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Re: [amibroker] Re: Sliding Window


  • Date: Tue, 01 Dec 2009 20:04:53 +0100
  • From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>
  • Subject: Re: [amibroker] Re: Sliding Window

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Hello,

Automatic Walk forward is available from
Automatic Analysis "Walk Forward" button,
configurable in the settings.

For quite obvious reasons, optimization takes more than 1 second,
so although it can be automatic, but it can't be "real time" in purest 
sense of this word.

Best regards,
Tomasz Janeczko
amibroker.com


On 2009-12-01 19:41, angio wrote:
> (:<
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ddd"<angio1967@xxx>  wrote:
>    
>> any help ?
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "Angio"<angio1967@>  wrote:
>>      
>>> I would add in this formula a sliding window that auto-optimizes in real-time mode the values of kappa1 and kappa2 in according to the best ProfitFactor of previous 100 days. In practice ... an automatic Walk Foreward .
>>>
>>> Invest = 100000;
>>> SetOption( "InitialEquity",Invest);
>>> SetOption( "MaxOpenPositions",1);
>>> PositionSize=Invest;
>>> ApplyStop(0,0,0,0);
>>> ApplyStop(1,0,0,0);
>>> ApplyStop(2,0,0,0);
>>> SetTradeDelays(0,0,0,0);
>>> SetBarsRequired( 10000, 10000);
>>>
>>> TimeFrameSet(in5Minute);
>>>
>>> Timeopen=TimeNum()==090000;
>>> Timeclose=TimeNum()==173000 ;
>>> Time1630=TimeNum()==163000 ;
>>>
>>> O_OGGI=ValueWhen(Timeopen,O,1);
>>> C_OGGI=ValueWhen(Timeclose,C,1);
>>> T_1630=ValueWhen(Time1630,C,1);
>>>
>>> Yield1=((T_1630/O_OGGI)-1)*100;
>>> alpha=0.02;
>>>
>>> for( i = 100; i<  BarCount; i++ )
>>> {
>>> avrg1[0]=yield1[0];
>>> avrg1[i]=(1-alpha)*avrg1[i-1]+alpha*yield1[i];
>>> dvst1[0]=yield1[0];
>>> dvst1[i]=sqrt((1-alpha)*dvst1[i-1]^2+alpha*(yield1[i]-avrg1[i])^2);
>>> }
>>>
>>> Input1=IIf((Yield1>2*dvst1),1,IIf((Yield1<-2*dvst1),-1,(Yield1/(2*dvst1))));
>>>
>>> kappa1=Optimize("kappa1", 0.45, 0, 1, 0.05);
>>> kappa2=Optimize("kappa2", -0.95, -1, 0, 0.05 );
>>>
>>> Buy=Time1630 AND Input1>= kappa1;
>>> Sell=Timeopen;
>>> Short=Time1630 AND Input1<= kappa2;
>>> Cover=Timeclose;
>>>
>>> BuyPrice=C;
>>> SellPrice=O;
>>> ShortPrice=C;
>>> CoverPrice=C;
>>>
>>> Buy=ExRem(Buy,Sell);
>>> Sell=ExRem(Sell,Buy);
>>> Short=ExRem(Short,Cover);
>>> Cover=ExRem(Cover,Short);
>>>
>>> PlotShapes( shapeUpArrow* Buy , colorBlue ,0,L);
>>> PlotShapes( shapeHollowUpArrow* Cover ,colorBlue ,0,L);
>>> PlotShapes( shapeHollowDownArrow* Sell,colorRed ,0,H);
>>> PlotShapes( shapeDownArrow* Short, colorRed ,0, H);
>>>
>>> Plot(C,"",colorBlack,styleCandle);
>>> _N(Title = StrFormat("{{NAME}} - ANG Last_H System - {{INTERVAL}} {{DATE}} - Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
>>>
>>> eq=Param("equity",1,0,1,1);
>>> equi=IIf(eq==0,Null,Equity( ));
>>> Cover1=Flip(Cover,Short);
>>> Short1=Flip(Short,Cover);
>>> Buy1=Flip(Buy,Sell);
>>> Sell1=Flip(Sell,Buy);
>>> Plot( Equi-Invest,"\n\Equity",IIf(Buy1,colorPaleTurquoise,IIf(Short1,colorRose,colorLightGrey)), styleArea+styleLeftAxisScale);
>>> dr = Equi- Highest(Equi);
>>> Plot(dr, "Drawdown", colorDarkRed, styleArea+styleLeftAxisScale );
>>> Maxdr=LLV(dr,100000);
>>> Plot( Maxdr , "Max Drawdown", colorDarkRed, styleLine+styleLeftAxisScale );
>>>
>>>
>>> Herman, I have read in the previous messages that you are an expert in these things, which is the way ?
>>>
>>> UseCustomBacktestProc ?
>>>
>>>
>>> thanks for any reply
>>>
>>> Angio
>>>
>>>        
>>      
>
>
>
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>    


------------------------------------

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This is *NOT* technical support channel.

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