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Tomasz,
Wow. What a difference a single line of code can make!
I marvel once again at how powerful Amibroker is.
Thanks for the tip.
b
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hello,
>
> Please add
>
> Exclude = LastValue( Cum( Buy + Sell ) ) == 0;
>
> at the end of your formula.
>
> This will eliminate stocks that do not generate any buy/sell signal
> from buy and hold, exposure and RAR calculation.
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: <b519b@xxxx>
> To: <amibroker@xxxx>
> Sent: Saturday, November 17, 2001 12:49 AM
> Subject: [amibroker] Re: Confused with Optimization results
>
>
> > Tomasz, thank you for the formulas which cleared up most of my
> > confusion.
> >
> > As for your comment about my system being out of the market for
most
> > of the time, that is not quite the case. I had AB just do the
> > optimization on a specific time period during which I intended
to be
> > fully (100%) invested in a basket of 20 to 40 stocks selected
from a
> > study group of 600. The goals was to be fully invested in the
best 3%
> > to 8% of the stocks. Thus all the bars of the selected stocks
> > were "in the market" for the whole time (and of course all the
bars
> > of the non selected stocks were "out of the market" for the
whole
> > time). The exposure was so low because AB included the bars of
the
> > non-selected stocks when producing this report. A similar result
> > occurs for the Net%Profit column. Is there any way to have AB
> > calculate Exposure, and by extension RAR, in such cases where
one
> > intends to be 100% invested in a small subset of stocks studied
in an
> > optimation? If there is no way, it is not a major problem since
> > other columns provide helpful data for determining the
effectiveness
> > of the variations on the strategy.
> >
> > Thanks again for making a very powerful program.
> >
> > b
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