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I was asked privately about this code.
This is not working code, as such, although it will approximately
reverse engineer an equity line, without reference to the buy/sell
signals.
It was intended as a starter piece for discussion on inline BTM's
For a better example of IBM code refer to:
http://finance.groups.yahoo.com/group/amibroker/message/124246
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Herman,
>
> IBM PartI
>
> I am not sure if this is along the lines that you are investigating.
> It might be a starting point.
> Sophisticated functions can be built from the concept.
>
> Example of using single symbol equity function to back calculate
the
> trade series.
>
> I used buy Tues(C) and sell Thurs(C) with one month of data to test
> the code as I went along (this gave me unambiguous signals with
only
> one signal at a time - I believe you can use an eq flag to dump
dual
> signals for real life use).
>
> Note: some weeks don't have Mons or Fris so I wanted to avoid no
> signals, caused by short weeks, during testing
>
> I used barindex() > 4 to cut out the first week in the month so
that
> I started with no signals for a few bars before the first buy.
>
> I left the plot code in there but commented out (I plotted each
line
> to test the veracity of the code).
>
> Note that when the trade series is used to recreate the eq curve
(as
> a cross check) it only matches on the exit bars for each trade.
> I tried it on 10 years of Yahoo data and the final eqs matched to 2
> decimal places (rounded off).
>
> //P_InLineEquity
> //code to reverse engineer the trade series from the equity curve
> //it is reversed at the end to check the accuracy of the method
>
> InitialEq = 10000;//input required
>
> SetOption("InitialEquity", InitialEq );
>
> Buy = BarIndex() > 4 AND DayOfWeek() == 2;//use your own
> Sell = BarIndex() > 4 AND DayOfWeek() == 4;//use your own
>
> BuyPrice = C;//use your own
> SellPrice = C;//use your own
>
> Plot(Equity(),"Equity",5,1);
>
> Entry = IIf(Equity() == Ref(Equity(),-1) AND Equity() != Ref(Equity
> (),1),1,0);
>
> //Plot(Entry,"Entry",1,1);
>
> Exit = IIf(Equity() != Ref(Equity(),-1) AND Equity() == Ref(Equity
> (),1),1,0);
>
> //Plot(Exit,"Exit",2,1);
>
> TradeSeries = IIf(Exit ==1,ValueWhen(Exit == 1,
SellPrice,1)/ValueWhen
> (Entry == 1, BuyPrice,1),1);
>
> //Plot(TradeSeries,"TradeSeries",1,1);
>
> GF = 1;//GrowthFactor
>
> for (i = 1; i < BarCount; i++)
> {
> GF[i] = GF[i-1] * TradeSeries[i];
> }
>
> //codesters might be able to make the above loop better/prettier?
> //Plot(GF,"GrowthFactor",5,1);
>
>
> Plot(InitialEq * GF,"CalculatedEquity",1,1);
>
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