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Hello,
For one time i can probably help.
Here is the generic signal els code I made for that purpose .
Test all possible combinations for up to ten multivariables for two
différents categories(10+10) ( entries-exits or long shorts or whatever.
It include Alex Matulich's systemquality and history functions (free from
his website) to export optimisation results in Excel.
May be it can be something close to what you are looking for ?
Hope this help
Best regards
Philippe
> -----Message d'origine-----
> De : Ian Waugh [mailto:ianwaugh@xxxxxxxxx]
> Envoyé : dimanche 13 juin 2004 23:44
> À : omega-list@xxxxxxxxxx
> Cc : ianwaugh@xxxxxxxxx
> Objet : Multiple filter optimisation
>
> Hi Guys,
> Can someone please help me with this?
>
> I have a system that includes several filters such as:
>
> cond1x>adx[1]
> cond2=h>h[1]
> cond3=mom>mom[1]
> cond4=
> cond5=
>
> and so on.
>
> What I'd like to do is to set up an optimisation so I can test *each*
> filter combination. So, in the above example, that would include:
>
> cond1
> cond2
> cond3
> cond4
> cond5
> cond1+cond2
> cond1+cond3
>
> and so on.
>
> It's not too arduous with just a few filters as you can physically write
> them out but with 8, 10 or more it gets a bit cumbersome.
>
> Is there a way to set this up so all combinations can be tried by
> running an optimisation?
>
> Hope this is clear?
>
> Thanks.
>
> All the best,
> Ian
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