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BTW if anyone is getting about 622% gain instead of 6108% check settings to
see if you have the "allow same bar exit" checked in AA settings. Also
you can't have fractional shares of QQQ.
Sid
At 11:15 PM 02/20/2003 -0500, you wrote:
>Fred,
>
>When I pasted your code into the equity indicator I'm getting a very
>strange error message on this line:
>
>
>FirstBar = ValueWhen(ExRem(Buy OR Short, 0), Cum(1));
>
>Its pointing to the OR and saying "Unknown identifier at line 22, column
>33:" I've tried re-typing that part by hand thinking that there was
>phantom character in it but that didn't work and I can't figure out what
>the heck is going on.. any idea?
>
>
>
>d
>-----Original Message-----
>From: Fred <fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]
>Sent: Thursday, February 20, 2003 10:39 PM
>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
> >
> >
> > ---
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>
>
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