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When I look at the arrows, I see trade within
trades, which I think can happen in reality. You
may not close a short and yet go long, possible
in two accounts.
However, the exits don't seem to be execeuted on 20
days since buy. I looked at the trade list with prices and
the number of bars in trade are usually 2-4, not 20 as it
should be according to your system description. It could be that
exits are matched with the most recent entry, and not the
one 20 days ago.
I too cannot see where the code is looking forward. I even
added a few more ref-1s and still got impressive return.
I trade at today's close often, e.g if close today exceeds
yesterdays high by .50 (plus other things in place) I'd
be in (long) minutes before the bell. You system is similar
and is based on volatilty implosion.
tia
nand
--- 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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