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Herman: you are so good with AFL, what a magician.
I applied the code below and it is very good. My backtest period for a
system begins on 3/1/01. By trial and error, I determined that I replaced
TN==1 with TN==11, all of the normalized curves start somewhere close to
3/1/01.
Please tell me what the TN variable is doing in this script. It looks like
it is counting trades but why does the start point nearly match my backtest
start date on the "11th trade". Is there another way to start the
comparison on a specified date?
Thanks for any coaching.
Ken
-----Original Message-----
From: Herman van den Bergen [mailto:psytek@x...]
Sent: Friday, April 26, 2002 5:39 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Equity curve .V. buy and hold
Hi Don,
This is indeed a very nice idea, it is great to place this indicator and
then step through your stocks in the stock tree - you can see at a glance
how many times you system exceed the B&H. Here is some code that you can
use:
TN = Cum( Buy OR Sell); // Trade Number
nOpen = Open/ValueWhen(TN == 1,Open); // Normalized Open price
Eq = Equity();
nEquity = Eq/ValueWhen(TN == 1,Eq); // Normalized Equity
Plot(nOpen,"nOpen",1,1);
Plot(nEquity,"nEquity",4,1);
Plot(nEquity/nOpen,"Ratio",6,1);
Title = "Normalized Charts: nEquity= RED,
nOpen = BLK, Ratio = BLU =" + WriteVal(nEquity/nOpen);
GraphXSpace = 5;
For some reason using the AB Equity function I only could display the last
two years, something wrong with my settings perhaps but it works fine with
another Equity() DLL I am using. See attached chart, use log scales else
your open price will look like a straight line when your equity is going up.
Thanks for the idea and good luck.
Herman.
> -----Original Message-----
> From: Don EDWARDS [mailto:doed@x...]
> Sent: Friday, April 26, 2002 1:06 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Equity curve .V. buy and hold
>
>
> Hi,
> Im just getting into equity curves - what a great concept!.
> Many thanks all who have contributed. Unfortunately my coding skills
> are not good enough for me to contribute - I wish!
>
> When looking at a curve I not only ask how good (bad!) is my system but
> how does it compare with say buy and hold, or investing in bonds at a
> fixed %. After all its not much point buying and selling like crazy if
> it doesn't beat the average.
>
> Does anyone think it would be useful to superimpose such a line over
> the equity curve?
>
> I suppose this could be done by starting with initial equity and
> growing it in line with the all ordinaries index to show relative
> performance. Another way would be to use initial equity and compound at
> a chosen % again comparing with the equity curve.
>
> Needless to say I don't know how to do this. If ive got the wrong idea
> about the curves I would also appreciate guidance.
>
>
>
>
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