|
PureBytes Links
Trading Reference Links
|
Hi Eric,
Please have a look at P1. Just stop the forumal as soon as P1 has
been calculated, and plot it, and nothing else. It should be small,
figures like 0.001 and -0.001 should be typical values, with 0.01 and
0.01 large and 0.05 and -0.05 about the max. If this is not the case,
but in stead 0.1 and -0.1 are typical, 1 and -1 large and 5 and -5
about the max, then we have to scale it as well. If this is the case,
change the formula to
W1:=If(P1=0,If(PREV=0,1,PREV),SM*PREV+(1-SM)*PREV*(1+PC*P1/100));
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 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 :>
------------------------ Yahoo! Groups Sponsor --------------------~-->
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|