I don't know which version of the doc you are referring to but what is below
is what is stated in the v2.9 doc regarding goals on page 28 .
I see no example here like the one you mention .
Goal As many Goals as desired can be specified for
the same or different performance metrics utilizing any and all of the
performance metrics available for fitness calculations. The resulting
penalty for not meeting the goal or bonus for exceeding the goal can be
written using any and all of the performance metrics as well as the literals
METRIC and GOAL which imply the value of the specific performance Metric and
Goal in the arguments of the current directive.
//IO: Goal: Metric: Relation: Goal Value or Expression: Type:
Factor Value or Expression
Metric:
A specific performance metric i.e.
CAR, MDD etc
Relation:
<, <=, >=, >
Goal or Value Expression Whatever you want the Performance
Metric evaluated against. This can be a constant or a mathematical
expression involving whatever performance metrics are desired.
Type Penalty, Bonus
Factor Value or Expression Whatever you want to use as a factor
or multiplier of Fitness when the Goal condition is true for a Bonus and
False for a Penalty. This can be a constant or a mathematical expression
involving whatever performance metrics are desired. Assumedly you would
want to make the value < 1 for a Penalty and > 1 for a Bonus.
Examples:
//IO: Goal: MDD: <: 15: Bonus: 1.1
//IO: Goal: MDD: <: 10: Bonus: 1.05
With the above Bonuses, Fitness would be increased
by 10% if MDD < 15% and
another 5% if MDD < 10%
//IO: Goal: MDD: <: 20: Penalty: (Metric / Goal) ^ 2
With the above Penalty, Fitness would be decreased
by a smooth amount related to the
percentage that MDD missed the goal by
//IO: Goal: ExpPct: >: 10: Penalty: 1 - (0.5 / 0.1) * (0.1 -
ExpPct * 0.01)
//IO: Goal: ExpPct: <: 20: Penalty: abs(ExpPct <= 40) * (1 -
(0.5 / 0.2) * (ExpPct * 0.01 - 0.2))
//IO: Goal: ExpPct: <: 40: Penalty: 0.5
The above penalties are an implementation of a
Penalty Function from Pages 319 - 321
of Howard Bandy's book, Quantitative Trading Systems
_____
From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf
Of El Nanalo
Sent: Saturday, June 07, 2008 6:44 PM
To: [email protected]
Subject: [amibroker] IO - GOALs:
I'm using IO V2.9(Freeware) with AB V5.0.
I have an IO statement:
//IO: GOAL: WinPCT: >: 50: *
which results in an error pop-up stating:
Goal Type must be Penalty or Bonus -> *
//IO: GOAL: WinPCT: >: 50: *
Correct and Retry
At first, I thought this meant that WinPCT was not usable in a GOAL
statement. However, when I tried one of the examples from IO.DOC...
//IO: GOAL: MDD: <: 10: * // I got the same error message, I.E.,
Goal Type must be......
//IO: GOAL: MDD: <: 10: *
Correct and Retry
If I continue without making the corrections, the backtest lists the
GOAL(s) in the "IO Directives v2.9" Window as, E.G.,
Goals: MDD <10 *= // What does the "=" mean?
The backtest runs to completion, but I can't be sure if IO used the
GOAL statement.
I've searched IO.DOC and this Group, to no avail. Does anyone know why
I'm getting this error flag?
Thanks,
--El Nanalo
_____
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