Re: [amibroker] Future Data in Backtesting

[reinsley <reinsley@xxxxxxxx>]

Hi,

Beware, Zig looks into the future.


try this one :

Best regards

//Zig Zag Indicator with Valid Entry and Exit Points
//Author/Uploader: Eric Tangen

//z_ZigZagValid
// ******** CHARTING
PercentChange = 6;
mystartbar = SelectedValue(BarIndex()); // FOR GRAPHING

mystartbardate = LastValue(ValueWhen(mystartbar == BarIndex(), 
DateNum(),1));

InitialValue = LastValue(ValueWhen(mystartbardate == DateNum(), C , 1 ) ) ;
Temp1 = IIf(BarIndex() >= mystartbar, InitialValue, Null) ;

Plot(Temp1, " ", colorBlack,styleLine);
Plot((1+(LastValue(PercentChange)/100))*(Temp1), " ", colorGreen, 
styleLine) ;
Plot((1-(LastValue(PercentChange)/100))*(Temp1), " ", colorRed, styleLine) ;

ZZ = Zig(C,LastValue(PercentChange)) ;
PivotLow = Ref(IIf(Ref(ROC(ZZ,1),-1) < 0 AND ROC(ZZ,1) > 0, 1, Null),1);
PivotHigh = Ref(IIf(Ref(ROC(ZZ,1),-1) > 0 AND ROC(ZZ,1) < 0, 1, Null),1);

PlotShapes( shapeCircle*PivotLow, colorGreen,0, L, -20) ;
PlotShapes( shapeCircle*PivotHigh,colorRed,0,H, 20) ;

Buy_Valid = 
IIf(C>(1+(LastValue(PercentChange)/100))*(ValueWhen(PivotLow, C, 1))
AND ROC(ZZ,1) > 0,1,0);
Sell_Valid = 
IIf(C<(1-(LastValue(PercentChange)/100))*(ValueWhen(PivotHigh, C, 1))
AND ROC(ZZ,1) < 0,1,0);

Buy_Valid = ExRem(Buy_Valid,Sell_Valid);
Sell_Valid = ExRem(Sell_Valid,Buy_Valid);

PlotShapes( shapeUpArrow*Buy_Valid, colorGreen,0, L, -20);
PlotShapes( shapeDownArrow*Sell_Valid, colorRed,0,H, -20) ;

BarColors =
IIf(BarsSince(Buy_Valid) < BarsSince(Sell_Valid)
AND BarsSince(Buy_Valid)!=0, colorGreen,
IIf(BarsSince(Sell_Valid) < BarsSince(Buy_Valid)
AND BarsSince(Sell_Valid)!=0, colorRed, colorBlue));

Plot(C, " ", BarColors, styleBar ) ;
Plot(ZZ," ", colorLightGrey,styleLine|styleThick);
Plot(ZZ," ", BarColors,styleDots|styleNoLine);

Title = Name() + " " + Date() + WriteIf(PivotLow, " Up Pivot 
","")+WriteIf(PivotHigh," Down Pivot ","")+ WriteIf(Buy_Valid, " Buy 
Point ", "") + WriteIf(Sell_Valid, " Sell Point ", "") ;


steveh_131 a écrit :
>  
> 
> Hello,
> 
> I'm fairly new to this group and to AmiBroker, so I apologize if this 
> question doesn't make much sense to you guys.
> 
> I've designed a system with a custom zig-zag line. The tops and bottoms 
> of this zig-zag are are set up so that they can change with time based 
> on various factors. The charts work fine and the buy/sell signals also 
> work fine.
> 
> Where I seem to encounter problems is with the back-testing. In order 
> for this system to work properly, it needs to be walked through one day 
> at a time, discounting all future data (because the future data will 
> alter the zig-zag and not show the signals from the perspective of each 
> day). For example, the system may show a sell signal today because the 
> zig-zag has peaked. But then when more data is added, the peak moves to 
> the next day and that sell signal disappears, but should be taken into 
> account by AmiBroker because I would have sold on that day.
> 
> I don't know how to explain this well, so let me know if this makes 
> sense and if you know a way to get AmiBroker to do this for me.
> 
> I appreciate any help or input you can offer.
> 
> Steve
> 
> 



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