Using Optimize() - Trading Software

Using Optimize()

Jeff D
2014-01-16 20:53:35

If I use Optimize to test different parameters for a variable I noticed there is Variable Name, Min, Max, Step but no default value. If I set the min max and step it works fine for the Optimize but how to I set a default value for when I RUN the system it will take that value?

Thanks

Alexander Horn
2014-01-16 21:06:10

Best Answer

Hi Jenkisan,

I'm also used to the Amibroker version with Default setting, but here how you can simulate. Simply put opti=0 to fix some values for one run, or =1 to optimize, see below. Hope it helps..

Btw, I'm also working on ranking rules like EtfReplay, Accutrack, IDB, send me a PM if you want to exchange....

Best,
Alex

// Optimize settings -- Opti = 0 means fix best values, 1 means optimize
opti = 0;

Assets = 1;
LT = 142;
ST = 32;

Optimize("Assets", iff(opti,1, assets), iff(opti,5, assets), 1);
Optimize("LT", iff(opti,2, LT), iff(opti,162, LT), 10);
Optimize("ST", iff(opti,2, ST), iff(opti,162, ST), 10);

// your rules..

Jeff D
2014-01-16 21:09:15

Thanks Alex

Merci.

Jeff D
2014-01-23 12:46:00

Alex,

to follow up on your great script above, I added 2 more variables but these don't seem to work. They are long (decimals), does this make a difference? Do I need to declare them as such? When I run the simulation all I get is

weight1 = 0 and weight2 = 0 instead of 0.5 and 0.5

PS If I set to 1 and optimize it works fine. Only when I set to 0 so I can use my own value that it doesn't accept the 0.5.

Thanks

volopti = 0;
rocopti = 0;
w1opt = 0;
w2opt = 0;

volper = 20; //20 50
rocper = 120; //125 130
weight1 = 0.5;
weight2 = 0.5;

Optimize("volper", iff(volopti,10,volper), iff(volopti,250,volper), 5); // Create an optimizable period natr
Optimize("rocper", iff(rocopti,10,rocper), iff(rocopti,250,rocper), 5); // Create an optimizable period roc
Optimize("weight1", iff(w1opt,0.1,w1opt), iff(w1opt,1,w1opt), 0.1); //weight 1
Optimize("weight2", iff(w2opt,0.1,w2opt), iff(w2opt,1,w2opt), 0.1); //weight 2

QuantShare
2014-01-23 12:49:19

Replace the last two lines by:

Optimize("weight1", iff(w1opt,0.1,weight1 ), iff(w1opt,1,weight1 ), 0.1); //weight 1
Optimize("weight2", iff(w2opt,0.1,weight2), iff(w2opt,1,weight2), 0.1); //weight 2

Jeff D
2014-01-24 12:50:12

I see! Stupid mistake on my behalf.

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