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Strategies will often result in redundent signals (e.g. receive
another buy signal when already holding a position). Also, depending
on your settings for position size, number of positions allowed, etc.
you may not be able to take all signals.
Refer to the user guide for more detail:
http://www.amibroker.com/guide/h_backtest.html
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Alan Nouray" <alann@xxx> wrote:
>
> Thank you Mike. When I backtest, only one trade shows but on the
chart
> there are many "Buy" & "Sell" signals. Do I do backtest the system
by
> simply using the backtest button?
>
> Alan
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> >
> > Grrr. Sorry, forgot that Yahoo's rich text editor doesn't work
from
> > Google's Chrome browser.
> >
> > What I intended to say was that the formula looks fine. It is
helpful to
> > add Plot statements to see what is going on. For example; I have
> > modified your formula a bit for clarity, added Plot statements for
> > visual confirmation, and ran it against X=^DJI, A=JNJ, B=IP using
the
> > default AmiBroker database. These symbols were just selected at
random.
> >
> > The two EMA's are charted as lines, the close > Ref(close, -50) is
> > charted as a ribbon at the bottom.
> >
> > Mike
> >
> >
> >
> > Buy = Sell = Short = Cover = 0;
> >
> > x = Foreign( "^DJI","C" );
> > Fast = EMA( x, 10 );
> > Slow = EMA( x, 20 );
> > AbovePrevious = x > Ref( x, -50 );
> >
> > YourSystemEntrySignal = Cross( Fast, Slow ) AND AbovePrevious;
> > YourSystemExitSignal = Cross( Slow, Fast ) AND NOT AbovePrevious;
> >
> > if( Name() == "JNJ" )
> > {
> > Buy = YourSystemEntrySignal;
> > Sell = YourSystemExitSignal;
> >
> > SetPositionSize( 500, spsShares );
> > }
> >
> > if( Name() == "IP" )
> > {
> > Short = YourSystemEntrySignal;
> > Cover = YourSystemExitSignal;
> >
> > SetPositionSize( 500, spsShares );
> > }
> >
> > Plot(Fast, "Fast", colorDarkRed);
> > Plot(Slow, "Slow", colorDarkGreen);
> > Plot(x, "X", colorLightGrey);
> > Plot(1, "AbovePrevious", IIF(AbovePrevious, colorBrightGreen,
colorRed),
> > styleOwnScale | styleNoLabel | styleNoTitle | styleArea);
> > PlotShapes(Buy * shapeUpArrow, colorDarkGreen);
> > PlotShapes(Sell * shapeDownArrow, colorDarkRed);
> > PlotShapes(Short * shapeHollowDownArrow, colorDarkRed);
> > PlotShapes(Cover * shapeHollowUpArrow, colorDarkGreen);
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Alan Nouray" alann@ wrote:
> > > >
> > > > Thank you Mike. This is what I wrote but when I do backtest,
nothing
> > > > shows up. Is this correct?
> > > >
> > > > x=Foreign("X","C");
> > > > YourSystemEntrySignal = Cross( EMA(x, 10), EMA(x, 20 ) ) AND
x >
> > > > Ref(x,-50);
> > > > YourSystemExitSignal= Cross(EMA(x, 20), EMA(x, 10)) AND x <
Ref(x,
> > > -50);
> > > >
> > > > if( Name() == "A" )
> > > > {
> > > > Buy = YourSystemEntrySignal;
> > > > Sell = YourSystemExitSignal;
> > > >
> > > > SetPositionSize( 500, spsShares );
> > > > }
> > > >
> > > > if( Name() == "B" )
> > > > {
> > > > Short = YourSystemEntrySignal;
> > > > Cover = YourSystemExitSignal;
> > > >
> > > > SetPositionSize( 500, spsShares );
> > > > }
> > > >
> > > > Alan
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > > > >
> > > > > You were not specific enough in your description for anyone
to
> > write
> > > > > the formula. Do you mean that the Cross happens in the EMA
of "X",
> > > or
> > > > > of "A", or of "B"?
> > > > >
> > > > > In any event, the functions that you will need are as
follows:
> > > > >
> > > > > 1a. Foreign http://www.amibroker.com/guide/afl/afl_view.php?
> > > > > name=foreign
> > > > > or
> > > > > 1b. SetForeign
http://www.amibroker.com/guide/afl/afl_view.php?
> > > > > name=setFOREIGN
> > > > > 2. EMA http://www.amibroker.com/guide/afl/afl_view.php?id=44
> > > > > 3. Cross
> > http://www.amibroker.com/guide/afl/afl_view.php?name=cross
> > > > > 4. Ref http://www.amibroker.com/guide/afl/afl_view.php?
name=ref
> > > > > 4. How to trade pairs/spreads
> > > > >
http://finance.groups.yahoo.com/group/amibroker/message/134492
> > > > >
> > > > > Mike
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Alan Nouray" <alann@>
wrote:
> > > > > >
> > > > > > Can anybody help me how to write and test the following
formula:
> > > > > >
> > > > > > when 10 day ema crosses the 20 day ema and the close
of "X" fund
> > > is
> > > > > > higher than the close 50 days ago, then buy fund "A" and
sell
> > > > > fund "B"
> > > > > >
> > > > > > when 20 day ema crosses the 10 day ema and the close
of "C" fund
> > > is
> > > > > > lower than the close 50 days ago, then sell fund "A" and
buy
> > fund
> > > "B"
> > > > > >
> > > > > > Thank you.
> > > > > > Alan
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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