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PureBytes Links
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DT Challenged me for
a loop demo :-) so here is one, attached.
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class=780001204-26042003>
This shows how to
optimize a system using loops, substitute your own trading system and vary the
parameter's function and values. This was my first application for testing the
new looping function. Here I use a Loop in an Exploration to optimize the
system to three degrees. As i go along I save the best Equities obtained with
the 2nd and 3rd opt parameters in a stock-specific Calibration file - using the
AddToComposite(). I read back the data from the Composite and display the
results in The result table.
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The lower part is
repeats the trading system and shows how you can read back parameters and use
them into your system.
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Throughout you will
find some tricks, such as to display zero-based exploration data at the
current date range in your result table.
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Now you ask: why do
all this work? Some reasons:
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1) You can backtest
groups of stocks and save their individual optimization values (somebody wished
for this on the list)
2) You don't ever
have to type in optimized values, they are read from your
disk.
3) Opt1 in the
Optimization part is, in this demo, assigned to a period, but it could just
as well be the value of a trend indicator. This would allow you to create
calibration values to perform under various trending conditions. You would
optimize a large number of stocks and create (automatically) a calibration file
for each stock. Then when you are using your trading system you would obtain the
Opt1 from your trending indicator and based on it, you would select the other
two parameters. What do you have: an adaptive trading
system.
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Have fun, I hope
some others can explain any questions that may come up. I have to get back to
another project :-)
<SPAN
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best
regards,
<SPAN
class=780001204-26042003>Herman.
<SPAN
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Ps. If you click the
Check button you'll get a Look-Ahead error, I believe this is due to the using
the Atc. The trading system is incidental anyway - you should substitute your
own!
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