|
PureBytes Links
Trading Reference Links
|
> I'm back testing someone's basic SMA system. I jsut want to see
> returns of his system over a longer period of time.
O.K
But that's not buy & hold - that is a system test.
Do you want the B&H as well as a comparison?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
<electricwally77@xxx> wrote:
>
>
>
> Hi Brian
>
> >>Q1. Where do you want to use the answer?
>
> I'm back testing someone's basic SMA system. I jsut want to see
> returns of his system over a longer period of time.
>
> >> Q2. How much money have you got to spend i.e. what is your
initial
> equity?
>
> Start with $100,000.
>
> >> Q3. The first bar has a lot of points on it - everything equal to
> and between the high and the low. Which data point do you mean -
Open,
> Close, High, Low or something else?
>
> I understand the data points but not sure of your question. I simply
> would like to buy at the open on the first bar or even on the close
or
> anywhere on the first bar. Its really not that important(I think).
> Not sure about the exit. This is where it gets fuzzy. I assume the
> exit would be to sell on the most recent bar (last bar in the data)
to
> close out the position.
>
> Thus I guess its not called buy and hold because if we sell it we
> close the position. However we did actually Buy and Hold it from
1962
> to 2007. Whatever....I'm confused.
>
> I'm just trying to test a system I was presented with that has 3
SMA's
> for example, let's just call them the following (40 day SMA, 80 day
> SMA and 200 day SMA). The system only buys (enters long)on the next
> morning when the stock closes the previous day above all three SMA's
> and sells the next morning (exits long) when the stock closes the
> previous day below all three SMA's. If we are long the stock and it
is
> trading within the three moving averages then it is simply a HOLD
(no
> action).
>
> I'm testing it on all the data available on HPQ (Hewlitt Packard)
> downloaded from yahoo.
>
> >>> If you can answer them I'll see if I can give you a quick answer
> to get you going while you take your time to take in the full AA
picture.
>
> Okay Brian. Sounds good.
>
> Thanks for all your time.
> Walter
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
> > <electricwally77@> wrote:
> > >
> > > Hi Brian
> > >
> > > I appreciate all the help. I guess -at this point- my specific
> > > question would be how and what are the correct settings in the
AA
> > > "settings" window under the tabs called;
> > > General,Trades,Stops,Report,Portfolio
> > >
> > > The help file tells me to set the min. shares to 1 yet I
believe you
> > > said to set it to 0.0001. I'm confused. Sorry 'bout that.
> > >
> > > I really need to sit down and dig into the help files and
figure how
> > > and why to set the parameters in the "settings" window.
> > >
> > > All I'm trying to accomplish (please bear with me) is to create
a
> > simple
> > > "buy on first bar" and "sell on last bar".
> >
> > Q1. Where do you want to use the answer?
> >
> > Do you just want to plot it or what (to start with)?
> >
> >
> > Q2. How much money have you got to spend i.e. what is your
initial
> > equity?
> >
> > Q3. The first bar has a lot of points on it - everything equal to
and
> > between the high and the low. Which data point do you mean -
Open,
> > Close, High, Low or something else?
> >
> > AA needs to know the answer to questions like this before it can
> > proceed.
> >
> > If you can answer them I'll see if I can give you a quick answer
to
> > get you going while you take your time to take in the full AA
picture.
> >
> >
> > brian_z
> >
> >
> >
> >
> >
> >
> > I did not know it would be
> > > this intricate to accomplish. Intricate as defined by a newbie
such
> > as
> > > myself.
> > >
> > > I'm using only one stock (HPQ) using daily data from 1962 to
> > present.
> > > The total daily bars are 11,561.
> > >
> > > Let me keep digging. I'll nail it down eventually. I know back
> > testing
> > > involves a rather high learning curve but the payoff is well
worth
> > it
> > > once I understand and begin to maneuver around and actually see
> > > systems work.
> > >
> > > Thanks Brian
> > > Walter
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
wrote:
> > > >
> > > > 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@> 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/
|