Hi Scott --
If by edge you mean expectancy, then it is well understood as being very
important and often discussed in this forum.
Or do you have a different, and quantifiable, definition of edge?
Thanks,
Howard
On Wed, Sep 8, 2010 at 9:48 AM, sdwcyberdude scwalker1...@gmail.com wrote:
Good
Hi tstudent --
Your question does not say how you will be using the result. If it will be
assigned to ProfitScore, try this:
rrr = rsi; // however you do this
ret = weeklyreturn; // however you do this
PositionScore = 1000*rrr + ret; // adjusted as necessary so the numbers
come out with the
Hi Ford --
Backtesting is important.
In-sample backtesting results have no relation to future performance.
Out-of-sample testing is the only way to get an estimate of future
performance. Look for the 60% in out-of-sample runs.
Thanks for listening,
Howard
On Sun, Sep 5, 2010 at 7:33 AM,
Hi Frank --
Yes, it is possible. I completed a large project that was taking a lot of
my time and competing with work on Advanced AmiBroker. I'll try to finish
writing in time for the editors and printers to finish their portions, then
get the book to me before Christmas.
Thanks,
Howard
On
Hi Zozu --
If you want a profit target of, say, 2.5 percent, the ApplyStop statement
wants a positive 2.5 for the third argument. (See the help files or
reference manual.) Plot the array ProfitTarget to see what the values being
computed by the ROC statement are. Multiply that array by
Hi Bing --
If the data need not be accurate, why bother collecting it -- just set up a
random number generator to make it up. (Grin)
Even though you need only snapshot data, I recommend that you use data
supplied by a data vendor (as compared with a broker). I use DTNIQ and like
it. eSignal
Hi Meg --
Are there bars where the price changes 1% in one minute? Try lower the size
of the change required to trigger the signal.
Thanks,
Howard
On Sun, Aug 22, 2010 at 9:22 AM, Meg Nath meg.s...@gmail.com wrote:
Hi All,
I was trying to generate an AFL which indicated buy signals
Hi Ford --
Mubashar is correct.
To expand a little on what he wrote --
The expression C EMA(C,13) defines a condition known as a level. The
level is 1 (or, equivalently, True) for every bar where the Close of that
bar is greater than the 13 period exponential moving average computed using
the
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Ade --
You might add logic code to your afl that identifies the category of
market
condition, then sets the parameters the way you want them for that
condition, and then continues
!
Ade
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Ade --
I may be misunderstanding, but I don't see that CBT will be involved. I'm
thinking something like this may work -- all in pseudo-afl code.
Or do you have something else
Hi Ade --
You might add logic code to your afl that identifies the category of market
condition, then sets the parameters the way you want them for that
condition, and then continues on with the optimization.
Perhaps using the Switch statement.
Thanks,
Howard
On Thu, Aug 19, 2010 at 9:20 AM,
Hi Ray --
I would interpret your statement has no parameters to optimize to mean
that all of the choices of logic and parameters have been hard-coded into
the algorithm.
To optimize means, to me, to generate a large number of alternatives,
then choose the best based on a metric that describes my
Hi Ford --
The length of the FFT lookback is so large that it does not have much value
when used with financial time series.
There are some other algorithms that attempt to compute the periods of
dominant cycles. Search for John Ehlers in the AmiBroker forum postings and
library (or read his
Hi Phil --
InSync is / was the name of a commercial program that computed the values of
10 or so traditional technical indicators and let them vote. I reviewed
that program for one of the technical publications fifteen or more years
ago. My conclusion was that the indicators they used were so
Hi Kusnadi --
For an alternative method to insure that the second variable is always
greater than the first, change this code:
///
firstvar = Optimize(Firstvar,1,1,20,1);
Secondvar = Optimize(Secondvar,1,1,firstvar,1);
Buy = Sell = True;
scaling or stops. And when I do, it is not
because of any analysis. But only because it makes me feel safer.
-- Keith
On 7/30/2010 10:37, Howard B wrote:
Greetings --
Sohamdas wrote:
Dr Bandy, what you said is true, about the second alternative. The risk
conditions are violated
@yahoogroups.com amibroker%40yahoogroups.com] On Behalf Of
Howard B
Sent: Montag, 26. Juli 2010 16:33
To: amibroker@yahoogroups.com amibroker%40yahoogroups.com
Subject: Re: [amibroker] Trading Systems, Position Sizing and Monte
Carlo Analysis
Hi Sohamdas --
In my opinion
Greetings --
h3po wrote:
I can see one problem with modelling equity curve via Bootstrapmethod
described in the thread; the draws will be *independent** *(not correlated).
