I'm not the original poster, but am dealing with the same issue. What you
suggest helps, and I can figure out how AmiBroker is encoding the scale in data
in the Buy/Short arrays. What about stops and profit targets? They don't
appear to be visible using the approach below. Thanks.
ovt
--- In [email protected], "Mike" <sfclimb...@...> wrote:
>
> Steve,
>
> It's not clear to me what you are describing, particularly when you say that
> you've combined signals into a few "Portfolios".
>
> To try and work around our differences in terminology, let me describe the
> scenario I'm proposing, and see if it can be applied to you.
>
> 1. Write AFL entry and exit rules in a script that we'll call Rules.afl. This
> script can be run on any number of symbols. We'll call the chosen symbols
> Watchlist 1. If you choose to only run it on 3 symbols, Watchlist 1 would
> contain only those 3 symbols.
>
> 2. Optimize Rules.afl to find best combination of parameters for Watchlist 1.
>
> 3. Satisfied with step 2, change the default value of the Optimize statements
> in Rules.afl to reflect the optimal combination.
>
> e.g.
> x = Optimize("X", 5, 1, 10, 1); // Assuming 5 found to be optimal.
>
> 4. Add Exploration support to Rules.afl allowing output of new signals.
>
> e.g.
> Filter = Buy OR Sell;
> AddColumn( IIf( Buy, Asc("B"), Asc("S")), "Signal", formatChar );
>
> 5. Run the exploration on Watchlist 1 every day before market open. The
> resulting output would be along the lines of:
>
> SPY, 05/20/10, B <-- Buy SPY.
> IWM, 05/20/10, S <-- Sell IWM.
>
> The above will allow you to run an exploration any time between market close
> and the following market open. The output will be the signals found in the
> most recent bar for which you have data (i.e. last night), with which you
> will place orders during the next bar (i.e. today).
>
> If your Buy and Sell arrays contain redundant signals, then use ExRem to
> clear them out before generating the explore output.
>
> e.g.
> UniqueBuy = ExRem(Buy, Sell);
> UniqueSell = ExRem(Sell, UniqueBuy);
> Filter = UniqueBuy OR UniqueSell;
> AddColumn( IIf( UniqueBuy, Asc("B"), Asc("S")), "Signal", formatChar );
>
> Mike
