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See below,
> -----Original Message-----
> From: nenapacwanfr [mailto:nenapacwanfr@x...]
> Sent: Tuesday, April 30, 2002 7:22 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: SAR() on Equity()
>
>
> Hermann,
>
> theorical you have
> buy=..;
> sell=...;
> short=...;
> cover=...;
>
> built the equity , apply the "trend indicator" of your equity.
>
> AND, in real life, that means that you'll take only Long position if
> the equity is bull & Short position if your equity is bear
Not quite, at the time of SAR>Open crossing you "reverse" your current
position, whatever it is. As long as your SAR is above your Open every Buy
signal becomes a Sell signal and every Sell signal becomes a Buy signal.
When the SAR drops below the Open you use you regular signals, and so on.
> How is the new equity in this case??
I do not have the program completed. On paper it is easy to simulate but I
find it difficult to program. TASC had an article (V. 10:10(444-446: Trading
the Equity Curve, by Joe Luisi) on this but at the time nobody went short.
They just went cash. Going short instead of cash improves the return
dramatically.
Take care,
Herman.
> stephane
>
>
> > If you want to try your hand at Equity Feedback, ie. reverse you
> system's
> > signals when your feedback system tells you to do so; you can try
> putting an
> > SAR on your Equity. However the SAR requires OHLC prices, so you'll
> have to
> > make some changes:
> >
> > // Your system up here
> > E = Equity();
> > Plot(E,"Equity",1,1);
> > Open=E;
> > High=E;
> > Low=E;
> > Close=E;
> > Plot(SAR(),"SAR",4,1);
> >
> > Attached a capture that shows what this looks like for the standard
> SAR. Of
> > course you have to optimize the SAR arguments and, perhaps, you
> want to make
> > some other changes to the standard SAR formula as it was posted
> before in VB
> > and J scripts.
> >
> > Best regards,
> > Herman.
>
>
>
>
>
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>
>
>
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