This will give less severe drawdowns in a simulation if the real situation
is that consequtive wins/losses are autocorrelated
Greetings --
Sohamdas wrote:
Dr Bandy, what you said is true, about the second alternative. The risk
conditions are violated, with further scale-ins,when we double up etc.
But consider, if with each scale-in, we also move the stop loss point.In
that scenario, the situation can morph into one,
Greetings --
h3po wrote:
Actully this gives idea for another interesting question: If one is able to
model *stockprices* by means of a simple model, could this (monte carlo)
simulated dataseries be valuable as additional data and be used as more OOS
data or will it not give any new information in
Greetings --
Mike's comment is correct --
As for the value of Monte Carlo (MC) vs. Walk Forward Analysis (WFA). My
view is that the two are not mutually exclusive, but rather are
complimentary. Your out of sample (OOS) results from WFA are exactly the
right kind of inputs for MC analysis.
Greetings all --
Several people have mentioned Dr Van Tharp's book, The Definitive Guide to
Position Sizing.
I like Dr Tharp's work, I have corresponded with him about position sizing,
and he was kind enough to mention me in his book. By all means, buy his
book and study it -- there is a lot to
Greetings --
MK wrote:
I believe that is called Bootstrapping. In Monte Carlo you have to first
guess the distribution of trades - more assumptions.
---
This response is about assumptions about the distribution (not about
bootstrapping).
It is not necessary, or even advisable, or
drawdown, but I achieve the same by
multiplying my non-monte-carlo-drawdown with say 1.5…
Greetings from Germany,
Matthias
From: amibroker@yahoogroups.com amibroker%40yahoogroups.com [mailto:
amibroker@yahoogroups.com amibroker%40yahoogroups.com] On Behalf Of
Howard
Greetings --
MK wrote:
What is the benefit of scaling in and out vs. treating them as separate
systems? They basically are separate system.
-
I agree that entries made from secondary signals, or whatever you would call
the signals that trigger the scale in, are
Hi Sohamdas --
In my opinion, this is definitely a topic that deserves discussion in the
AmiBroker forum.
What position sizing should be used during backtests?
If you will be evaluating each trade for its characteristics -- entry
efficiency, exit efficiency, and so forth, then each trade should
Hi Timur --
Buydate = DateNum()==1100716;
Buy = Buydate;
Thanks,
Howard
On Wed, Jul 21, 2010 at 4:08 AM, TimurLangit i4...@yahoo.com wrote:
Help me please.
How is afl code to create buy signal based on specific date? Like 'buy=1 if
date==July 16,2010'?
Thank you so much,
Timur
Hi Ray --
The answer to your question is a couple of chapters in my next book,
Advanced AmiBroker. While waiting for me to finish (no definite date for
release), you might read:
1. any of Ralph Vince's books. All are worth reading. His most recent is
The Leverage Space Trading Model.
2. Van
Hi Ray --
The t-test is used to test whether two samples come from the same
distribution. The example you may be referring to asks whether the
expectancy of the out-of-sample results could have come from a random or
unprofitable system. The null hypothesis (the one we want to say is very
, Howard B
howardba...@... wrote:
Hi Mikey --
Positive values of PositionScore are used to rank issues to enter long
positions. Negative values are used to rank issues to enter short
positions. Try transforming the random numbers so that they run from
-0.50
to +0.50. That is, try
Hi Mikey --
Positive values of PositionScore are used to rank issues to enter long
positions. Negative values are used to rank issues to enter short
positions. Try transforming the random numbers so that they run from -0.50
to +0.50. That is, try:
PositionScore = random() - 0.50;
MTRandom()
Hi AJ --
Are the settings the same?
Are the issues being tested the same?
Are the individual values that give good results in the backtest included
within the ranges of the optimization variables?
Thanks,
Howard
On Sat, Jul 10, 2010 at 12:04 PM, AJ axjur...@gmail.com wrote:
Good
Greetings --
This is the code being referred to from my book, Quantitative Trading
Systems.
Thanks,
Howard
//EnterAtRandom.afl
//
//Entry a position at the close of a random bar.
//
//A random entry for use as a benchmark.
//
//Expect this entry to mirror the buy and hold.
