|
PureBytes Links
Trading Reference Links
|
Hi Markus --
When the relationship between the two moving average lengths changes, the system changes from being a trend following system to being a mean reversion system. It remains a "long" system when the signals generated are Buy = cross(MA1,MA2); It becomes a "short" system when the signals generated are Short = cross(MA1,MA2);
Why exclude them? You may very well find that the system works best as a mean reversion system.
But if you insist on limiting the variables, try this:
//////////////////////////////////
MA1Length = Optimize("MA1Length",50,50,200,1);
MA2Length = Optimize("MA2Length",100,100,300,1);
MA1 = MA(C,MA1Length);
MA2 = MA(C,MA2Length);
// Generate a Buy signal when MA1 crosses up through MA2,
// but only when the length of MA1 is less than the length of MA2
Buy = (MA1Length<MA2Length) AND Cross(MA1,MA2);
Sell = Cross(MA2,MA1);
///////////////////////////////////
Thanks,
Howard
On Wed, Jan 6, 2010 at 5:44 AM, Markus Witzler <funnybiz@xxxxxx> wrote:
Hello,
let´s say I intend to optimize a 2 MA crossover
system with MA1 and MA2.
Possible range for MA1: 50-200
Possible range for MA2: 100-300
Now, there are some instances in which periodicity
of MA1 is higher than the one of MA2, thereby creating a "short"
system.
How does one exclude these "redundant" combinations
from optimization?
Thanks
Markus
__._,_.___
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
![]()
__,_._,___ |