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FullStochastic with Filters - Buy&Sell for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
amibroker, optimize, trading ystem, walk forward
Full Stochastic with Filters . . . The Walk-Forward, train 2 months then apply next 2 months, over the 2011 – 2012 period performed acceptably using the IBD Top Fifty from 2/1/2013 and holding a max of 3 positions. The summary report for this out-of-sample approach showed an annualized return of over 30% with 43/75 trades profitable and a max portfolio draw-down of 9%.
The Full Stochastic approach, thanks to StockCharts library, is an attempt to “buy low and sell higher”. In this time-frame I often experience difficult performance in the August – October 2011 period with our fiscal cliff uncertainties.
It is recognized that running against a watch-list developed the end of January 2013 has a certain forward looking aspect that would be unallowable in a pure test performance. Somewhere down the road we may be able to refresh the watch-list at specified time intervals in a more honest mechanical approach.
A work in progress . . . by grace, RBuck
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Indicator / Formula
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// Full Stochastic 3 Position 30 - 50 Top fifty 02/01/2013 2 months training
// Optimize over CAR
// Added Time Series Forecast 3 days out
// Setup for Last Three Months on 02/04/2013
SetCustomBacktestProc(""); // Set up some added metrics
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats( 0 ); // get stats for all trades
myMetric = st.GetValue( "CAR" ) + 3 * st.GetValue( "MaxSystemDrawdownPercent" );
expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue("WinnersPercent")/100 +
st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100;
UPI = st.GetValue("UlcerPerformanceIndex");
UPIexp = UPI * expectancy;
// Here we add custom metric to backtest report
bo.AddCustomMetric( "My metric", myMetric );
bo.AddCustomMetric( "Ulcer Performance", UPI );
bo.AddCustomMetric( "Expectancy ($)", expectancy );
bo.AddCustomMetric( "UPIexpect", UPIexp );
}
OptimizerSetEngine("cmae");
// OptimizerSetOption("MaxEval",7000);
OptimizerSetOption("Runs",3);
Positions = 3; // Optimize("Positions",1,1,5,1);
PosQty = Positions;
PositionSize = -100 / PosQty;
// Full Stochastic
pds = Optimize("pds",52,2,80,1);
slw = Optimize("slw",31,1,38,1);
slwD = Optimize("slwD",16,1,21,1);
OB = Optimize("OB",76,5,88,1);
OSsub = Optimize("OSSUB",7,5,70,1);
OS = OB - OSsub;
MaxFLSK = Optimize("MaxFLSK",21,2,44,1);
FSK = 100*(C-LLV(L,pds))/(HHV(H,pds) - LLV(L,pds)); // FastStockK
FLSK = EMA( FSK, slw); // FullStochK
FLSD = EMA( FLSK, Slwd); // FullStochD
WhenGoUp = FLSD < OS AND Cross(FSK,OS) AND FLSK >= Ref(FLSK,-1) AND FLSD >= Ref(FLSD,-1) OR
Cross(FLSD,OS) AND FSK >= Ref(FSK,-1) AND FLSK >= Ref(FLSK,-1) AND FLSK < MaxFLSK;
WhenGoDown = IIf(BarsSince(Cross(OS,FSK)) == 1 AND FLSK < OS,1,0) OR
Cross(OS,FSK) AND FLSK < Ref(FLSK,-1) OR
FLSK < OB AND FLSK > OS AND FLSK <= Ref(FLSK,-1) OR
FSK > OB AND FLSK > OB AND FLSD > OB AND FSK < Ref(FSK,-1) AND FLSK < Ref(FLSK,-1) AND FLSD <= Ref(FLSD,-1) OR
FSK > OB AND FLSK > OB AND FLSD > OB AND Cross(OB,FLSK);
ExRem(WhenGoUP,WhenGoDOwn);
ExRem(WhenGoDown,WhenGoUp);
Turn = BarsSince(WhenGoUp);
TTurn = Turn + 1 - 1;
Tgo = TTurn;
Five = Optimize("Five",2,2,5,1);
UpFive = (NOT WhenGoDown) AND (TTurn > 0) AND (Tgo > Five);
// Set up Stochastic 0 to 1 with Times Series Forecast;
NormStoch = 0;
NormStoch = (Close - LLV(Low,pds))/ (HHV(High,pds) - LLV(Low,pds)); // changed
NormStoch = IIf(NormStoch < 0.001,0.001,NormStoch);
ForeNmSth3 = TSF(NormStoch,3);
Enough = Optimize("Enough",1.042,1.004,1.200,0.001);
