|
PureBytes Links
Trading Reference Links
|
Thanks, Tomasz,
Below is the code I was using. As mentioned, I backtested this formula with
the default values, replaced "Optimize" with "ParamOptimize" and got a
different backtest result.
However, your remark:
>Note that BACKTEST in second case will use current param values,
> not the defaults.
made me think about this matter once more. I'm not sure if this system was
plotted as an indicator when I performed these backtests. If the meaning of
your comment is that in this case "ParamOptimize" uses the (different) param
values of the plotted indicator and not the default values (=optimal values
from the optimization which I had manually entered) then this is a trap I
wasn't aware of. In order to evaluate this, I repeated the tests today
without the indicator plotted with different param values - and this time the
results were identical. So this is obviously the explanation I was looking
for.
Thanks again!
Greetings, Thomas
function ParamOptimize( TitleName, default, minv, maxv, step )
{return Optimize( TitleName, Param( TitleName, default, minv, maxv, step ),
minv, maxv, step );}
function LinearRegReversal( array, period )
{
Lr = LinearReg( array, period );
return IIf( Lr >= Ref( Lr, -1 ), 1, -1 );
}
p=Optimize("ER-Berechnungszeitraum",17,10,40,1);
z=abs(C-Ref(C,-p));
n=Sum(abs(C-Ref(C,-1)),p);
ER=z/n;
d=Optimize("Glättung",21,15,30,2);
ER=EMA(ER,d);
per=Optimize("LRR-Period",120,60,120,2);
per=round(per/ER);
LRR=LinearRegReversal(C,per);
Plot( LRR, "LR Reversal mit ER", colorBlue);
PlotGrid(1);
PlotGrid(-1);
GraphXSpace=10;
SetTradeDelays(1, 1, 1, 1);
Buy=LRR ==1;
Sell=LRR ==-1;
Cover=Short=0;
Buy1=ExRem(Buy,Sell);
Sell1=ExRem(Sell,Buy);
shape = Buy1 * shapeUpArrow + Sell1 * shapeDownArrow;
//Plot( Close, "Price", colorBlack, styleCandle );
PlotShapes( shape, IIf( Buy1, colorGreen, colorRed ), 0, 0 );
> Send full code you are using. The reason may be invalid formula
> (for example using same names for different params).
> You are not saying whenever you run BACKTEST or OPTIMIZE.
>
> Note that BACKTEST in second case will use current param values,
> not the defaults.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, December 13, 2006 9:02 PM
> Subject: [amibroker] ParamOptimize - different backtest results
>
> > In the Amibroker Feedback Center is a request for an "Optimizable
> > Param()" . Graham and Tomasz pointed out that this functionality already
> > exists via the following function:
> >
> > function ParamOptimize( TitleName, default, minv, maxv, step )
> > {return Optimize( TitleName, Param( TitleName, default, minv, maxv, step
> > ), minv, maxv, step );}
> >
> > As a matter of fact I had used this function before but had had problems
> > with it. Now I took the opportunity to try it out again. I tested a
> > trading system at first with using "Optimize" and performed a second
> > backtest where I replaced "Optimize" with "ParamOptimize" without any
> > other changes. The results of both backtests were completely different!
> > This is true regardless if I copy above function into the formula editor
> > or use it via #include <ParamOptimize.afl> (this file is in my
> > Formulas/Include" folder).
> >
> > Could anybody try out if he/she is confronted with the same problem? If
> > yes - what could be wrong here?
> >
> > Thanks in advance.
> >
> > Greetings, Thomas
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.15.18/586 - Release Date: 12/13/2006 6:13 PM
|