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Hi Brian
> Do you want the B&H as well as a comparison?
Yes. Actually its the other way around. I would like to do the system
test I mentioned in post 117721 and use the B&H as a comparison. I
thought about my previous reply to you and forgot to mention that the
Buy & Hold was needed as well to do a comparison against the system test.
I apologize for the confusion.
Thanks Brian
Walter
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> > 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@> 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
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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