RE: [amibroker] Equity curve .V. buy and hold

["Ken Close" <closeks@xxxx>]

Herman: modification to my previous msg. The TN==11 applied to only one
stock. It changes with each stock (sort of obvious now, perhaps). Now I
really need a way to adjust the starting point in time so I can compare my
system for different stocks, all of which were backtested from 3/1/01
onward.

Can you help?

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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