Optimising Systems

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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cryder
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Joined: Tue Jul 22, 2008 5:02 am
Location: Melbourne, Australia

Optimising Systems

Post by cryder » Tue May 26, 2009 8:56 pm

I have a basic trend following system that relies on Moving Averages for Entry and Exit. Had gone through the 'standard' optimisation of parameters (days in MA etc) - got acceptable performance and was wondering "what if". Blox Builder makes you wonder "what if" a lot I find.
Remembered analysing some of Roger Rines code where Roger had created an indicator called price series. This indicator is of the Type BAR Value and can be assigned various values including 'open, close, high etc. Created the Bar Value indicator and replaced the standard "instrument.close" with "instrument.price_series" eg. long_term_ma = EMA(long_term_ma[1], long_term_filter_period, instrument.price_series). Repeated the simulations, each time changing the Value of the indicator (eg Close, High etc) and was able to achieve an additional 3% on the 5 year CAGR value without changing any other parameters.
One other thing I tried was using the Rounding function on the MA and setting the Rounding to 0 eg long_term_ma = Round(EMA(long_term_ma[1], long_term_filter_period, instrument.price_series), 0) - using this approach added another 1% on the 5 year CAGR value.
Hope the above helps somebody.

Rgds

Craig

borderline
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Location: Austin

Post by borderline » Tue May 26, 2009 10:09 pm

Craig, thank you (and Roger) for sharing. I'm sure I'll have some questions once I've given it some thought.

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