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Hi MG Ferreira:
I just try it by using 1 instead of 1000, but it does not seem solve
the problem of overflow in Mul() Function. Does it the limitation for
Metastock?
Thank you
Eric
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> Hi Eric,
>
> Let's start with 1 in stead of 1,000 as a first try, so initialise
the
> weights
>
> W1:=1;
> W2:=1;
>
> etc. Then try the following update function
>
> W1:=If(P1=0,If(PREV=0,1,PREV),SM*PREV+(1-SM)*PREV*(1+PC*P1));
>
> Note the shift in the bracket, I made a mistake in the first and
there
> may still be problems in this one. Could you mail me a plot of P1
> please? I need to inspect them, but I think the problem with this
> version is that it will be a bit slow. This depends on the size of
P1
> and PC. Maybe try with a large PC, say 90 or 100. I think if you
> enter 100 for PC then you are using the equity line of the indicator
> as weight, which actually makes a lot of sense. So you can then
think
> of W1 as 1 (previously 1,000) that you start to trade with using
only
> indicator 1. As profits and losses accumulate in the account, so
the
> weight changes. The final, combined system thus is diversified
> accross n trading indicators.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx>
wrote:
> > Hi MG Ferreira:
> > I am facing with the problem of "Overflow in Mul() Function".
> >
> > If overflow occurs in W1 as shown below,
> > P1:=DR*((T1>0)-(T1<0));
> > W1:=If(P1=0,If(PREV=0,1000,PREV),SM*PREV+(1-SM)*PREV*(1+PC)*P1);
> >
> > but the problem disappears in W1 as shown below,
> > W1:=If(P1=0,If(PREV=0,1000,PREV),SM*PREV+(1-SM)*PREV);
> >
> > Do you have any suggestion on how to handle this limitation?
> > Thank you
> > Eric
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999
<no_reply@xxxx>
> > wrote:
> > > Hi Eric,
> > >
> > > At the moment, we are adjusting the weights linearly, by adding
or
> > > subtracting an amount each time they work or don't work. So we
> > could
> > > go negative. If we adjust them by adding a percentage, then
this
> > > should not be a problem. Initially we looked at both methods
and I
> > > think I mentioned that the weights may go negative, so we start
with
> > > big ones initially. Try the following
> > >
> > > W1 := PREV*(1+PC*P1);
> > > W2 := PREV*(1+PC*P2);
> > > W3 := PREV*(1+PC*P2);
> > >
> > > Also, maybe add this input, together with the other, at the top:
> > >
> > > PC:=Input("Penalise % : ",0,100,10)/100;
> > > SM:=Input("Smooth % : ",0,100,75)/100;
> > >
> > > and change the weights to
> > >
> > > W1 := SM*PREV + (1-SM)*PREV*(1+PC*P1);
> > > W2 := SM*PREV + (1-SM)*PREV*(1+PC*P2);
> > > W3 := SM*PREV + (1-SM)*PREV*(1+PC*P2);
> > >
> > > Then enter a highish value (even 99 or 99.9 is fine) for SM.
The
> > > higher this value, the more smooth the weights will be.
> > >
> > > As long as the weights increase, it means they are working! So
it
> > is
> > > good if they keep on increasing. You can 'reset' them after
each
> > > round, since we only use the relative ones. I am not sure how
to do
> > > this in one variable in MSFL, but it is easy to do by
introducing
> > yet
> > > another bunch of variables.
> > >
> > > Right at the end, change to the following
> > >
> > > WA:=W1+W2+W3;
> > > {Standard weights}
> > > SW1:=W1/WA;
> > > SW2:=W2/WA;
> > > SW3:=W3/WA;
> > > TA:=SW1*T1+SW2*T2+SW3*T3;
> > > TA;
> > >
> > > Now, SW1 ... SW3 will always be between 0 and 1 and will be the
> > > percentage of the total signal that comes from the relevant
> > indicator.
