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Dimitri,
I am not in favour for an optimization for one stocks, perhpas on a
universe of stocks would be better, it is one aim of the montecarlo
analysis, we'll have it perhpas in the system tester of version4.8 of
amibroker ^__^
But I am thinking it is a good idea of variables OBOS level for a
fixed stochastic with your code below
obos level could be + or - 40% above or below the MEANST ( 70 is +40%
of 50)
/*MEAN %D EXPLORATION*/
MEANST=cum(stochd())/(cum(1)-18);
filter=CUM(1)>100;
numcolumns=1;
column0=MEANST;
column0format=1.0;
column0name="MEAN STOCHD";
SC
> Optimization is neccessary for each stock in order to
> find the best X1, Dbuy and Dsell.
> For the moment I have not any homework for a universal
> value of above parameters Time and experience will show
> if it is possible and profitable.
> Any co-operative idea appreciated.
> Dimitris Tsokakis
> --- In amibroker@xxxx, "Stephane Carrasset" <s.carrasset@xxxx>
wrote:
> > Dimitry,
> >
> > Optimization on a trading system means that you have backtested
on
> > only one stock and not an universe of stocks?
> >
> > without optimization the idea of various OBOS level is great,
> > instead of buy when stoch crosses below an OS level, we could
buy
> > when stoch is < OS level and buy on close delay when H > ref(H,-)
> > *1.005
> >
> > SC
> >
> > > AVST=MA(StochD(X1),100);
> > >
> > > Let us try now to buy lower and sell higher.
> > > The buy level will be AVST-Dbuy and the sell level will
> > > be AVST+Dsell. If you guess now, optimization may give
> > > the best values for the 3 parameters.
> > > Optimize a current stock for all quotations using the code
> > >
> > > /*Buy-Sell moving levels for Slow Stochastic*/
> > > Dbuy=Optimize("Dbuy",14,0,20,1);
> > > Dsell=Optimize("Dsell",8,0,20,1);
> > > X1=Optimize("X1",13,10,20,1);
> > > s1=StochD(X1);
> > > AVST=MA(s1,100);
> > > Buy = Cross( s1,AVST-DBuy);
> > > Sell = Cross( AVST+Dsell,s1);
> > >
> > > Then replace manually the 14, 8, 13 with respective results of
> your
> > > optimization and scan and back test.
> > > Compare the back test result with the traditional
> > >
> > > buy=cross(stochd(),30);
> > > sell=cross(70,stochd());
> > >
> > > scan and back test.
> > >
> > > I found interesting net profit augmentation.
> > > As for settings, I used buy at low, sell at high with delay 1
day
> > > (it is obvious that you get the signal today and you act
tomorrow
> > > and it is always important for back testing. Delay 0 is
> meaningless,
> > > the signal is first and then the action may be done.)
> > > After the calculation of above parameters, you may see in your
> > > Indicator builder the new curves, pasting the formula:
> > >
> > > /*Slow Stochastic moving buy-sell levels*/
> > >
> > > Dbuy=14;
> > > Dsell=8;
> > > X1=13;
> > > MaxGraph=12;
> > > ST3=StochK(X1);
> > > ST33=StochD(X1);
> > > Graph0=ST3;
> > > Graph1=ST33;
> > > AVST=MA(StochD(X1),100);
> > > Graph9=AVST-Dbuy;Graph10=AVST+Dsell;
> > > Graph8=avst;Graph8Style=8;Graph8BarColor=2;
> > > Graph9Style=Graph10Style=8;
> > > Graph9BarColor=Graph10BarColor=1;
> > >
> > > and replace 14, 8, 13 with the results of optimization.
> > > Real examples will follow.
> > > Dimitris Tsokakis
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