hi Matthias,
I do similar code when optimizing, see below. So I can not tell what the
problem is. My first guess was a memory problem. I couldn't get it to work on a
1-minute database but I could on a 5-minute database. So maybe send your
specific error to support.
Second question indeed you need to expand the hourly system to the timeframe
you want to do your calculations (15min). Takes some work to get it right,
regards, Ed
if (Name() == "+CL#")
{
thresholdEquityCL = Optimize("thresholdEquityCL",1370, 50, 5000, 10);
thresholdEquity = thresholdEquityCL;
}
else if (Name() == "@EMD#")
{
thresholdEquityEMD = Optimize("thresholdEquityEMD",550, 50, 5000, 10);
thresholdEquity = thresholdEquityEMD;
}
else if (Name() == "@TFS#")
{
thresholdEquityTF = Optimize("thresholdEquityTF",1490, 50, 5000, 10);
thresholdEquity = thresholdEquityTF;
}
else if (Name() == "@ES#")
......
etc.
From: Matthias
Sent: Wednesday, September 08, 2010 8:55 PM
To: [email protected]
Subject: [amibroker] Backtest multiple systems across multiple timeframes
Hi,
thanks to the contribution of Ed Pottasch, supported by Bruce, I was able to
dig a little deeper into Amibroker coding. Everybody who is interested in
applying multiple systems on the same underlying simultaneously should look
here, great piece of work:
http://finance.groups.yahoo.com/group/AmiBroker-at/message/5349
Thanks Ed, thanks Bruce.
Unfortunately, I stumbled across a couple of questions when backtesting
multiple systems across different timeframes, hope someone can help, sorry for
the post being a bit lenghty.
Both systems are traded on the same underlying, in order to make things easier
for AB (Which is a bit strange) I used the same set of data, just renamed it.
both systems operate on the same timeframe, say 15mins.
Question 1:
I use the same variable "percentrisked" for both systems. Wanted to optimize
for percent risked (only!, this is NOT shown in the example below), so to say
capital allocated to each system for the smoothest equity curve, AB keeps
crashing... Can I use the same variable name in each sub-section or are there
limits? should I dedicated "percentrisked1" to system1 and "percentrisked2" to
system2 only? I am not a programmer, but for my understanding, both variables
are local, so AB should not be crashing...?
Is using "Setoption" in this context appropriate or would it result in wrong
values?
if(Name()=="DAX_CFD_day1")
{
percentrisked=2.0;
factor=Optimize("ATR-Factor",8.5,3,12,0.5);
number=(percentrisked)/(ATR(14)*factor)*20;
SetPositionSize(number, spsPercentOfEquity);
SetOption("commissionmode",3);
SetOption("Commissionamount",1.2);
SetOption("AllowSameBarExit",True);
SetOption("ActivateStopsImmediately",True);
.....systemlogic here
}
if(Name()=="DAX_CFD_day")
{
percentrisked=Optimize("Bolli",0.6,0.5,1,0.1);
sl=2;//Optimize("sl",2,2,2.5,0.5);//good:6
number=(percentrisked/(Ref(ATR(14),-1)*sl))*20;
SetPositionSize(number, spsPercentOfEquity);
SetOption("commissionmode",3);
SetOption("Commissionamount",1.2);
SetOption("AllowSameBarExit",True);
SetOption("ActivateStopsImmediately",True);
SetOption("FuturesMode",True);
SetTradeDelays(1,1,1,1);
Equity(1);
... systemlogic here
}
Question 2:
Both systems above use 15min timeframe. Another system is using 1hr timeframe
and is trading FX. I was not able to re-write the logic so that I could
backtest the 3 systems with AA settings 15min timeframe. Any ideas? I do have
about 8 systems, lowest timeframe is 5min, highest timeframe 4hrs. That would
require a lot of "re-writing"... Am I alone with my "I have too many-systems"
Problem or am I missing somehting?
original logic in 1hr timeframe:
percentrisked=0.007;
sl=4.5;
tp=2.5;
number=((percentrisked)/(Ref(ATR(14),-0)*sl));
SetPositionSize(number,spsPercentOfEquity);
SetOption("maxopenpositions",1);
CCIperiod=Optimize("CCI",36,34,40,1);
CCIthreshold=optimize("CCIthres",89,88,96,1);
MAperiod=Optimize("maperiod",7,6,8,1);
MA1= MA(C,MAperiod);
MA2= MA(Ref(C,-2),MAperiod);
CCIshort=CCI(CCIperiod)>=ccithreshold;
CCIbuy= CCI(CCIperiod)<=-CCIthreshold;
Buyok=Ref(CCIbuy,-1) AND Cross(MA1,MA2);
Sellok=CCIshort;
Shortok=Ref(CCIshort,-1) AND Cross(MA2,MA1);
Coverok=CCIbuy;
timestart=020000;
window=170000
Check=timestart+window;
timeok=TimeNum()>=timestart AND TimeNum()<=Check;
Buy= Buyok AND timeok;
Sell= Sellok;
Short= Shortok AND timeok;
Cover= Coverok;
ApplyStop(stopTypeLoss,stopModePoint,sl*ATR(14)); //9
ApplyStop(stopTypeProfit,stopModePoint,tp*ATR(14)); //1.2
Equity(1);
System2:
percentrisked=0.007;
sl=4.5;
tp=2.5;
SetOption("maxopenpositions",1);
CCIperiod=Optimize("CCI",36,34,40,2);
CCIthreshold=Optimize("CCIthres",97,88,96,2);
MAperiod= Optimize("maperiod",7,7,9,1);
TimeFrameSet(inHourly);
MA1= MA(C,MAperiod);
MA2= MA(Ref(C,-0),MAperiod);
CCIhr= CCI(CCIperiod);
ATR1= ATR(14);
TimeFrameRestore();
number=((percentrisked)/(TimeFrameExpand(Ref(atr1,-0),inHourly)*sl));
SetPositionSize(number,spsPercentOfEquity);
CCIshort=TimeFrameExpand(CCIhr,inHourly)>ccithreshold;
CCIbuy= TimeFrameExpand(CCIhr,inHourly)<-CCIthreshold;
Crossup=Cross(TimeFrameExpand(MA1,inHourly),TimeFrameExpand(Ref(MA2,-2),inHourly));
Crossdown=Cross(TimeFrameExpand(Ref(MA2,-2),inHourly),TimeFrameExpand(MA1,inHourly));
Buyok=Ref(CCIbuy,-5) AND Crossup;
Sellok=CCIshort;
Shortok=Ref(CCIshort,-5) AND Crossdown;
Coverok=CCIbuy;
timestart=20000;
window=170000;
Check=timestart+window;
timeok=TimeNum()>=timestart AND TimeNum()<=Check;
Buy=Buyok AND timeok;
Sell= Sellok OR CCIexit;
Short= Shortok AND timeok;
Cover= Coverok OR CCIexit;
ApplyStop(stopTypeLoss,stopModePoint,sl*TimeFrameExpand(Ref(ATR1,-1),inHourly));
ApplyStop(stopTypeProfit,stopModePoint,tp*TimeFrameExpand(Ref(ATR1,-1),inHourly));
Equity(1);
Thanks a lot for your suggestions,
Matthias
