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You forget to mention the stock under optimization.
In many examples we have no trades for a long period, so, there is
not something wrong at the first sight.
If for Z, D1, D2 you have had some nice trades, highly profitable
perhaps, the system "avoids" to change these levels and cancels some
periods.
For TTM [trade the market] systems I have met sometimes long "silent"
periods. If they are in the beginning of the test period, it means
that the system fits better to the recent period. If the silent
period is the recent one, it is not a good sign. May be this system
is not operating any more [it is somehow "out of fashion"]
I have numerous examples for both logics.
I prefer systems with "normal" distribution of profitable trades.
I avoid systems with two or three excellent trades the first half of
2000, with a result +1000% and then many losers wich give a final
+300%.
Dimitris Tsokakis
--- In amibroker@xxxx, "wingnut_1944" <dingo@xxxx> wrote:
> Dimitris,
>
> I pasted the code listed below into the Automatic Analysis window
and
> ran an optimization from Jan 1 2000 thru July 2 2002 with the
> following optimization results:
>
> Z = 15
> D1 = 14
> D2 = 16.5
>
> But there are no trades after Oct 4, 2001!
>
> Obviously I'm doing something wrong.
>
> My Settings are:
>
> Positions = long and short
> commissions = 20 points ( I am assuming that this is $20)
> Buy/sell/short/cover = open with delay of 1
> Max Stop Loss of 10% with exit at stop
> Profit target and trailing stop are disabled.
>
> What am I doing wrong?
>
>
> R=500*(H-L)/(H+L);
> Z=Optimize("Z",10,5,20,5);
> RRR=DEMA(R,Z);
> Rmin=LastValue(Lowest(R));RminF=floor(LastValue(Lowest(R)))+1;
> Rmax=LastValue(Highest(R));RmaxC=ceil(LastValue(Highest(R)))-1;
> RRRmin=LastValue(Lowest(RRR));RRRminF=floor(LastValue(Lowest(RRR)))
+1;
> RRRmax=LastValue(Highest(RRR));RRRmaxC=ceil(LastValue(Highest
(RRR)))-
> 1;
> D1=Optimize("D1",14,RRRminF,RRRminF+0.5*(RRRmaxC-RRRminF),1);
> D2=Optimize("D2",16.5,RRRminF+0.5*(RRRmaxC-RRRminF),RRRmaxC,1);
> F1=RRR>=D2;F2=RRR<=D1;
> Sell=F2;Buy=F1;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;
> Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
> Plot(R,"D-ratio",1,1);Plot(RRR,"DEMA D-ratio",7,8);
> Plot(D2,"Buy Level",5,1);Plot(D1,"Sell Level",4,1);
>
>
> --- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> > Sometimes it is good to estimate the efficiency of your tool.
> > Read http://groups.yahoo.com/group/Trading_Systems/message/588 to
> see
> > better.
> > Dimitris Tsokakis
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