> > > Thus it does not matter how big W1 becomes, SW1 will be
between 0
> > and
> > > 1. To make it easier on the plotting, you could change the
above to
> > >
> > > WA:=W1+W2+W3;
> > > {Standard weights}
> > > SW1:=W1/WA*100;
> > > SW2:=W2/WA*100;
> > > SW3:=W3/WA*100;
> > > TA:=(SW1*T1+SW2*T2+SW3*T3)/100;
> > > TA;
> > >
> > > to get SW1 ... SW3 to be between 0 and 100.
> > >
> > > Finally, even though SW1 is contained, W1 is not and may run
away.
> > > Again, using something else you would at the end of each loop
assign
> > > SW1 to W1 but I'm not sure this will work in MSFL. If you get
> > numbers
> > > that run away, you will pick it up in WA, and we can fix it if
it
> > happens.
> > >
> > > Regards
> > > MG Ferreira
> > > TsaTsa EOD Programmer and trading model builder
> > > http://www.ferra4models.com
> > > http://fun.ferra4models.com
> > >
> > >
> > >
> > >
> > >
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi
<no_reply@xxxx>
> > wrote:
> > > > Hi MG Ferreira:
> > > > Do you receive my email for the results?
> > > > I found the error of the negative value for the weighting
factor,
> > As
> > > > I observe each value under the following
> > > > formula
> > > >
> > > > PC = 0.1
> > > > DR:=(C/Ref(C,-1)-1)*C;
> > > > P3:=DR*((T3>0)-(T3<0));
> > > > W3:=If(P3=0,PREV,W3+(P3*(1+PC)));
> > > >
> > > > [29 Oct 1997]
> > > > W3 = 1669.51
> > > >
> > > > [30 Oct 1997]
> > > > C = 9059.9; REF(C,-1) = 10498.2
> > > > DR = -1241.25 [OK]
> > > > T3 = -1 [OK]
> > > > P3 = 1241.25 [OK]
> > > > W3 = 2365.37 [ERROR]
> > > >
> > > > [31 Oct 1997]
> > > > C = 10765.3; REF(C,-1) = 9059.9
> > > > DR = 2026.42 [OK]
> > > > T3 = -0.54499 [OK]
> > > > P3 = -2026.42 [OK]
> > > > W3 = -1229.06 [ERROR]
> > > >
> > > > --------------------------------------------------------------
----
> > ----
> > > >
> > > > On the other hands, if changing W3 to PREV, then
> > > > PC = 0.1
> > > > DR:=(C/Ref(C,-1)-1)*C;
> > > > P3:=DR*((T3>0)-(T3<0));
> > > > W3:=If(P3=0,PREV,PREV+(P3*(1+PC)));
> > > >
> > > > [29 Oct 1997]
> > > > W3 = 28072.17
> > > >
> > > > [30 Oct 1997]
> > > > C = 9059.9; REF(C,-1) = 10498.2
> > > > DR = -1241.25 [OK]
> > > > T3 = -1 [OK]
> > > > P3 = 1241.25 [OK]
> > > > W3 = 29437.54 [OK]
> > > >
> > > > [31 Oct 1997]
> > > > C = 10765.3; REF(C,-1) = 9059.9
> > > > DR = 2026.42 [OK]
> > > > T3 = -0.54499 [OK]
> > > > P3 = -2026.42 [OK]
> > > > W3 = 27208.48 [OK]
> > > >
> > > > The result looks completely different, and it seems to me, the
> > > > weighting factors are growing bigger and bigger. Do you have
any
> > idea
> > > > on how to handle the weight in a huge amount? since the
pently
> > > > function will be less effective to affect the weight as it
grows
> > > > bigger and bigger. How do I know what the maximum level of
> > weighting
> > > > factors will be effective in assigning value for learning?
such as
> > > > I don't think the pently function [-2026] will be effective,
if
> > the
> > > > level of weight is 1,000,000,000.
> > > > Do you have any suggestion?
> > > > Thank you
> > > > Eric :>
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