|
PureBytes Links
Trading Reference Links
|
Anyone got any ideas on this? Either I'm misunderstanding how either the
equity function or backtesting works (most likely), or there is a nasty
issue here.
----- Original Message -----
From: "Mark B" <markbag@xxxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 26, 2003 12:47 AM
Subject: [amibroker] More equity questions
> Hi All.
>
> Thanks all for your advice on my last equity questions, helped me a lot.
> Here's the next round :)
>
> Doing some tests with 2 scenarios.
>
> First scenario: backtesting a single stock and comparing various results.
> Backtest results = $22054 (the numbers themselves aren't important, it's
the
> meaning behind them)
> A composite equity curve created from "AddToComposite( Equity(),
> "~CompositeEquity", "X" );" = $22053.8 on the last day. I click "scan" to
> get this generated.
>
> That test shows exactly what I expect.
>
> Now, let's do it across a watchlist of 30 or so stocks.
> Backtest results = $15416
> A composite equity curve created from "AddToComposite( Equity(),
> "~CompositeEquity", "X" );" = $17621.3.
>
> Why are the two in this latter example different? I would expect the two
> results to be the same. Am I mistaken?
>
> FYI, the complete AFL for this example is:
> Buy = Cross( Close, EMA( Close, 40 ) );
> Sell = Cross( EMA( Close, 40 ), Close );
> AddToComposite( Equity(), "~CompositeEquity", "X" );
>
> I also tried:
> AddToComposite( Equity(), "~CompositeEquity", "X",
> atcFlagEnableInBacktest );
> Which allows it to work in backtest, with the same results as shown above.
>
> Cheers,
>
> Mark
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|