MaxForecast = Optimize("MaxForecast",0.33,0.05,0.35,0.01);
ForeNmSth3 = IIf(ForeNmSth3 > MaxForecast,MaxForecast,ForeNmSth3);
PlusForecast = ForeNmSth3 > NormStoch * Enough;
// 62 - 20 Percent Deviation Ranking
M1 = Optimize("M1",30,5,50,1);
M2 = Optimize("M2",44,5,80,1);
M3 = Optimize("M3",27,2,50,1);
D1 = Optimize("D1",34,3,50,1);
D2 = Optimize("D2",18,2,50,1);
D3 = Optimize("D3",11,5,50,1);
Rank1 = M1 * ROC(NormStoch,D1);
Rank2 = M2 * ROC(NormStoch,D2);
Rank3 = M3 * StDev(Close,D3)*100/EMA(Close,D3); // There is a question as to whither this metric should be plus or minus
PositionScore = Rank1 + Rank2 + Rank3;
MFIdays = Optimize("MFIdays",3,2,23,1);
MFIconfirm = MFI(MFIdays) > 0;
BuyDay = Optimize("BuyDay",9,3,31,1);
Thirty = Optimize("Thirty",41,20,60,1);
Buy = Close > Open AND PlusForecast AND UpFive AND MFIconfirm AND FLSK < Thirty AND Day() > BuyDay; // AND TurningUp;
Held = BarsSince(Buy);
MinHold = Optimize("MinHold",14,2,15,1);
TestTime = Optimize("TestTime",19,MinHold,20,1);
Perform = Optimize("Perform",2,1,25,1); // Eliminate lazy performing positions
SellP = IIf(Held > MinHold AND ROC(C,TestTime) < Perform,1,0);
Fifty = Optimize("Fifty",48,40,80,1);
SellPoint = Optimize("SellPoint",6400,-1500,25000,10);
Sell = ((Held > 3 AND PositionScore < SellPoint AND Ref(PositionScore,-1) > SellPoint) AND FLSK > Fifty) OR SellP OR WhenGoDown;
ExRem(Buy, Sell);
ExRem(Sell,Buy);
Short = 0;
Cover = 0;
ProfitN = Optimize("ProfitN",199,15,390,1);
HoldOut = Optimize("HoldOut",2, 0, 33, 1);
ApplyStop( 1,3,ProfitN,2,True, HoldOut );
StopLoss = Optimize("StopLoss", 7, 2, 8, 1);
ApplyStop( 0, 1, StopLoss, 0, True, HoldOut );
TrailStop = Optimize("TrailStop", 20, 5, 25, 1);
ApplyStop( 2, 1, TrailStop, 0, True, HoldOut );
// HoldStop = Optimize("HoldStop", 293, 3, 293, 1);
// ApplyStop( 3, 1, HoldStop, 0, True, HoldOut );
//OldEquity = Foreign("~~~EQUITY","C");
Filter = (PlusForecast > 0 AND Buy) OR (PlusForecast < 0 AND Sell);
AddColumn(Close,"Close",1.2);
AddColumn(Buy,"Buy",1.0);
AddColumn(Sell,"Sell",1.0);
AddColumn(Open,"Open",1.2);
AddColumn(High,"High",1.2);
AddColumn(Low,"Low",1.2);
AddColumn(Close,"Close",1.2);
AddColumn(FLSK,"FLSK",1.2);
AddColumn(WhenGoUp,"WhenGoUp",1.0);
AddColumn(Turn,"Turn",1.0);
AddColumn(TTurn,"TTurn",1.0);
AddColumn(MFIconfirm,"MFIcmf",1.0);
AddColumn(WhenGoDown,"GoDown",1.0);
AddColumn(NormStoch,"NStch",1.3);
AddColumn(ForeNmSth3,"FStch3",1.3);
AddColumn(PlusForecast,"PlsFre",1.3);
5 comments
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Hello:
I applaud your attempt at a sophisticated trading system, which may produce some good results, as it appears to be based on sound trading principles.
However, (by my count) there are 30 variables in your code that can be optimized. This can very easily fall into the trap of being “curve fitted”. In general, the more variable that you have being optimized, the greater the opportunity for “curve fitting”.
Therefore, I recommend simplifying your approach and formulas, to the point of having less than 5 variables (at most!).
JackTheMan18
I appreciate your comment and analysis. In my enthusiasm for the plus 30% annualized return on the Walk-Forward run I should have included the plot of that run rather than the fully back-fitted 3 month run I used to validate the approach.I’ll send a plot of the Out-Of-Sample results over 2011 – 2012 and see if it man be replace the 3 month back-fitted plot.
Pour it on ! by grace . . . RBuck
no error but nothing will be drawn
dear RBuck can you explain me what is your routine of apply stop? i don’t understand if results is in % or in nBars? Thanks
Thank you,
I am using this with great benefit with candlestick scanner