//
, including C++ and Excel.
Also, download the pdf file from the link Addendum and Errata from this
page:
http://www.quantitativetradingsystems.com/book.html
which has an example of using mtrandom.
Thanks,
Howard
On Wed, Jul 7, 2010 at 4:34 AM, Howard B howardba...@gmail.com wrote:
Greetings
Hi Michael --
Right-click in the Results window. This brings up a context menu.
Left-click Clear Results List.
Or did I mis-understand the question?
Thanks,
Howard
On Wed, Jul 7, 2010 at 1:27 PM, michaels_musings michaels_musi...@yahoo.com
wrote:
I did something to mess up the display of
Greetings --
On the Tools menu Preferences Intraday tab
You can control whether the time associated with a bar is the start of the
bar or the end of the bar.
Thanks,
Howard
On Thu, Jul 1, 2010 at 1:04 AM, edakad1 edak...@yahoo.com wrote:
Hi,
I am facing a problem with intraday charts.
Hi Abbie --
I wrote a paper, Use of Fundamental Data in Active Investing, that
discusses some the issues that arise when using fundamental data.
You can download it for free from this site:
http://www.blueowlpress.com/activities.html
Thanks,
Howard
On Fri, Jun 18, 2010 at 1:44 AM, Paolo
Hi Jolly --
Something like this:?
TrailingStopPercentage = 2.5; // percentage points
ApplyStop(StopTypeTrailing,StopModePercent,TrailingStopPercentage,1);
TrailingStopPercentage is a variable that you control completely -- you name
it, you assign it a value, the value can be an expression
of value
in
chart, that is in range of bars also.
I don't know if is possible.
Thank you for your response,
Erich Rodrigues
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.comamibroker%
40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Erich --
Thanks
Hi Gonzaga --
Check the users guide for ApplyStop.
Your afl can have more than one exit, and it is common for a trading system
to include both exits described by logic (Sell = xxx;) and by ApplyStop --
perhaps more than one of each. If you have several ApplyStop statements
(profit target,
this function to do this? Basically, I need export
indicator value when my backtest says to buy or to sell.
TIA,
Erich Rodrigues
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi RZ --
My book Quantitative Trading Systems discusses
Hi G --
If it does not violate any copyright or non-disclosure, post the
TradeStation code and someone will translate it and post the equivalent
AmiBroker code. If that would be in violation, then this is not the
appropriate forum.
Thanks,
Howard
On Sun, Jun 13, 2010 at 11:36 AM,
.
Regards
Vishvesh
On Fri, Jun 11, 2010 at 10:12 PM, Howard B howardba...@gmail.com wrote:
Hi Vishvesh --
If you can define divergence in an unambiguous way, it can be programmed.
What is your definition?
Thanks,
Howard
On Fri, Jun 11, 2010 at 10:11 AM, Vishvesh vishvesh.chau
--
*From:* Howard B howardba...@gmail.com
*To:* amibroker@yahoogroups.com
*Sent:* Sat, 12 June, 2010 2:39:54 AM
*Subject:* Re: [amibroker] Limiting Drawdown in a Backtest
Hi RZ --
You can do this by creating a custom objective function.
It could as simple as assigning the custom function
Hi Vishvesh --
If you can define divergence in an unambiguous way, it can be programmed.
What is your definition?
Thanks,
Howard
On Fri, Jun 11, 2010 at 10:11 AM, Vishvesh vishvesh.chau...@gmail.comwrote:
Hello Friends,
I was wondering is there AFL available which highlights the price bar
Here is the Buy part with plot statements to help visualize what is
happening
-
//Buy20DayHigh.afl
//
//Buy when ema(c,5) ema(c,20)
//and issue reached new 20 day high
//
//Howard Bandy
//June 2010
//
Cond1 = EMA( C, 5 ) EMA( C, 20 );
Cond2 =
See if this helps
--
//OpensAtHigh.afl
//
//Identify that the opening price
//on the first bar of the day
//is the high of that bar.
//
//Howard Bandy
//June 2010
//
dn = Day();
FirstBar = dn != Ref( dn, -1 );
OpenAtHigh = FirstBar ( O ==
Hi K --
Each database is a subdirectory to C:\Program Files\AmiBroker. For example,
the small database that installs when AmiBroker is first installed is named
Data. It is in C:\Program Files\AmiBroker\Data. Use Windows Explorer and
you can see the folders where each ticker is stored according
Hi Mithal, and all --
Not to discourage your efforts, but no one will be able to develop, test,
and validate a trading system, then trade it with confidence, without having
skills in both programming and statistics.
