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--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
>
> I've tested this pretty thoroughly and it
> seems to work fine, even with two,
> ten, twenty stocks. I assume, therefore,
> that it will work with 7,500.
I am surprised. Perhaps I have more to learn about how Equity() and
AddtoComposite interact. One question comes to mind -- Did the
prototype stocks have different data histories? If the prototype
stocks all started in the same year then the potential problem would
not show up.
Perhaps the way to determine if there is a problem or not is to
devise code that should make trades that one could set to record a
consistent profit. For example,
BuyPrice = 100;
SellPrice = 100;
Buy = 1; //will enter each and every stock
Sell = 0; //ApplyStop will do the exiting
ApplyStop( stopTypeNBar, stopModeBars, 20 );//exit after 20 bars
...your addtocomposite equity code...
The above should produce a completely flat equity curve (assuming
trading fees are set to zero). If the curve rises it can only be due
to the number of new trades getting added to the composite as times
go by.
The above could be varied to determine if the composite equity is
behaving properly when the trades are profitable.
BuyPrice = 100;
SellPrice = 105;// 5% gain per trade.
And when the trades are not profitable.
BuyPrice = 100;
SellPrice = 95; // 5% loss per trade.
If you do more testing, I would be interested to hear what you
discover about how Equity() interacts with AddToComposite.
b
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> You said:
>
> THAT SHOULD GIVE YOU THE PROFIT CURVE. IT WILL BE ACCURATE WHEN
> TESTING A SINGLE STOCK OR INDEX, BUT WHEN TESTING A BASKET OF
STOCKS
> IT WILL HAVE THE SAME PROBLEM AS YOUR PREVIOUS FORMULA.
>
>
> My comment:
>
> I've tested this pretty thoroughly and it seems to work fine, even
with two,
> ten, twenty stocks. I assume, therefore, that it will work with
7,500.
> By doing this:
>
> AddToComposite (equity()-10000,........
>
> it adds the cumulative profit or loss to the composite which is
what I
> expect to see.
>
> I tried doing this:
>
> AddToComposite (equity() - ref(equity(),-1).....
>
> But, for some reason, it keeps resetting the composite to zero
along the
> way.
>
>
> I have been using your favourite metric (average trade) and it
works well.
> The problem is that if the system lost money for eight years and
made money
> for the last seven years (or vice versa), I can't see that
reflected in any
> of the metrics. I really need to see a proift or equity curve.
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