04-03-2008
Welcome and hope you find these files of use to you
This zip files includes the following:
HiLoVLE2
6/21/07
Fred Tonetti -Since
there seems to be some interest in a HiLoVLE like system with capabilities to
auto calculate where todays or tomorrows signal change price is at ... Here's a
version with a variety of bells and whistles including the capability to:
- Long & Short some particular single symbol like ^VAY for intraday usage or
faster optimiztion
- Switch between user supplied lists of symbols to take long positions in ...
It'll determine position size based on how many symbols you give it.
- Auto calculate todays or tomorrow price necessary to cause a change in signal.
This system will never be locked up as there will always be a price at which a
signal would occur in a +/- 3% ( Set by BROC1 & SROC1 ) range.
For specifics see comments in the AFL ...
I left the parameter values set to something that works pretty well for the
recent history or VLE and/or some groups of long & short oriented funds.
The AFL has some interesting techniques for doing some things which might prove
educational to some ..
HiLoVLE2R
6/21/07
Fred Tonetti -Here
are a couple of mods to HiLo ...
- Fixed a minor error or two.
- Enhanced the info in the title
Parameter values based on sensitivity driven optimization. The results aren't
much different ... neither are the parameter values ... Although they are less
sensitive at these numbers ...
Self-Adjusting Wave
6/21/07
Mark Keitel -Not
sure where I found this afl. It is called Self-Adjusting Cycle Highlighter.
playing with it some this is what it looks like on the RUT. Changing the
parameters will of course change the Wave
IO v2.7 Read Me
8/11/07
Fred Tonetti -Any
heavy duty IO Silver+ users out there interested in beta testing a new version ?
If so send me an email and I'll send it out to you.
Here's the short list of new features ... The doc will explain these in
highlighted detail.
Previous problems with Signal based ( as opposed to Time based which worked fine
) WF have been fixed as well and made more flexible.
IO v2.9 Read Me
9/09/07
Fred Tonetti -IO
Upgrade v2.9
Artificially Intelligent Optimization for AmiBroker
Enhancements to Goals & In Sample Sensitivity Testing including the ability to
define multi level penalties or bonuses like those described in Howard Bandy's
book.
New Directives for:
- Linking control and regular optimization variables for better sensitivity
testing when using rule creation, selection and combination schemes.
- Defining Stages of runs i.e. beginning with a larger number pf
parents/particles tapering down to a smaller number in stages.
Moved some features to freeware version previously only available in higher
levels.
http://groups.yahoo.com/group/amibroker/files/IO.zip
ZZ
9/15/07
Fred Tonetti -Some
tricks with AB & FT ...
Although not totally automated, one fairly quick way to get a list of symbols
from some list developed in FT to an AB WatchList is from FT right click on the
list, click Select All, Click Copy ...
This produces a comma delimited list which can be pasted wherever one wants ...
As luck would have it WatchLists in AB can be populated quickly this way by
right clicking on a WatchList, clicking Type In Symbols, right clicking the box
that appears and then clicking Paste in the supplied Box ...
In the above I put
the ~496 symbols in the FT IndexFam into an AB Watchlist so I could quickly
investigate which symbols that typically have real time data could be used to
trade some other symbol same day.
In this case I chose ODMAX as the symbol to be traded and a valid usable version
of ZigZag as the system. ZigZag is as valid as any other system as long as
entries and exits are restricted to not occur until the target index has moved
the required amount to trigger a change in direction.
Below is fairly simple AFL to investigate which of symbols of the WatchList work
well with the tradable in an intermediate system. This is another way to use
AB's built in optimization to test more than just parameter values for some
system ... in this case as a method to select the target index to use with
ZigZag.
As you can see the AFL has two optimizable parameters ... one for the percent
used by ZigZag and one for selection of symbol. I also added the title and plot
statements to show the selected index and ZigZag percent as well as to draw the
usable portion of ZigZag ...
The chart below shows one of the better symbols for use in this process as well
as the usable ZigZag and the trades that would have been taken over the past ~6
years.
AFL Doc 9/18/07 Fred Tonetti -The anchored 6 month WF beginning with just the first year of data for the initial IS looks surprisingly good especially since most of the chart is OOS ... Then again except for one or two sizable DD's, buy and hold almost fills the bill for this tradable on an intermediate term basis for the last half dozen years ...