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Thanks for the replies. Tomasz, I tried to understand what you're
saying and I looked at the gif you posted...and I think I get how
trades are executed in regards to the backtests, but I'm still
confused about the optimization thing.
First, let me repeat what I'm trying to get out of the optimization
just to make sure I understand what it's supposed to do: I want it
to tell me that the 3-bar MA crossing the x-bar MA (MA1) to buy, and
the 3-bar MA crossing the x-bar MA (MA2) to sell, yields the best
profit for the time period tested. IOW, I want to know which
COMBINATION of MA1 and MA2 was most profitable.
Another example of the optimization results:
Net % Profit MA MA
------------ ---- ----
10.06 29 52
10.06 29 132
10.06 29 72
In fact, ALL 195 lines containing a MA of 29 in the first column
have identical results. (I assume that the first column is MA1, the
MA to buy.) It still makes zero sense to me that the results would
all be the same when the MA to SELL is ranging from 5 to 200. How
can you have the same profits when you're exiting the trades
at different times??? In fact, when I run individual backtests on
these same combinations of MAs, I get different results:
MA1 MA2 Profit %
--- ---- --------
29 52 10.01
29 132 9.02
29 72 9.64
So why would the backtests have different results than the
optimization? I still say I must be misunderstanding something
about the optimization or doing something wrong. Anyone care to take
another shot at explaining this to me?
Thanks again for your patience.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> For starters: there is not big difference if you choose Cross vs >
function.
>
> Cross checks essentially '<=' condition on previous bar and '>' on
current bar.
>
> The results would be the same (with the possible exception of very
first
> trade that > will give you at the beginning of backtest) because
> under normal circumstances you are allowed to hold only ONE open
> position for one symbol. So it does not matter if you have
repetitive signals
> - they will be simply ignored until matching sell occurs, see this
how it works:
>
> http://www.amibroker.com/gifs/bt_regular.gif
>
> As to your question regarding optimization, your results do not
change
> when second (MA2) changes because your ENTRY rule does not depend
on
> MA2. Only MA1 is used in "Buy" rule and it decides which trades
are
taken or not.
> MA2 is used ONLY for exits and because of small averaging period
exits
> occur right after entry so it does not modify your results, and
they in fact
> depend solely on entry strategy.
>
> You should really run Scan, to find out when all signals occur to
learn
> the way signals are converted to trades.
> And again this:
> http://www.amibroker.com/gifs/bt_regular.gif
>
> is worth studying. It shows "Regular backtest".
>
> There are 3 other backtest modes available (RegularRaw,
RegularRawMulti and rotational)
> but I would suggest to start with the regular first.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "longarm61" <norm1@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, August 20, 2007 5:13 AM
> 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@> 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@>
> >> 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.
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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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