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Hello,
I just run an optimize using your code on the QQQQ 5 min and it
worked just fine with net % profit between 5.09 and -0.49
The only difference between your code and the one I run, was I
changed your first two lines to shorten the run time and help
indentify your moving avgs in the report.
MA1 = Optimize ( "MA1", 50, 5, 20, 1 );
MA2 = Optimize ( "MA2", 50, 5, 20, 1 );
only to shorten the run time and help indentify your moving avg
So I would suggest that you do not have the proper settings in your AA
Ron
--- In amibroker@xxxxxxxxxxxxxxx, "longarm61" <norm1@xxx> wrote:
>
> 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@>
> 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@>
> > 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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