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Hi, All,
When I ran the attached AFL file below on CIEN (daily), it generated
RAR% > 1900 (from 2000-1-1 to today), which is incredible, look like a
holy grail found. I ran more tickers and more ridiculous profit.
However, when I ran the 'explore', I just could not match up my code
with the output, nor the ARROWS. I do not even understand why the
'explore' output was presented the way it was.
Any kind sould please help, I just could not see what I did wrong.
If there is any use of future data, I could find it nor AB.
Please run 'backtest', then compare it with the output of 'explore'
Thanks.
Thomas
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// ATR range breakout system, run on daily bars
//
//
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----------------------------------
// System defines
//
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----------------------------------
SetTradeDelays(0, 0, 0, 0);
//
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----------------------------------
// System Parameters
//
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----------------------------------
smoothB = 10;
multipleB = 0.6;
wait = 20;
smoothS = smoothB;
multipleS = multipleB;
entryB = C + multipleB * ATR(smoothB);
entryS = C - multipleS * ATR(smoothS);
priceB = Ref(entryB, -1);
priceS = Ref(entryS, -1);
CondBuy = IIf(H > priceB, 1, 0); // priceB is previous bar price
CondShort = IIf(L < priceS, 1, 0);
//
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----------------------------------
// Trading System Rules
//
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----------------------------------
Buy = CondBuy; // CondBuy was created for debug only
Sell = Ref(Buy, -wait); // supposedly a 20 day wait before SELL
Short = CondShort;
Cover = Ref(Short, -wait);
ExRemSpan(Buy, wait); // I thought I don'e need this, because
ExRemSpan(Short, wait); // equity(1) is used below
BuyPrice = IIf(Open > priceB, Open, priceB);
ShortPrice = IIf(Open < priceS, Open, priceS);
SellPrice = Open;
CoverPrice = Open;
//
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----------------------------------
// Equity info
//
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----------------------------------
Eq = Equity(1);
//
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----------------------------------
// Exploration
//
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----------------------------------
Filter = 1;
AddColumn(O, "Open");
AddColumn(H, "High");
AddColumn(L, "Low");
AddColumn(C, "Close");
AddColumn(V, "Volume", 1.0);
AddColumn(CondBuy, "CondBuy");
AddColumn(Buy, "Buy", 1.0);
AddColumn(Sell, "Sell", 1.0);
AddColumn(entryB, "entryB");
AddColumn(CondShort, "CondShort");
AddColumn(Short, "Short", 1.0);
AddColumn(Cover, "Cover", 1.0);
AddColumn(entryS, "entryS");
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