Please, take the time to learn AmiBroker's afl.
Thanks,
Howard
On Sat, Jun 5,
As requested --
//CalculateMovingAverageLooping.afl
//
//Calculate a simple moving average using looping code
//
//Howard Bandy
//June 2010
//
//In Formula Editor, click Apply Indicator.
//Note that all three moving averages are the same
//Plot the price series
Hi Frank --
Thanks for your interest in Advanced AmiBroker.
I am still working on writing and editing the book. Time to work on it is
in competition with my own trading and several other of my projects. I am
making progress on the book, but have no definite release date. I will post
notices
Hi Ara --
According to information from Norgate Premium Data, they will will have GICS
data real soon now. Richard Dale, who often posts here, is their contact.
Thanks,
Howard
On Fri, Apr 23, 2010 at 12:54 AM, Paolo pcavat...@gmail.com wrote:
Greetings --
You may need to use bars with finer resolution.
Any assumptions of the order of any prices other than Open and Close are
unreliable. Conservative trading system design assumes that prices happen
in the order that is least favorable to the trader.
For any single bar, you know four
Hi Alan --
In order to sort them into the order you want them in, you will need to
assign each a number that will be used as the sort key. I assume you can
define the key and do that.
Assign that key to a variable.
Use the AddColumn to list the variable.
Run the Exploration.
Click on the header
Hi Tony --
There is a trading system methodology known as rotational trading where a
watchlist is evaluated every bar and those issues that have the highest
PositionScore are selected. To enable rotational trading, the afl needs
this statement:
EnableRotationalTrading();
When using rotational
Greetings --
There may be two questions in this thread.
Question 1 -- What is the relationship between the smoothing constant and
the lag.
Given a Simple Moving Average with a lookback of SMALength (say, 10 bars),
what is the smoothing constant for an Exponential Moving Average that
performs
Hi Donald --
Does something like this work for you?
TradingDay = 15;
dn = Day();
newMonth = (dn=TradingDay) (Ref(dn,-1)TradingDay);
Thanks,
Howard
On Sat, Mar 20, 2010 at 7:36 AM, donald_brown_48367
donald_brown_48...@yahoo.com wrote:
I have a rotational system that rotates at the
Yes
On Mon, Mar 8, 2010 at 3:38 AM, victorio91306 vabb...@socal.rr.com wrote:
Is the AmiBroker software a viable platform to day trade The ESMINI.
Hi Jchi --
Herman is right.
When profits look too good to be true, the first thing I check for is a
future leak -- using data in the trading system code that is available to
the backtester that would not be available to the trader. Depending on the
code used, checking this might be as easy as
Hi Jchi --
I recommend that you do this in two steps.
One -- write the trading system, including Buy and Sell statements. Use the
Automatic Analysis Backtest button to run the backtest and get trading
results.
Two -- add AddColumn statements to the code. (See the reference materials
for
Hi Jchi --
High quality, low cost end-of-day data is available from several vendors.
Two I recommend (I subscribe to them both) are:
Quotes Plus -- http://qp2.com/joomla/index.php
Norgate Premium Data -- http://www.premiumdata.net/
Read the reference materials related to BuyPrice, SellPrice, and
Hi SpaceBass --
I would like to read your paper. Let us know how to get a copy.
Thanks,
Howard
On Mon, Feb 22, 2010 at 9:39 PM, spacebass5000 spacebass5...@yahoo.comwrote:
Awesome, lots to ponder. Thanks a lot for the input everyone!
I'm actually writing a paper that looks at various
Hi Pat --
I regularly use AddToComposite with data from Norgate Premium Data without
any difficulty. I suspect the problem is with the way ATC is being used,
not with the data. Post the entire code so we can look at it. (Or make up
a small program that fails to work correctly to illustrate
Hi Pedro --
For any single bar, you know the values of four data points -- Open, High,
Low, and Close. You know the time of two data points -- Open and Close.
There is no way to determine the sequence in which any prices other than
Open and Close occur.
You can, within one bar do any of these
Hi Kevin --
There are several difference between ETNs and ETFs.
