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Uenal,
As the doc states you can optimize on any or all of the SOVx
paramters that apply to your scoring routine. For example lets say
that you have scoring routine that thinks high RSI makes for good
potential longs but you want to test different lengths ...
If you set ... SOV0Min = 5; SOV0Max = 30; SOV0Inc = 5;
and in the scoring routine your score is computed as something like
rScore = RSIa(WL_C, SOV0)
then when the explore runs since not all the min/max parameters are
the same it will treat it as an optimization run creating one summary
line for each value of SOV0 between 5 & 30 incremented by 5 showing
what the results would be using that length in the RSIa calculation
in the PT-Opti file. This file contains standard statistical items
like MAR, CAR, MDD etc that are useful in determining what values of
parameters make for the best system.
Additionally besides the normally thought of things optimizable
variables can be used on i.e. indicator lengths or thresholds etc.
you can also optimize based on MaxRanked, MaxTraded or MinBars. For
example let's assume in the above example that not only do you want
to vary the length used in RSI but also how many securities you'll
hold ...
If you set ... MaxRankedMin = 2; MaxRankedMax = 6; MaxRankedInc = 1;
then when the explore runs it will optimize on on the maximum number
of securities to be held as well i.e. 2, 3, 4, 5 or 6 ...
In order for long entries to be made in some security the "score" of
that particular security for todays bar needs to be in the top
MaxTraded or if MaxTraded is 0 MaxRanked securities for today. In
order for an exit to occur tomorrow ... if the score of the security
you bought today drops to 0 tomorrow it will be sold, if there are
other securities that have scores that are greater then 0 then they
will be bought or if less than 0 shorted as replacements for what you
sold. I believe some of this and more was explained in the
documentation with specific examples. You might want to review it
again.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Hi Fred,
> what changes would I need to do for achieving the following:
> - Always enter today at Close and
> - Exit the next day at Close
> - 3 (or up to 3) Long positions (ie. trades) per day
>
> And: what is the purpose of the Optimization done therein?
> Which optimal parameters are sought?
>
> BTW: I discovered that using relative paths works too;
> relative to the AB directory, fe:
>
> tRankCSV = "ABTool/Work/PT-Rank.CSV";
> tTradCSV = "ABTool/Work/PT-Trad.CSV";
> tAcctCSV = "ABTool/Work/PT-Acct.CSV";
> tOptiCSV = "ABTool/Work/PT-Opti.CSV";
>
> and
>
> #include "AFL/@xxxxxxxxxxxxxxxxx"
>
> Thank you for this interessting application.
> UM
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, June 04, 2003 4:08 PM
> Subject: [amibroker] A new beta test version of a new PORTFOLIO
TRADING module (AFL)
>
>
> > To All,
> >
> > An Invitation to beta test a new Portfolio Scoring / Ranking /
> > trading / Equity Curve Evaluation / Optimization module written
in
> > AFL w/the use of ABTool Plugin which has been posted in the files
> > section as PT-0100.zip
> >
> > Please read the word documentation and see the accompanying Excel
> > spreadsheets and Screen Captures contained in the zip.
> >
> > I suspect the FastTrack / Trade folks have some idea of how to
> > utilize this.
> >
> > Although I have made every effort to thoroughly test the code
there
> > are undoubtedly combinations of things I've missed. I will do my
> > best to support what I have contributed but it will be on a as I
have
> > time basis.
> >
> > Thanks,
> >
> > Fred
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, amibroker@xxxxxxxxxxxxxxx wrote:
> > >
> > > Hello,
> > >
> > > This email message is a notification to let you know that
> > > a file has been uploaded to the Files area of the amibroker
> > > group.
> > >
> > > File : /PT-0100.zip
> > > Uploaded by : fctonetti <fctonetti@xxxx>
> > > Description : A beta test of a PORTFOLIO TRADING module (AFL)
> > >
> > > You can access this file at the URL
> > >
> > > http://groups.yahoo.com/group/amibroker/files/PT-0100.zip
> > >
> > > To learn more about file sharing for your group, please visit
> > >
> > > http://help.yahoo.com/help/us/groups/files
> > >
> > > Regards,
> > >
> > > fctonetti <fctonetti@xxxx>
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