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Hi MG Ferreira:
I fixed the error of the negative value for the weighting factor,
but there are a lot of rooms for improvement, such as
- DR daily return
- P2 penalty function
- PC percentage to penalise with
- BUY and SELL signals for System Tester
The results for weighting factors will resend to your email address
due to file size. There is some problem on my metastock, it cannot be
able to display the equity line after evaluation, I think I need to
reinstall it, but you can run it and see the equity line.
Do you see any room for improvement?
Thank you
Eric :>
=================>B=================
{Normalization - Sample - Moving Average}
Ss:=Cross(Mov(C,20,S),C);
Sl:=Cross(C,Mov(C,20,S));
ST:=1;
ST:=Ss+Sl+(Ss=0)*(Sl=0)*Ref(ST,-1);
Vs:=C-Mov(C,20,S);
Vl:=C-Mov(C,20,S);
TT:=Min(0,Vs)*(ST<0)+Max(0,Vl)*(ST>0);
TT;
=================>B=================
{Normalization - Sample - RSI}
II:=RSI(14);
Ss:=-(II<70)*(Ref(II,-1)>=70);
Sl:=+(II>30)*(Ref(II,-1)<=30);
ST:=If(Ss=0 AND Sl=0,PREV,Ss+Sl);
Vs:=II-70;
Vl:=II-30;
TT:=Min(0,Vs)*(ST<0)+Max(0,Vl)*(ST>0);
TT;
=================>B=================
{Normalization - Sample - STO}
II:=Stoch(5,3);
Ss:=-(II<80)*(Ref(II,-1)>=80);
Sl:=+(II>20)*(Ref(II,-1)<=20);
ST:=If(Ss=0 AND Sl=0,PREV,Ss+Sl);
Vs:=II-80;
Vl:=II-20;
TT:=Min(0,Vs)*(ST<0)+Max(0,Vl)*(ST>0);
TT;
=================>B=================
{Kalman Filter}
PC:=Input("Penalise % : ",0,100,10)/100;
T1:=Fml("Normalization - Sample - STO");
T2:=Fml("Normalization - Sample - RSI");
T3:=Fml("Normalization - Sample - MA");
W1:=1000;
W2:=1000;
W3:=1000;
DR:=(C/Ref(C,-1)-1)*C;
P1:=DR*((T1>0)-(T1<0));
P2:=DR*((T2>0)-(T2<0));
P3:=DR*((T3>0)-(T3<0));
W1:=If(P1=0,PREV,W1+(P1*(1+PC)));
W2:=If(P2=0,PREV,W2+(P2*(1+PC)));
W3:=If(P3=0,PREV,W3+(P3*(1+PC)));
WA:=W1+W2+W3;
TA:=(W1*T1+W2*T2+W3*T3)/(WA);
TA;
=================>B=================
BUY
TA:=FmlVar("Normalization - Sample","TA");
CROSS(TA,0);
BUY EXIT
TA:=FmlVar("Normalization - Sample","TA");
CROSS(0,TA);
SELL
TA:=FmlVar("Normalization - Sample","TA");
CROSS(0,TA);
SELL EXIT
TA:=FmlVar("Normalization - Sample","TA");
CROSS(TA,0);
=================>B=================
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
> Eric,
>
> Had another look at the results. Again, it appears to be quite
stable
> and the behaviour is a lot better than some other such results I
have
> looked at. You could consider smoothing it a bit more - although it
> appears stable it does appear a bit choppy. Also, at one stage one
of
> the weights take on a negative value, which should not be possible
if
> you calculate it correctly. Please give the formula for any of the
> weights just again so that I can look at it. If you want I'd love
to
> have the full Metastock formula file as well, so if you could mail
> that to me I'd appreciate it!
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
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