Thanks. I did a search in the Yahoogroup messages and found a lot of good material to study. Most likely the system I am testing is not profitable in real trade.
________________________________ From: reinsley <[email protected]> To: [email protected] Sent: Tue, April 13, 2010 4:22:39 AM Subject: Re: [amibroker] Re: Can Zig function be used in a system? I don't know the author of this stuff. BR //Zigzag Validation /*It is possible to use zigzag in a backtest. the important thing is that the signals can only occur after the price has passed the reversal level */ p = Peak(C,10); pb = PeakBars(C,10) ; t = Trough(C,10) ; tb = TroughBars(C, 10); _TRACE("p = "+p+" pb = "+pb+" t = "+t+" tb = "+tb); cp = Cross(p*0.9, LowestSince( pb==0, C)); ct = Cross(HighestSince( tb==0, C), t*1.1); Fall = Flip(Cp,Ct); Rise = Flip(Ct,Cp); _TRACE("fall = "+fall+" rise = "+rise); Buy= Cover= Cross(MACD() ,Signal() ) ANDrise; Sell= Short= Cross(Signal( ),MACD()) ; SetChartOptions( 0, chartShowDates| chartWrapTitle); GraphXSpace= 10; _N(Title= "{{NAME}} - {{INTERVAL}} {{DATE}} "+_DEFAULT_NAME( )+" : {{OHLCX}} {{VALUES}}" ); BarColor = IIf( rise, colorPaleGreen, IIf( fall, colorOrange, ParamColor( "Price Colour", colorWhite))); Plot( C, "", BarColor, ParamStyle( "Price Style", styleBar, maskPrice) ); Plot( Zig(C,0.1), "Zig", colorRed, styleLine); Plot( IIf(pb<tb,Peak( C,10)*0.9, Trough(C, 10)*1.1), "Zig", IIf(pb<tb,colorOrange,colorPaleGreen), styleStaircase); PlotShapes( shapeSmallUpTriangl e*Ct, colorPaleGreen, 0, L, -12); PlotShapes( shapeSmallDownTrian gle*Cp, colorOrange, 0, H, -12); PlotShapes( shapeUpArrow* Buy, colorGreen, 0, L, -24); PlotShapes( shapeDownArrow* Sell, colorRed, 0, H, -24); Le 13/04/2010 06:12, Tony M a écrit : > >Thanks for the reply. I am backtesting a system that uses Zig >function. The backtest result is good, but I suspect Zig function may >artificially increase the profit. I want to use Explore to generate >signal day by day and compare with the backtest result, is this a good >method to find whether the system is profitable? It is very time >consuming to use Explore to generate signal day by day and than compute >the result. Any quick method to test if the system is profitable in >real trading? Thanks. > > > ________________________________ From: >reefbreak_sd <reefbreak_sd@ yahoo.com> >To: amibro...@yahoogrou ps.com >Sent: Mon, April 12, >2010 7:57:12 PM >Subject: [amibroker] >Re: Can Zig function be used in a system? > > >One additional use for Zig is to see if a security has large >enough price swings to trade profitably. > >>Some low volatility securities become unprofitable to trade if you >factor in commissions and bid/ask slippage. > >>ReefBreak > >>--- In amibro...@yahoogrou ps.com, >"Chris DePuy" <cde...@...> wrote: >>> >>> The way I have seen it explained is you would use zig to determine >what "perfect" performance would be. Then compare it to your system >that you are testing that does not use zig. The timeframes used in zig >should be similar to those in your other system. >>> >>> >>> >>> ----- Original Message ----- >>> From: Tony M >>> To: amibro...@yahoogrou ps.com >>> Sent: Monday, April 12, 2010 6:09 PM >>> Subject: [amibroker] Can Zig function be used in a system? >>> >>> >>> >>> >>> I am new to Amibroker and I read from the Amibroker UserGuide that >the Zig function may looking into the future. Does this mean the Zig >function can not be used for any trading system? And how do I know if >the Zig function is skewing the backtesting result? >>> Thanks, >>> Tony >>> > > >
