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[amibroker] I optimize, reset defaults, run backtest and can't duplicate results


  • Date: Thu, 04 Mar 2010 22:32:21 -0000
  • From: "graphman27" <steve@xxxxxxxxxxxxxxxxxxx>
  • Subject: [amibroker] I optimize, reset defaults, run backtest and can't duplicate results

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Greetings:  I've only had this happen a few times, but I run an optimization, choose the best parameters, insert them as the new default values and run another backtest.  98% of the time, with all my different strategies, I can duplicate the optimized results, which is obviously what should happen.  However, on a few occasions, I follow those steps and get results not even close to the optimized values.

I'm assuming there is something wrong with the simple code I use in this strategy.  Maybe something with the "Buy" or "SELL" segment and not properly using "CROSS."  Being a newbie to AmiBroker, I can't see the problem, but I'm sure someone with good afl skills will probably immediately spot it:

EMAShortBuy=Optimize("EMAShortBuy",10,4,10,2);
EMALongBuy=Optimize("EMALongBuy",50,20,60,10);
StochRange1=Optimize("StochK1",20,10,40,10);
StochRange2=Optimize("StochK2",2,1,3,1);

Buy = 	Cross(EMA( Close,EMAShortBuy ),EMA( Close,EMALongBuy ));

Sell = StochK(StochRange1,StochRange2)>75;

Short = 0;

Cover = 0;

Plot( EMA ( Close,10 ),"Short EMA", colorGreen, styleThick ); 
Plot( EMA ( Close,50 ),"Long EMA", colorRed, styleThick );
Plot( StochK ( 25,2 ),"stochk", colorBlue, styleThick ); 

/* max loss stop optimization */

ApplyStop(stopTypeLoss, 
         stopModePercent, 
         Optimize( "max. loss stop level", 0, 2, 10, 2 ), 
         True ); 

ApplyStop(stopTypeTrailing, 
         stopModeRisk, 
         Optimize( "trailing loss stop level", 0, 10, 90, 10 ), 
         True ); 

Any ideas are welcomed.



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