ETNs make up less than 1% of the ETF/ETN products. A few of them have
reasonable volume, but most do not. There can be tracking error (and
arbitrage opportunity for major players) with ETNs. ETNs are not equities,
or baskets of
Hi Joris, and all --
If the typical time a trade is held, and trading frequency is fairly
constant, both of which I recommend, then constant time periods will have
similar number of trades.
Some of us carry on a lot of our lives using time to schedule -- how many
dollars per year we earn, how
Greetings all --
An earlier post in this thread:
I also read Connor's book and found many of his strategies worked, probably
because they were simple. I did not find that scaling in, as is being
discussed in this thread, worked better than just buying a full position.
Anyone else come up with the
Hi SpaceBass --
The only way to determine the correct length for the in-sample period is by
running experiments. The length needs to be long enough for the model to
synchronize with the data and learn to recognize the signal. But not so
long that the signal has changed significantly, making it
Hi Herman, and all --
The issue determining the length of the in-sample period is not the number
of trades, but the number of data points it takes for the model (afl) and
the data (OHLC) to become synchronized. Imagine a model that is looking for
cyclic behavior in the data. If the cycle
Hi Richard, and all --
I categorize exits in several general ways.
1. The exit from the logic of the trading system. This is usually the best
exit.
Exits that can be good include:
2. Exit caused by a trailing stop that follows the price movement in the
direction of the trade -- the stop
%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Zozu --
How small are the numbers and how are you using them?
Multiplying by 100 or 1000 is often useful when working with indicator
values so that they scale reasonably when plotted.
Multiplying by 100 or 1000 may be useful
Hi Zozu --
How small are the numbers and how are you using them?
Multiplying by 100 or 1000 is often useful when working with indicator
values so that they scale reasonably when plotted.
Multiplying by 100 or 1000 may be useful when combining a variable with a
small value with a variable with a
Industrial Strength
Is that a good thing or a bad thing?
Thanks,
Howard
On Tue, Feb 9, 2010 at 9:00 PM, reefbreak_sd reefbreak...@yahoo.com wrote:
I am no expert in backtesting, you need to address those questions to
Howard Bandy on this forum or buy his EXCELLENT book Quantitative
Hi Joseph --
One straightforward way to study the effect of survivorship bias is to set
up a watchlist for each period. Enter the tickers of those issues that are
components of that index at the beginning of the period. On the AA Settings
dialog box, select a watchlist and set the Range to the
and out by the
close. So i hold no stocks overnight. So i am not exposed to trading halts
or overnight gaps etc.
(not sure if this makes a difference)
Thanks again for your time Howard
From: Howard B howardba
Hi Joseph --
There are many uses of Monte Carlo in the fields of econometrics and
financial analysis and modeling. But the three described below are the most
applicable to trading systems development. Some are easy to implement in
AmiBroker, others are more difficult. Some are useful, others are
Hi Ton --
Yes, Equity Monaco is a NeoTicker product. It accepts a list of closed
trades from a text file as input. You can get that by exporting results
from the AA report, cleaning it up with a spreadsheet if necessary, and
importing it into Equity Monaco. You definitely can use Equity Monaco
Hi Markus --
I also own Tharp's books. He does use a proprietary package called Know
Your System for his analysis.
There are many ways to use Monte Carlo techniques. The different algorithms
are more about generating random numbers and defining the distributions from
which the random values
this are a great place to be!
Thanks again and all the best for your newest book project!
Peace
Markus
- Original Message -
*From:* Howard B howardba...@gmail.com
*To:* amibroker@yahoogroups.com
*Sent:* Sunday, January 24, 2010 7:33 PM
*Subject:* Re: [amibroker] Monte Carlo Analysis
react to the underlying and
time decay.
rr
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Greetings all --
Historical data for options is both difficult to obtain and generally not
useful. Only the most active options trade regularly
Hi Richard --
Something like this?
///
//MultipleExits.afl
//
//Buy the first trading day of the month
Buy = Month() != Ref(Month(),-1);
WhichExit = Optimize(WhichExit,1,1,4,1);
switch(WhichExit)
{
case 1:
//Sell the first
Hi Steven --
The answer is in the combinatorics.
