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Let me start by saying I realize I am spoiled by the large toolbox of
functions in TradeStation. However some of them are really quite
useful. I will try to explain why along with my questions.
While I am focusing on TS functions there may be a way to do these
things in AB and I may not understand how to apply the AB code.
Please help me out if that is the case.
1. MarketPosition: -1 short, zero out, +1 long This test is used to
determine how your exit or stop will be applied. ie: if long and
exit condition = true, then sell at market/stop...but, if you were
short you want to buy instead.
2. EntryPrice: when the trading system buys or shorts you want to
set stops based on this price. I have seen some of the workarounds
the MetaStocks guys have to use...ugly
3. EntryDate: when the trading system buys or shorts you may want to
be able to exit based on the number of days in the trade. Also the
entry date is important for exit tests...see below
4. BarsSinceEntry: There is a BarsSince Fn in AB that might work for
this if I also know the entry date, but this Fn is a cleaner
solution. example: if I want to exit X% or Y ATRs down from a recent
high it works much better to apply this test only if I have a
position in the stock. If the stock is in a slow decline the
lookback period may need to be a few months long.
Without the BarsSinceEntry function, if I set the lookback period for
50-100 bars it is possible to have the desired exit, then a
legitimate new entry followed by a false exit caused by the condition
that initiated the first exit, maybe 70 days ago, that should have no
valid impact on this new trade.
Testing for a period of BarsSinceEntry completely solves that problem.
I am sure I'll have some more of these soon as I continue to explore
AB. BTW, the reason I am working in AB is the portfolio backtesting
capability which TS does not have. :)
Cheers
Trader
PS: different topic: Can the default field width for entry/exit dates
in the backtester results panel be made wider to display mm/dd/yyyy
properly?
PPS: Peter Carr, thanks for the repost of your correlation Fn.
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