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[amibroker] Re: Simple Buy and Hold System



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Hi Brian

I appreciate all your help. I'm slowly reading and trying to
understand all that you have presented. Please give me some time to
figure all this out. I went into my settings in the AA window and I am
making some changes. 

First thing I noticed was that "min. shares" was set to .01  
I changed it to 1.

I'm reading through some help files as well (in regards to the AA
window "settings" button.)

I just wanted to send you this quick note to let you know I'm working
on it.

Thank you again
Walter 

--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Walter,
> 
> Backtesting in the AA window is a simulation of real trading 
> conditions - the trade requires an intitial equity and a setting for 
> the minimum size allowed (one share or part of a share) plus other 
> settings.
> 
> In my example PDF file I show where and when I accepted the defaults 
> or changed them (the file is not exact or the be all and end all - it 
> only attempts to convey the main principles involved).
> 
> Using a small training database I selected a symbol that had an 
> opening close price of 28.01.
> 
> The I ran the following in AA - with the symbol selected as the 
> current symbol in the All Symbols list.
> The AB defaults are accepted except for PositionSize and MinShares 
> and Intitial Equity i.e. buy is on the Close.
> 
> Equity itself will be a compounded % of the ROC for 1 period on the 
> close.
> Multiplying it by the starting close price adjusts equity so that it 
> is relative to the starting close.
> 
> Note: Intitial Eq does not allow decimal places so I chose 1 dollar.
> Then I allowed shares to be purchased in 1/10000th parcels so that 
> the 1 dollar equity could be apportioned by up to 4 decimal places 
> with accuracy.
> 
> Filter = 1;
> 
> //In AA settings Initial Equity = 1
> //Min shares = 0.0001
> //Run on all quotations
> 
> PositionSize = -100;
> 
> Buy =1;
> Sell = 0;
> 
> e = Equity();
> 
> AddColumn(e,"equity",1.6,1);
> 
> Plot(e * 28.01,"Equity",1,1);//manually enter the starting close for 
> your symbol
> 
> Since the plot simulates buying 1 * the opening close price it 
> exactly equals the price chart (which is what I would get if I bought 
> 1 share at the close of the first bar).
> The number of bars doesn't matter since it is never sold in a buy and 
> hold (a little poetry there).
> 
> The same thing can be done other ways:
> 
> for example someone else provides this method ( I won't explain it 
> because it is not mine but I don't see any reason why that type of 
> approach wouldn't work).
> 
> /* now buy and hold simulation */
> Short=Cover= 0;
> Buy=Status(" firstbarintest" );
> Sell=Status( "lastbarintest" );
> SetTradeDelays( 0,0,0,0); PositionSize = -100;
> ApplyStop(0, 0,0,0);
> ApplyStop(1, 0,0,0);
> ApplyStop(2, 0,0,0);
> Plot( Equity( 0, -2 ), "Buy&Hold", -9 );
> }
> 
> 
> brian_z
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore" 
> <electricwally77@> wrote:
> >
> > Hi Brian
> > 
> > I thank you for helping.
> > 
> > Based on your advice, here is the code I entered...
> > 
> > _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %
> g,
> > Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC
> (
> > C, 1 ) ) ));
> > Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle |
> > ParamStyle("Style") | GetPriceStyle() ); 
> > _SECTION_END();
> > 
> > 
> > Buy = 1;
> > Sell = 0;
> > 
> > I clicked "apply indicator" in the formula window and completed a 
> back
> > test but received some strange results. My trade list in the AA 
> window
> > shows 5 trades total. Under the trade column, the first trade says
> > "OUT". 2nd trade says "Long", 3rd trade says "Out", 4th trade says
> > "Long" and the 5th trade says "Out".
> > 
> > I clicked "show actual trades" and it shows a red arrow on bar 1 
> and a
> > green and red arrow on bar 11,560 and a green and red arrow on bar
> > 11,561. 
> > 
> > There are 11,561 bars total (daily data from 1962 to 2007)
> > 
> > Hope you can help please
> > 
> > Thanks Brian
> > Walter
> > 
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > Walter,
> > > 
> > > There' more than one way - here's a simple one.
> > > 
> > > buy = 1;
> > > sell = 0;
> > > 
> > > There's an extended example in the files section of this message 
> > > board.
> > > 
> > > Files > CompareIndexToPortfolio
> > > 
> > > brian_z
> > > 
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore" 
> > > <electricwally77@> wrote:
> > > >
> > > > Hi Members
> > > > 
> > > > Please bear with me. I am trying to write a simply Buy and Hold 
> > > system
> > > > using only one stock (HPQ-Hewlitt Packard). I'm using End of 
> Day  
> > > data
> > > > and programming using the AFL Wizard . I've been at it for 
> about two
> > > > hours but can't generate the results of a simple buy & Hold.
> > > > 
> > > > Obviously I'm doing something wrong.  There are a total of 
> 11,561
> > > > Daily bars in the data I downloaded from Yahoo.
> > > > 
> > > > I've built several different formulas and none of them result 
> in a
> > > > simple Buy and Hold when I backtest and run a report.
> > > > 
> > > > Can someone please tell me what the code is for a simple buy 
> and 
> > > hold
> > > > please?
> > > > 
> > > > I assume there will only be an "Enter Long" but NO "Exit Long" 
> since
> > > > I'm still holding. Correct?  
> > > > 
> > > > Thank you very much
> > > > Walter
> > > >
> > >
> >
>




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