short)==1;
sl = TimeFrameExpand(sl, tmf );
tp = TimeFrameExpand(tp, tmf );
spread = 0;//2* TickSize ;
BuyPrice
= C *
(1+ spread);
ShortPrice = C * (1- spread);
Sell =
Cover
= 0;
ApplyStop( stopTypeLoss, stopModePoint, sl,
1,0 );
ApplyStop( stopTypeProfit, stopModePoint ,
tp, 1,0 );
SetPositionSize(
5 , spsPercentOfEquity
);
eq = Equity(1);
Plot(eq,"", colorRed, styleLine+styleOwnScale);
totbuy = Cum(Buy);
totshort = Cum(Short);
tot = totbuy + totshort;
pctLongs = totbuy/tot*100;
SetChartOptions(
0, chartShowDates | chartShowArrows );
Plot( C, "Longs %: "+ pctLongs +"\n" + Date() , colorWhite, styleBar );
PlotShapes( Buy* shapeSmallUpTriangle,
colorGreen, 0, L );
PlotShapes( Short* shapeSmallDownTriangle, colorRed, 0, H );
Yofa wrote:
Hi All,
I'm trying to improve my
optimization method. So I divided my trading system into parts: entry
logic, trade management logic (trailing, profit target, volatility
exit, etc ), filters, etc.
I created a random entry system,
that uses the same trade management logic as my trading system.
With random entries I optimized the
parameters of the trade management logic. I also try to improve filters
the same way.
My questions:
Is there anyone who uses similar
technic for optimization?
Is there anyone how uses similar
approach to validate the trading system and its parameters?
Is it reasonable optimization
method?
Any opinion or experiance
appreciated.
Regards,
Y
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