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Phill
> Is there any way I can test the following Short exploration across
> two years of data ie Jan 1st 2002 to Dec 31, 2003 in one go rather
> than one day at a time, or possibly one month or more at a time.
> Thanks in advance Phill.
There are various ways you may be able to do what you want, or at least enough to avoid 500 seperate
explorations.
You haven't mentioned what size data base you're testing this entry on. Assuming you are looking at
hundreds of securities then the most useful thing you can do is to enclose your code in the Cum()
function and run that as a seperate exploration column. You would need to include a date filter
(Year()>=2002) to ensure that signals earlier than that are not picked up, then run the exploration.
You would also be wise to use the exploration filter to eliminate all non-traded securities
(Cum(colA)=0), and this alone could narrow down subsequent searches considerably.
If you run the same exploration and use a date filter to just cover one month at a time then you
will have a very good idea of what securities are firing the entry in which months.
There are a number of other techniques for data mining but you should start with just using the
Cum() function. Once you're familiar with that I'm sure your imagination will produce more ideas on
how to proceed.
I use a series of explorations based on Trade Equity LE for generating system portfolio results by
month (6 months per exploration). I don't have a set of explorations for short trades but it
wouldn't be difficult to do. Counting signals is easier than counting equity changes, and with just
four explorations (24 columns) you can narrow all your signals down to a specific month.
Roy
PS I notice that you are using ATR(100) in your code, so you will need in excess of 400 bars lead-in
as well as the actual test data for any exploration.
Cum(Cross(80,Stoch10,3))
AND CLOSE > 1
AND CLOSE < Mov(CLOSE,100,S)
AND ATR(30) / CLOSE * 100 > 2
AND ATR(30) / CLOSE * 100 < 8
AND Mov(C,21,S) * Mov(V,21,S) > 500000
AND Mov(C,21,S) * Mov(V,21,S) < 10000000
AND Mov(C,100,S) < Ref(Mov(C,100,S),-50) - 4 *ATR(100));
> Cross(80,Stoch10,3))
> AND CLOSE > 1
> AND CLOSE < Mov(CLOSE,100,S)
> AND ATR(30) / CLOSE * 100 > 2
> AND ATR(30) / CLOSE * 100 < 8
> AND Mov(C,21,S) * Mov(V,21,S) > 500000
> AND Mov(C,21,S) * Mov(V,21,S) < 10000000
> AND Mov(C,100,S) < Ref(Mov(C,100,S),-50) - 4 *ATR
> (100);
>
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