[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] Re: Oscillators II (%D)



PureBytes Links

Trading Reference Links


Actually, I was thinking of a third approach.  
Group by characteristic and then optimize, rather than optimize the universe and 
then filter.
 
Bill
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Stephane 
Carrasset 
To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Wednesday, October 03, 2001 9:21 
AM
Subject: [amibroker] Re: Oscillators II 
(%D)
Totally agree with you, the stocks's selection is one 
important steps in a profitable trading system.Actually, I don't know 
what is the best solution to select tradable stocks.1/  apply 
a trading system on a universe and trade only the best performers , then 
make a turnover of the winners .2/OR  apply a filter on a 
universe and trade only the stocks with this filterthis filter could 
be a trend filter ( the choice is large)or a statistic filter to knowif 
the distribution of the price is random/not randomStephane 
carrasset> Although I do not use systems for most of my 
trading, I do use them and agree that testing a universe is more 
appropriate as it tends to produce a more robust system.  In fact, 
imo, this is one of the advantages of AB vs MS.  With the universe 
approach, however, have you looked at the desirability of using 
subsets?  For example, rather than combine stocks into a single 
universe, combine them into smaller groupings that have a common 
characteristic such a volatility.  Intuitively, this would appear to 
be another step toward robustness.> > Bill>   
----- Original Message ----- >   From: Stephane Carrasset 
>   To: amibroker@xxxx... 
>   Sent: Wednesday, October 03, 2001 8:28 
AM>   Subject: [amibroker] Re: Oscillators II (%D)> 
> >   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 ofthe 
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 possibleand 
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 andnot 
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> > 
> >    > >   Your use of 
Yahoo! Groups is subject to <A 
href="">http://docs.yahoo.com/info/terms/------------------------ 
Yahoo! Groups Sponsor ---------------------~-->Pinpoint the right 
security solution for your company- Learn how to add 128- bit encryption and 
to authenticate your web site with VeriSign's FREE guide!<A 
href="">http://us.click.yahoo.com/yQix2C/33_CAA/yigFAA/dkFolB/TM---------------------------------------------------------------------~-> Your 
use of Yahoo! Groups is subject to <A 
href="">http://docs.yahoo.com/info/terms/