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[amibroker] Re: Back test questions


  • Date: Tue, 22 Dec 2009 02:07:47 -0000
  • From: "Mike" <sfclimbers@xxxxxxxxx>
  • Subject: [amibroker] Re: Back test questions

PureBytes Links

Trading Reference Links

I believe that either of the two following examples would give you what you want.

SetTradeDelays(0, 1, 0, 0); // Delay Sell 'till bar after signal
PositionSize = -10; // invest 10% of portfolio equity in single trade

RSISignal = RSI(4) < 30;

Buy = RSISignal;
BuyPrice = Close;

Sell = Buy;
SellPrice = Close;

/* Option 2
SetTradeDelays(0, 0, 0, 0);
PositionSize = -10; // invest 10% of portfolio equity in single trade

RSISignal = RSI(4) < 30;

Buy = RSISignal;
BuyPrice = Close;

FirstBuy = ExRemSpan(Buy, 1); // Clear redundant buys
Sell = Ref(FirstBuy, -1); // Sell if bought previous bar
SellPrice = Close;
*/

As for the apparent use of stops in your results, do you have any AFL code that is overriding the settings (e.g. ApplyStops)?

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "peter843" <yahoogroups@xxx> wrote:
>
> Hi Howard,
> 
> Here is some sample code that has the issues I discussed.
> 
> -------
> RSISignal = RSI(4) < 30 ;
> 
> PositionSize = -10; // invest 10% of portfolio equity in single trade
> 
> Buy = RSISignal ;
> Sell = Close ;
> -------
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@> wrote:
> >
> > Hi Peter --
> > 
> > To be sure we are all looking at the same situation, post the code you have
> > a question about.
> > 
> > A common reason trades last longer than might be expected is that the Buy
> > condition reoccurs during the trade.
> > 
> > Thanks,
> > Howard
> > 
> > 
> > On Sat, Dec 19, 2009 at 1:31 PM, peter843 <yahoogroups@> wrote:
> > 
> > >
> > >
> > > 1. My intention is to buy on the close when I get a signal and exit on the
> > > close of the next day. I'm using EOD data. In AA Trades settings I have
> > > prices set to close and delays set to 0. In my code I have "Sell = Close ;"
> > >
> > > When looking at the trade list the majority of trades last 2 bars as
> > > expected. But some last much longer. How do I get them all to last 2 days?
> > >
> > > 2. When looking at the Trade column of the trades list I see descriptions I
> > > don't understand like "Long (trail)", "Long (profit"), "Long (n-bar)",
> > > "Long(max loss)", "Long(nn)". In the Stops tab of settings everything is
> > > disabled so I don't understand where all these are coming from.
> > >
> > >  
> > >
> >
>




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