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Hey, Steve, thanks for the reply. That's interesting because I used
the AFL Wizard for my buy and sell code. Wonder why it would give me
code that generates a buy for every bar that remains above the MA?
It's also interesting that for a 1-month backtest using 5-minute
bars, my original code yielded only 1 more trade (line) than your
code did.
But the thing I'd really like help understanding is the
Optimization. I tried it using your code and I'm still confused by
the results. For example, it shows:
NET % PROFIT MA MA
------------ ---- ----
3.28 133 5
3.28 133 15
3.28 133 8
3.28 133 9
As you can see, it shows the same net % profit for every result with
a MA of 133, even though the MAs in the second column are all
different. In fact, ALL the numbers in all the columns are
indentical for the MA-133. Why would that be? Doesn't the first MA
above represent MA1 and the second MA represent MA2?
Either I'm still doing something wrong or I'm misunderstanding
something (very possible!), since obviously trades with different MAs
for sells aren't going to have the exact same results, even if buys
use the same MA.
Looking for enlightenment. Thanks.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi, your code gives buy sig not just on crossover but also on every
bar
> where MA3 remains above the MA it just crossed. Similar result for
sell
> sigs. Try it this way...
>
> Buy = Cross( MA( Close , 3 ), MA( Close , MA1 ) );
> Sell = Cross( MA( Close , MA2 ), MA( Close , 3 ) );
>
> Steve
>
> ----- Original Message -----
> From: "longarm61" <norm1@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, August 19, 2007 6:09 PM
> Subject: [amibroker] Optimization Help
>
>
> > Hello, complete AFL newbie here. This should be a simple one.
If I
> > have a system whereby a 3-bar MA crosses another MA to buy, and a
3-
> > bar MA crosses a different MA to sell, how would I code the
> > optimization to find the most profitable COMBINATION of MAs for
the
> > buy and sell?
> >
> > Here's how I attempted to do it--I know it's wrong, as it crunched
> > numbers for about 2 hours but then gave me results that made no
sense:
> >
> >
> > MA1 = Optimize ( "MA", 50, 5, 200, 1 );
> > MA2 = Optimize ( "MA", 50, 5, 200, 1 );
> >
> > Buy = MA( Close , 3 ) > MA( Close , MA1 );
> >
> > Sell = MA( Close , 3 ) < MA( Close , MA2 );
> >
> > Short = 0;
> >
> > Cover = 0;
> >
> >
> > Thanks in advance for your patience and help.
> >
> >
> >
> > 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.
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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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