Hello Howard, thanks for steping in here.
If I may, what do you mean by "mean reversion system" in this context? Bying when for instance the slower MA pierces thru the faster one to the upside (or conversely: when the faster MA crosses the slower one to the donwside) may indicate a potential turnaround in trend, right. Why would one buy into this? I´d rather buy strength rather than a "falling knife", i.e. when the faster MA crossing the slower one to the upside signaling acceleration. Is there a flaw in my thinking? Please bear with my ignorance on this. Markus ----- Original Message ----- From: Howard B To: [email protected] Sent: Wednesday, January 06, 2010 2:19 PM Subject: Re: [amibroker] Optimizing Hi Markus -- When the relationship between the two moving average lengths changes, the system changes from being a trend following system to being a mean reversion system. It remains a "long" system when the signals generated are Buy = cross(MA1,MA2); It becomes a "short" system when the signals generated are Short = cross(MA1,MA2); Why exclude them? You may very well find that the system works best as a mean reversion system. But if you insist on limiting the variables, try this: ////////////////////////////////// MA1Length = Optimize("MA1Length",50,50,200,1); MA2Length = Optimize("MA2Length",100,100,300,1); MA1 = MA(C,MA1Length); MA2 = MA(C,MA2Length); // Generate a Buy signal when MA1 crosses up through MA2, // but only when the length of MA1 is less than the length of MA2 Buy = (MA1Length<MA2Length) AND Cross(MA1,MA2); Sell = Cross(MA2,MA1); /////////////////////////////////// Thanks, Howard On Wed, Jan 6, 2010 at 5:44 AM, Markus Witzler <[email protected]> wrote: Hello, let´s say I intend to optimize a 2 MA crossover system with MA1 and MA2. Possible range for MA1: 50-200 Possible range for MA2: 100-300 Now, there are some instances in which periodicity of MA1 is higher than the one of MA2, thereby creating a "short" system. How does one exclude these "redundant" combinations from optimization? Thanks Markus __________ Information from ESET Smart Security, version of virus signature database 4668 (20091207) __________ The message was checked by ESET Smart Security. http://www.eset.com
