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Shouldn't it be --
BUY=ExRemSpan(BUY,wait);
SHORT=ExRemSpan(Short,wait);
dale b
--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014 <tchan95014@xxxx>"
<tchan95014@xxxx> wrote:
> Hi, All,
>
> Apparently some explanation is in order. Please check below along
the
> AFL code.
>
> BTW, not all tickers have excellent results, there are many also
> suffer bad losses.
>
> Any comments are welcome. Thanks.
>
> Thomas
>
> --------------------------------------------------------------------
--
> -------
> 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
>
>
> // -----------------------------------------------------------------
--
> ------------------------------------
> // ATR range breakout system, run on daily bars
> //
> // This is a very simple volatility breakout system.
> // It keys off YESTERDAY's close +/- some multiple of ATR(n), n =
10.
> multiple = 0.6 here.
> // Hence, if TODAY's high > long breakout price determined by
> yesterday close (priceB), we go long
> // if TODAY's low < short breakout price determined by yesterday's
> close (priceS), we go short
> // Because of this nature, we have to use SetTradeDelays() on
> BUY/SHORT to 0, you set a STOP
> // price and enter your order before OPEN and wait for execution.
> // Since we always WAIT 20 days AFTER entry, and we exit our
position
> on OPEN, there is not much
> // difference in setting SetTradeDelays() on SELL/CLOSE to 0 or 1.
> //
> // If you check, you will see priceB and priceS is YESTERDAY's
> breakout prices to be used today.
> // I like to use TODAY as the base, if any signal occurs today, I
can
> set the STOP price for tomorrow.
> // Also, if there is any execution TODAY.
> //
> // -----------------------------------------------------------------
--
> -------------------------------------
> // System defines
> // -----------------------------------------------------------------
--
> -------------------------------------
>
> SetTradeDelays(0, 0, 0, 0);
>
> // -----------------------------------------------------------------
--
> -------------------------------------
> // System Parameters
> // -----------------------------------------------------------------
--
> -------------------------------------
>
> smoothB = 10; // 10-bar ATR() is used
> multipleB = 0.6; // with 0.6 * ATR(10) as the volatility
> breakout range
> wait = 20; // wait 20 bars after entry then exit
> smoothS = smoothB; // make sure LONG and SHORT uses same
> parameters
> multipleS = multipleB;
>
> entryB = C + multipleB * ATR(smoothB); // BUY breakout price for
> NEXT bar
> entryS = C - multipleS * ATR(smoothS); // SHORT breakout price for
> NEXT bar
> priceB = Ref(entryB, -1); // make sure we are using
> PREVIOUS bar for our decision making
> priceS = Ref(entryS, -1); // make sure we are using
> PREVIOUS bar for our decision making
>
> // if TODAY's high > YESTERDAY's Close +/- breakout range, we want
to
> act on.
> // Because we are using yesterday price, we are pretty much setting
> up a STOP price
> // to act, from yesterday's price, on today's price.
>
> CondBuy = IIf(H > priceB, 1, 0); // priceB is previous bar
> price
> CondShort = IIf(L < priceS, 1, 0); // priceS is previous bar
> price
>
> // -----------------------------------------------------------------
--
> -------------------------------------
> // Trading System Rules
> // -----------------------------------------------------------------
--
> -------------------------------------
>
> 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't need
> this, because
> ExRemSpan(Short, wait); // equity(1) is used below
> (makes no difference though)
>
> BuyPrice = IIf(Open > priceB, Open, priceB); // Make sure entry
> price is realistic
> ShortPrice = IIf(Open < priceS, Open, priceS);
> SellPrice = Open; // Since we set a 20-day
> wait, I assume Sell will onlu
> CoverPrice = Open; // be set to TRUE, 20 bars
> after 'Buy' is triggered
>
> // -----------------------------------------------------------------
--
> -------------------------------------
> // Equity info
> // -----------------------------------------------------------------
--
> -------------------------------------
>
> Eq = Equity(1);
>
> // -----------------------------------------------------------------
--
> -------------------------------------
> // Exploration
> // -----------------------------------------------------------------
--
> -------------------------------------
>
> 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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