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CDD% is the current DrawDown.
MDD% is the maximum DrawDown.
MAR is CAR / MDD
UI is the Ulcer Index
UPI is the Ulcer Performance Index
TPI is a different flavor of Performance Index
Exp is Expectancy
KRatio is KRatio
CF is Current Flat Equity Bars or number of bars since the equity
peak
MF is Maximum Flat Equity Bars
LinReg is the Linear Regression of the Log of Equity
--- In amibroker@xxxxxxxxxxxxxxx, "Nurudin Kaba" <n.kaba@xxxx> wrote:
> Thanks for your post...can you tell me(us) what some of the plot
statements
> stand for...I know what Ann and CAR stand for but not some of the
others...
>
> Thank you,
> Nurudin
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Thursday, February 20, 2003 22:39
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The Watered Down Semi-Interesting System
>
>
> Sid,
>
> That should not be necessary because that's the first thing in the
> Equity Line indicator (See Below). The code below also includes
the
> later thought of ANN%
>
> /* */
> //--equity-plot-- do not remove this line
>
> MaxGraph = 10;
> GraphZOrder = 1;
> GraphXSpace = 20;
> GraphYSpace = 10;
>
> BIR = IIf(Status("BarInRange") > 0, 1, 0);
>
> BarEq = Equity(1);
> CurEq = Equity();
> MaxEq = Highest(CurEq);
> FlatEq = IIf(BIR, BarsSince(MaxEq > Ref(MaxEq,-1)),0);
> MaxFlat = Highest(FlatEq);
> LMaxFlat = LastValue(MaxFlat) * (1 + GraphYSpace / 100);
> LogEq = log10(CurEq);
>
> CurDD = IIf(BIR, 100 * (MaxEq - CurEq) / MaxEq, 0);
> MaxDD = Highest(CurDD);
> LMaxDD = LastValue(MaxDD) * (1 + GraphYSpace / 100);
> CumDD = Cum(CurDD);
>
> FirstBar = ValueWhen(ExRem(Buy OR Short, 0), Cum(1));
> LastBar = LastValue(ValueWhen(Status("LastBarInRange") > 0, Cum
(1)));
> TotBars = LastValue(Cum(1));
> BarNo = ValueWhen(BIR > 0, Cum(1) - FirstBar + 1);
> NoBars = LastValue(BarNo);
>
> Dates = DateNum();
> Days = ValueWhen(BIR > 0, IIf(Dates != Ref(Dates,-1), 1, 0));
> TotDays = Cum(Days);
> BPD = BarNo / TotDays;
>
> CAR = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(BarNo -
> 1))) ^ (1 / (BarNo / BPD / 252)) -1));
> Ann = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(252 *
> BPD)) - 1)));
> MAR = ValueWhen(BIR > 0, CAR / MaxDD);
> UI = ValueWhen(BIR > 0, sqrt(CumDD / BarNo));
> UPI = (CAR - 5.4) / UI;
> TPI = UPI / MaxDD;
>
> bb0 = LastValue(LinRegIntercept(Ref(LogEq, -(TotBars -
> LastBar)), NoBars));
> mm = LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)),
> NoBars));
> yy = mm * BarNo + bb0;
>
> BarsCum = ValueWhen(BIR > 0, Cum(BarNo));
> AvgBar = LastValue(BarsCum) / NoBars;
> SRDevSQ = ValueWhen(BIR > 0, sqrt(Cum((BarNo - AvgBar) ^ 2)));
> ErrEq = LastValue(StdErr(Ref(logEq, -(TotBars - LastBar)),
> NoBars));
> KRatio = ValueWhen(BIR > 0, mm * SRDevSQ / ErrEq / sqrt
(NoBars));
>
> TradeEq = IIf(Sell, (BarEq - ValueWhen(Buy, BarEq)) / ValueWhen
(Buy,
> BarEq), 0) +
> IIf(Cover, (BarEq - ValueWhen(Short, BarEq)) /
ValueWhen
> (Short, BarEq), 0);
> PosEq = Cum(IIf(TradeEq > 0, TradeEq, 0));
> NegEq = Cum(IIf(TradeEq < 0, TradeEq, 0));
> PosTrade = Cum(TradeEq > 0);
> NegTrade = Cum(TradeEq < 0);
> AvgPos = PosEq / PosTrade;
> AvgNeg = NegEq / NegTrade;
> PosPct = PosTrade / (PosTrade + NegTrade);
> Expect = (1 + AvgPos / abs(AvgNeg)) * PosPct - 1;
>
> Plot(IIf(BarNo > 0, CAR, -1e10), "CAR%", colorBrightGreen,
> styleNoLine | styleNoLabel);
> Plot(IIf(BarNo > 0, Ann, -1e10), "Ann%", colorBrightGreen,
> styleNoLine | styleNoLabel);
>
> Plot(IIf(BarNo > 0, -CurDD, -1e10), "CDD%", colorRed,
> styleOwnScale | styleHistogram, -LMaxDD, LMaxDD);
> Plot(IIf(BarNo > 0, -MaxDD, -1e10), "MDD%", colorDarkRed,
> styleOwnScale, -LMaxDD, LMaxDD);
>
> Plot(IIf(BarNo > 0, MAR, -1e10), "MAR", colorBrightGreen,
> styleNoLine | styleNoLabel);
>
> Plot(IIf(BarNo > 0, UI, -1e10), "UI", colorYellow,
> styleNoLine | styleNoLabel);
> //Plot(IIf(BarNo > 0, UPI, -1e10), "UPI", colorGreen,
> styleNoLine | styleNoLabel);
> //Plot(IIf(BarNo > 0, TPI, -1e10), "TPI", colorGreen,
> styleNoLine);
> //Plot(IIf(BarNo > 0, Expect, -1e10), "Exp", colorGreen,
> styleNoLine);
> //Plot(IIf(BarNo > 0, KRatio, -1e10), "KRatio",colorGreen,
> styleNoLine | styleNoLabel);
>
> Plot(IIf(BarNo > 0, FlatEq, -1e10), "CF", colorYellow,
> styleOwnScale | styleHistogram, -LMaxFlat, LMaxFlat);
> Plot(IIf(BarNo > 0, MaxFlat,-1e10), "MF", colorDarkYellow,
> styleOwnScale, -LMaxFlat, LMaxFlat);
>
> Plot(IIf(BarNo > 0, yy, -1e10), "LinReg",colorBlue,
> styleThick | styleOwnScale | styleNoLabel);
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx>
wrote:
> > At 08:04 PM 02/20/2003 -0500, you wrote:
> >
> > >Fred,
> > >
> > >I get an error in the "FirstBar = ValueWhen(ExRem(Buy OR Short,
> 0),
> > >Cum(1));" at the OR location....
> > >
> > >Can you provide assistance
> >
> > Not Fred, but maybe I can help. That is the error message I got
> when the
> > AA system results were not communicating with the indicator
> module. Check
> > to see that you have /* at the bottom of the AA system
script.
> That
> > seems to enable the link between the tester and the indicator
code.
> >
> > Sid
> >
> >
> > ---
> > Outgoing mail is certified Virus Free.
> > Checked by AVG anti-virus system (http://www.grisoft.com).
> > Version: 6.0.455 / Virus Database: 255 - Release Date:
02/13/2003
>
>
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