Hi Ton --
A comment on your example of insisting on fast being less than slow in your
example code ---
I understand that that might just have been an example for ease of
understanding.
But when the moving average lengths are fast < slow, the system is trend
following; when fast > slow, the system is mean reverting. Trading system
developers might let fast and slow change relationship, which changes the
type of system, creating an adaptive trading system.
Thanks,
Howard
On Tue, Mar 4, 2008 at 3:04 PM, Ton Sieverding <[EMAIL PROTECTED]>
wrote:
> Of course ... thanks.
>
> Regards, Ton.
>
>
> ----- Original Message -----
> *From:* Tomasz Janeczko <[EMAIL PROTECTED]>
> *To:* amibroker@yahoogroups.com
> *Sent:* Tuesday, March 04, 2008 10:41 PM
> *Subject:* Re: [amibroker] Sequential Optimizations for independent
> variables
>
> Hello,
>
> You should do this the other way round - don't generate trades when values
> are conflicting:
>
> For example, in the main code (not in custom backtester), add the
> following
>
> if( Fast > Slow )
> {
> PositionSize = 0; // don't enter any trades
> }
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> ----- Original Message -----
> *From:* Ton Sieverding <[EMAIL PROTECTED]>
> *To:* amibroker@yahoogroups.com
> *Sent:* Tuesday, March 04, 2008 10:33 PM
> *Subject:* Re: [amibroker] Sequential Optimizations for independent
> variables
>
> Sure, I know Tomasz... But that doesn't solve my problem. And my problem
> is that I am getting several conflicting values from the optimizer. In the
> underneath mentioned code there is a logical rule that says : Fast must be
> smaller than Slow. So when I am getting as optimal values a result like
> let's say Fast = 100 and Slow = 10, there is something wrong from a logical
> perspective. In practice I cannot accept these values. To avoid them I want
> to alter the result of the 'Objective Function' ( ObFn ) during the
> optimization process by simply changing the result in a very negative value
> so that in the Sort it will no longer be on top of the list. During the
> optimization process I need something like : if fast>slow then ObFn = -100.
> And that doesn't work because AB tells me that I am using a variable ( fast
> or slow ) not being initialized. What of course is correct. Therefore I
> would like to get these values with GetValue(). Hoping not to get the error
> message again -)
>
> Regards, Ton.
>
>
>
> ----- Original Message -----
> *From:* Tomasz Janeczko <[EMAIL PROTECTED]>
> *To:* amibroker@yahoogroups.com
> *Sent:* Tuesday, March 04, 2008 9:28 PM
> *Subject:* Re: [amibroker] Sequential Optimizations for independent
> variables
>
> The values are available as a result of OPTIMIZE function:
>
> fast = Optimize("fast", 12, 5, 20, 1 ); // 'these are values of opt
> variables
> slow = Optimize("slow", 26, 10, 25, 1 );
>
> (note optimize calls should be on GLOBAL level (i.e OUTSIDE "if" of custom
> backtest proc)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> ----- Original Message -----
> *From:* Ton Sieverding <[EMAIL PROTECTED]>
> *To:* amibroker@yahoogroups.com
> *Sent:* Tuesday, March 04, 2008 9:14 PM
> *Subject:* Re: [amibroker] Sequential Optimizations for independent
> variables
>
> Thanks for that one and something else about optimization Thomasz/Herman.
> I know how to get the built-in backtester statistics with
> GetValue. Let's say :
>
> *RetValue = st.getvalue("CAR");*
>
> But how do I get the values of both optimized values in underneath
> mentioned code ?
> I tried the same way as above but failed. What I did was something like :
>
> *OptFast = st.getvalue("fast");*
> *OptSlow = st.getvalue("slow");*
>
> But that did gave me errors. What's wrong with that ? Why ? The requested
> field is not available ? But didn't I initialize both fields in the Optimize
> instruction ? Both fields show up in the optimization list in AA. I don't
> understand what going wrong ...
>
> SetCustomBacktestProc("");
> *if*( Status("action") == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.Backtest();
> st = bo.GetPerformanceStats(0);
> fast = Optimize("fast", 12, 5, 20, 1 );
> slow = Optimize("slow", 26, 10, 25, 1 );
> Regards, Ton.
>
>
>
> ----- Original Message -----
> *From:* Tomasz Janeczko <[EMAIL PROTECTED]>
> *To:* amibroker@yahoogroups.com
> *Sent:* Tuesday, March 04, 2008 2:19 PM
> *Subject:* Re: [amibroker] Sequential Optimizations for independent
> variables
>
>
> Opt = Optimize("TotalOpt",10,1,200,1);
>
> switch( 1 )
> {
> case TotalOpt <=100:
> Opt1 = TotalOpt;
> Opt2 = 10;
> break;
> case TotalOpt > 100:
> Opt1 = 10;
> Opt2 = TotalOpt - 100;
> break;
> }
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> ----- Original Message -----
> *From:* Herman <[EMAIL PROTECTED]>
> *To:* AmiBroker User Group <amibroker@yahoogroups.com>
> *Sent:* Tuesday, March 04, 2008 2:10 PM
> *Subject:* [amibroker] Sequential Optimizations for independent variables
>
> Awhile back I suggested, on the feedback site, an option to perform
> sequential optimizations. The response was that this is already possible,
> however I can't figure out how. Can someone explain to me how to run the
> following two optimizations sequentially, that is independently, one after
> another?
>
>
> Opt1 = Optimize("Opt1",10,1,100,1);
>
> Opt2 = Optimize("Opt2",10,1,100,1);
>
>
> Sequential optimization would only require 200 opt cycles, while the
> normal opt procedure is designed for dependent variables and requires 10,000
> opt cycles. Sequential opts for independent variables would, in this case,
> be almost 100 times faster. I bet many users don't consider whether the opt
> variables are independent or not... doing so could turn a two hour opt into
> a 1 minute opt.
>
>
> AFAIK, Opt()s cannot be if()d, and their arguments cannot be changed
> dynamically, right?
>
>
> I must be (again) missing something obvious.
>
>
> many thanks,
>
> herman
>
>
>
