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Until pyramiding and/or the ability to do secondary buys or partial
sells is included in AB this is painful but STILL DOABLE.
AFL must be written in such a way to determine whether or not
positions already exist and if so to then sell the position and buy
a new position. Care must be take that when no position currently
exists that a sell is NOT issued as this would kill the buy.
--- In amibroker@xxxxxxxxxxxxxxx, "hairy_mug" <WSCHWARZ@xxxx> wrote:
>
> Barry,
>
> I just glanced at this but if you have a buy followed by another
buy
> the second buy is ignored because you already are in the position;
> same goes for a sell...
> Take a look at the "exrem" function which will take out the extar
> signals...
>
> Walt
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough"
> <razzbarry@xxxx> wrote:
> >
> > I have a program, for loop, that can have two outstanding
trades. I
> > will take one trade when the market moves up or down 4% and
another
> > trade when the market moves in the same direction another 5%.
Then
> I
> > close both traces when the market rolls over 4% and at the same
> time
> > take one position in this new trend.
> >
> > My problem is that when I run back test the trades at the 5%
point
> > are not recorded, or the trades sheet does not show them. How
can I
> > set the back test settings to show all trades? Currently the
> > settings are set as follows:
> >
> > Initial Equity: 5000 Periodicity/Positions: Weekly/Long Short
> > Commissions: 7.00 per trade Annual interest rate: 0.00%
> > Range: 1/1/1994 00:00:00 - 10/31/1998 Apply to: Current Symbol
> > Margin requirement: 99.999 Futures mode: No
> > Def. round lot size: 1 Def. Tick Size 0
> > Drawdowns based on: Open prices
> > Long trades
> > Buy price: Close Sell price: Close
> > Buy delay: 0 Sell delay: 0
> > Short trades
> > Short price: Close Cover price: Close
> > Short delay: 0 Cover delay: 0
> > Stops
> > Maximum loss: disabled Profit target: disabled
> > Value: 2.00 Value: 10.00
> > Exit at stop? yes Exit at stop? yes
> >
> > Trailing stop: disabled
> > Value: 10.00
> > Exit at stop? yes
> >
> > This is the trade list:
> > Trade list Ticker Trade Entry Exit % change Profit Shares Pos.
> value
> > Cum. profit # bars Profit/bar MAE/MFE
> > ^RUT Short (121) 3/31/1994
> > 251.06 8/19/1994
> > 249.69 -0.55% 12.03
> > 0.25% 19 4770.14 12.03 21 0.57 -6.14%
> > 5.11%
> >
> > ^RUT Long (121) 8/19/1994
> > 249.69 11/11/1994
> > 249.38 -0.12% -20.20
> > -0.40% 20 4993.80 -8.17 13 -1.55 -1.08%
> > 4.25%
> >
> > ^RUT Short (116) 11/11/1994
> > 249.38 12/23/1994
> > 244.73 -1.86% 74.35
> > 1.57% 19 4738.22 66.18 7 10.62 -1.65%
> > 6.21%
> >
> > ^RUT Long (45) 12/23/1994
> > 244.73 10/6/1995
> > 301.82 23.33% 1127.80
> > 23.04% 20 4894.60 1193.98 42 26.85 -1.96%
> > 29.52%
> >
> > ^RUT Short (53) 10/6/1995
> > 301.82 12/1/1995
> > 309.74 2.62% -172.40
> > -2.86% 20 6036.40 1021.58 9 -19.16 -2.84%
> > 3.50%
> >
> > But the program has trades as follows: ( this is actually the
excel
> > output of a C++ program I am trying to dupliate in AB. But the
AB
> > program also shows the folowing trades on the explore sheet.)
> > Date Position Ticker Gain
> > 19940331 Sell 250.98 0.549845
> > 19940819 Buy 249.6 -0.180288
> > 19941111 Sell 249.15 0
> > 19941209 Sell 235.09 -2.18598
> > 19941223 Buy 244.56 0
> > 19950303 Buy 256.83 41.33
> > 19951006 Sell 302.32 -2.54035
> >
> > As you can see there are 2 sells in a row followed by 2 buys in
a
> > row. But the Trades sheet does not show the second trade of the
> same
> > type, i.e. it does not show the trade for 12/9/94 or 3/3/95.
What
> do
> > I need to do to have these trades added to the output?
> >
> > I was not sure about the margin setting. The progran takes 100%
of
> > the portfolio on the first trade and then 100% margin on the
second
> > trade. So I set the margin to 99.999%.
> >
> > Since I am trading right after the close I used 0 delay.
> >
> > What am I doing wrong? Why won't the back test show all trades?
> >
> > Thanks,
> > Barry
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