|
PureBytes Links
Trading Reference Links
|
If you get stuck come back with a specific question.
You should be able to replicate the outcomes of the code below
(understanding it's principles is the basis of B&H).
If you can't let me know.
The only real difference between it and my PDF is that you only want
to B&H one stock whereas in the PDF I used three (from memory).
I'm not necessarily around every day but I will check back on this
topic at some stage.
> 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
--- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
<electricwally77@xxx> wrote:
>
> 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@> 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
> > > > >
> > > >
> > >
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|