[amibroker] Re: Sliding Window

["angio" <angio1967@xxxxxxxx>]

(:<

--- In amibroker@xxxxxxxxxxxxxxx, "ddd" <angio1967@xxx> wrote:
>
> any help ?
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Angio" <angio1967@> wrote:
> >
> > I would add in this formula a sliding window that auto-optimizes in real-time mode the values of kappa1 and kappa2 in according to the best ProfitFactor of previous 100 days. In practice ... an automatic Walk Foreward .
> > 
> > Invest = 100000;
> > SetOption( "InitialEquity",Invest);
> > SetOption( "MaxOpenPositions",1); 
> > PositionSize=Invest;   
> > ApplyStop(0,0,0,0);
> > ApplyStop(1,0,0,0);
> > ApplyStop(2,0,0,0);
> > SetTradeDelays(0,0,0,0);
> > SetBarsRequired( 10000, 10000); 
> > 
> > TimeFrameSet(in5Minute);
> > 
> > Timeopen=TimeNum()==090000;
> > Timeclose=TimeNum()==173000 ;
> > Time1630=TimeNum()==163000 ;
> > 
> > O_OGGI=ValueWhen(Timeopen,O,1);
> > C_OGGI=ValueWhen(Timeclose,C,1);
> > T_1630=ValueWhen(Time1630,C,1);
> > 
> > Yield1=((T_1630/O_OGGI)-1)*100;
> > alpha=0.02;
> > 
> > for( i = 100; i < BarCount; i++ )
> > {
> > avrg1[0]=yield1[0];
> > avrg1[i]=(1-alpha)*avrg1[i-1]+alpha*yield1[i];
> > dvst1[0]=yield1[0];
> > dvst1[i]=sqrt((1-alpha)*dvst1[i-1]^2+alpha*(yield1[i]-avrg1[i])^2);
> > }
> > 
> > Input1=IIf((Yield1>2*dvst1),1,IIf((Yield1<-2*dvst1),-1,(Yield1/(2*dvst1))));
> > 
> > kappa1=Optimize("kappa1", 0.45, 0, 1, 0.05);
> > kappa2=Optimize("kappa2", -0.95, -1, 0, 0.05 );
> > 
> > Buy=Time1630 AND Input1 >= kappa1;
> > Sell=Timeopen;
> > Short=Time1630 AND Input1 <= kappa2;
> > Cover=Timeclose;
> > 
> > BuyPrice=C;
> > SellPrice=O;
> > ShortPrice=C;
> > CoverPrice=C;
> > 
> > Buy=ExRem(Buy,Sell);
> > Sell=ExRem(Sell,Buy);
> > Short=ExRem(Short,Cover);
> > Cover=ExRem(Cover,Short);
> > 
> > PlotShapes( shapeUpArrow* Buy , colorBlue ,0,L);
> > PlotShapes( shapeHollowUpArrow* Cover ,colorBlue ,0,L);
> > PlotShapes( shapeHollowDownArrow* Sell,colorRed ,0,H);
> > PlotShapes( shapeDownArrow* Short, colorRed ,0, H); 
> > 
> > Plot(C,"",colorBlack,styleCandle);
> > _N(Title = StrFormat("{{NAME}} - ANG Last_H System - {{INTERVAL}} {{DATE}} - Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
> > 
> > eq=Param("equity",1,0,1,1);
> > equi=IIf(eq==0,Null,Equity( ));
> > Cover1=Flip(Cover,Short);
> > Short1=Flip(Short,Cover);
> > Buy1=Flip(Buy,Sell);
> > Sell1=Flip(Sell,Buy);
> > Plot( Equi-Invest,"\n\Equity",IIf(Buy1,colorPaleTurquoise,IIf(Short1,colorRose,colorLightGrey)), styleArea+styleLeftAxisScale);
> > dr = Equi- Highest(Equi);
> > Plot(dr, "Drawdown", colorDarkRed, styleArea+styleLeftAxisScale );
> > Maxdr=LLV(dr,100000);
> > Plot( Maxdr , "Max Drawdown", colorDarkRed, styleLine+styleLeftAxisScale ); 
> > 
> > 
> > Herman, I have read in the previous messages that you are an expert in these things, which is the way ? 
> > 
> > UseCustomBacktestProc ?
> > 
> > 
> > thanks for any reply
> > 
> > Angio
> >
>




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