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Dale,
Thanks for pointing out this bug. I thought this equity(1) should
have taken care of this already as I commented in the code. (matched
BUY/SELL, SHORT/COVER in pairs.)
It helps a little, but if you would run the 'explore', problems still
exist. I still see SELL(buy, -20) or COVER(short, -20) not following
the command. They seem to pop up randomly, at least I could not
explain why they are there yet.
BTW, in this AFL, LONG and SHORT trades can be initiated
independently without any SELL or COVER to make a trade go flat
first. Is there a way to force they come in series, that is when you
are LONG, there would be no SHORT before the trade goes flat, vice
versa for SHORT trades?
I tried using:
Buy = ExRem(Buy, Short);
Short = ExRem(Short, Buy);
to no effect.
Thanks for any suggestions.
Thomas
--- In amibroker@xxxxxxxxxxxxxxx, "msc626 <msc626@xxxx>"
<msc626@xxxx> wrote:
> 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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