If I ask for the best combination of, say, 5 stocks from among 20 choices,
we are asking what is the best choice of 20, taken 5 at a time? The
number of possibilities that must be evaluated is
n! / (r! * (n-r)!)
where n is 20, r is 5, and ! is
Hi Nugget --
Try this:
//BuyAtANewHigh.afl
//
//Buy if today's high is at least 1% higher than yesterday's high
TargetPrice = 1.01 * Ref( H, -1 );
Buy = H TargetPrice;
BuyPrice = TargetPrice;
Sell = BarsSince( Buy ) = 2;
///
Thanks,
Howard
On Thu, Jan 14,
Greetings all --
Historical data for options is both difficult to obtain and generally not
useful. Only the most active options trade regularly enough to give
accurate and useful OHLCV data on their own. And options expire, which
means that the active contract has a useful history of about one
Hi Markus --
All trades are trend following for the time they are held -- but the
conditions that describe the entry are either mean-reverting or
trend-following depending on whether the system buys weakness or buys
strength, respectively.
Under some conditions, mean reversion systems are
Hi Markus --
The characteristics of a desirable trading system are yours to decide.
Whether you want to focus on trend following systems, on mean reversion
systems, on pattern systems, statistical systems, or whatever else is
completely up to you.
I meant no criticism. My suggestion about
Greetings --
Beware of high sums resulting from signals coming from indicators that are
positively correlated. For example, RSI, CCI, Stochastic will all trigger
at about the same time / price.
Thanks,
Howard
On Fri, Dec 25, 2009 at 6:35 PM, Neil Wrightson ne...@nwe.net.au wrote:
Hi,
equity in single trade
Buy = RSISignal ;
Sell = Close ;
---
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Peter --
To be sure we are all looking at the same situation, post the code you
have
a question about.
A common
Hi Peter --
To be sure we are all looking at the same situation, post the code you have
a question about.
A common reason trades last longer than might be expected is that the Buy
condition reoccurs during the trade.
Thanks,
Howard
On Sat, Dec 19, 2009 at 1:31 PM, peter843
Greetings --
As a way of testing whether scaling-in works for your trading system, you
might code up two separate trading systems.
The first takes a position at your first signal.
The second takes a position when you already have your first signal and then
receive your scale-in signal.
Hi PS --
One way to get a feeling for values for metrics and objective functions is
run an optimization, giving you a range of results. If necessary, peek into
the future so you are certain to get some really good results.
Look through the list of results, pick some individual results with a
Greetings all --
In a conversation I had recently with a practitioner of high frequency
trading, including flash trading, he pointed out that it is not unusual for
bids and offers to be modified many times for every trade that is eventually
executed. Many means somewhere between two or three
Hi Bis --
The documentation explains how to write data to disk files from within AFL.
You will need a sequence of:
fopen -- one time to establish the file
a loop that formats the data the way you want it, then calls fputs for each
bar
fclose -- one time to close the file and finalize the write.
Hi Dubi --
What is SPSO?
Thanks,
Howard
On Wed, Nov 11, 2009 at 9:07 AM, dubi1974 gonzale...@chello.at wrote:
Hi!
Is it possible to optimize a system (for e.g. best net performance %) with
SPSO but then use the highest Ulcer Performance Index or CAR/MDD and use
then this parameters for
misinterpret your question?
Thanks,
Howard
On Fri, Nov 13, 2009 at 3:39 AM, Bisto bistoma...@yahoo.com wrote:
I suppose: Standard Particle Swarm Optimization
Bisto
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Dubi --
What is SPSO
Greetings Ramon, Graham, and all --
You are probably already aware, but many will not be.
There is danger in multistep optimization when the second step is applied to
the results of the first step, all of the out-of-sampleness has probably
been used up. Be certain to reserve some additional
Greetings all --
Be certain that scaling in actually helps your trading system. It hurts
most. You might be able to isolate the scaling in effect by running the
system as two separate systems -- one with the original buy and the second
with the scale in buy.
Thanks,
Howard
On Wed, Oct 21,
of the equation will render the rest of the equation
irrelevant once N gets too large.
$0.02
Bing
--- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard
B howardbandy@ wrote:
Hi Zozu --
I must disagree with Van Tharp on this.
If the runs
Greetings --
I do not offer a solution, rather a question. What is in those files, and
how will they be used? Will they be used as components of trading systems
that will someday be traded?
If the data in the ASCII files is available from a vendor for which there is
already an AmiBroker data
@yahoogroups.com amibroker%40yahoogroups.com, Howard B
howardba...@... wrote:
Hi Bing, and all --
I think we need a reality check.
First -- computing the t-test, or any other metric using the results from
in-sample runs has no value. Almost any trading system can have the
parameters
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