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Hi - OK here's my take on it...you want to buy when the short MA crosses
above the long MA, so to describe it correctly, you should really say
something like
Buy = Cross( shortMA, longMA );
or
Buy = shortMA > longMA and ref( shortMA, -1 ) < ref( longMA, -1 );
When you just say
Buy = shortMA > longMA;
AB will mark the Buy array with a 1, not just on crossover bars, but on all
bars where shortMA is > longMA. It is doing exactly what you told it, but
you have not told it what you really want. However, AB's backtester
automatically removes redundant signals, so in a backtest you may end up
getting the correct results anyway, whereas in an exploration you would not.
Sorry, I can't comment on the AFL Wizard, I have never used it. Re your
optimization results, did you compare number of trades? What first comes to
mind is that 133 is a fairly long average and perhaps you only had the same
1 or so crosses/trades in all cases? You could comment out the Opt
statements and run a few tests plugging in individual numbers, then look at
the detailed reports to verify the trades. Also, you might just try giving
them different names inside the Opt() function, I don't know offhand if
naming them both the same could possibly have any effect of not. Good luck!
Steve
----- Original Message -----
From: "longarm61" <norm1@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, August 19, 2007 11:13 PM
Subject: [amibroker] Re: Optimization Help
> 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.
>
> 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:
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For other support material please check also:
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