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Hi
sorry made a mistake
this line
If the entry date is greater than the exit date it places it in a
new sheet.
should be
If the entry date is less (earlier) than the exit date it places it
in a
new sheet.
Peter.
--- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
wrote:
> Hello amost B52
>
> Your post sounds very similar to an excell macro i have.
> Needs a little more work though.
>
> At the moment in Ami i run an AA of my formula.
> The data is exported and saved.
> I place this data in Excel.
> I run my macro.
>
> The macro does
> 1: it first sorts the data by ascending order, by the entry date.
>
> 2: then the sort second order is by the ticker.(this will change as
i
> will be using an Ami exploration code i wrote to emulate the AMI AA
> results (except the profit results), which i need for the dates,
the
> entry and exit prices and the volume, and a sort order ranking
number
> which will place a high value in the column for a more preferable
> stock, e.g. it may be an MA of money going into the ticker.
>
> 3)After the sort it compares the row of the entry date column to
the
> previous row of the exit date column.
>
> If the entry date is greater than the exit date it places it in
a
> new sheet.
>
> It does this until there are no overlapping entry dates to the
> previous exit date rows.
> so if a tickers entry date was 2001/01/01 and exit date was
> 2001/01/05
> Then the next row contains no other trades when the entry date
> occured before or on 2001/01/05 e.t.c. down the rows.
>
> So the first sheet is now a list of buys and sells of different
> tickers, from an ami AA or exploration.
>
> The first sheet has the first, possible choice of stock to
purchase
> after a sell, this is because of the date order and the second
order
> choice ranking preference number which came from an Ami
> exploration.
>
> The second sheet has the second possible choice of trades to
take
> The 3rd sheet the 3rd possible choice e.t.c.
>
> I can choose how many sheets i want created, so if ihad enough
> capital for 5 trades, i would select 5 sheets.
>
>
> 4:It then calculates the compounded profit of each sheet.
>
> I still need to place a formula in the macro so the equity of
each
> trade will be a certain percentage of the money (V *C)or an MA of
the
> money (V*C) of the previous day.(This is why i need to use an Ami
> exploration, as the AA does not contain volume).
> But if the equity is less than this ,it will use all the equity
> for the next trade.
> This is needed as the equity can be higher than the value of
money
> that went in the stock.
> For an example i ran a very basic test on ami, the results were
> reasonable, but it only had a 32% win rate.
> I placed the results into excel and ran the macro by the date
order
> then only the alphabetical ticker name.
>
> The profits went of the scale, the macro stopped. So it needs code
> added to be more realistic.
>
>
> If youre interested
>
>
> email me at
>
> amiabilityy@xxxx
>
> Peter.
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> > In a previous post, I outlined some of the problems one has to
take
> > into account when using AB to test a basket of stocks with a
market
> > timing system. I look forward to the day when AB will have
> portfolio
> > level testing.
> >
> > Here are some ways I can picture portfolio level testing being
> > implemented in AB. Give Tomasz's great ability, I am sure what he
> > finally produces will go far beyond what I outline.
> >
> > BASIC PORTFOLIO TESTING:
> >
> > The issue here is to make sure AB has a limit for either the
number
> > of open trades it has (easy to implement) or the amount of
capital
> > committed (easy to imagine but harder to implement). A "sort by"
> > function would need to be added to AB's AFL. AB would then use
> > the "sort by" code to create an array (ticker and sort value) of
50
> > stocks for each date/time bar. Of course, the stocks would be
> sorted
> > with in the array according to the sort by values.
> >
> > Then on a second pass over the data, AB would take the top 10 or
20
> > stocks from the array for every entry signal date. If a stock
gets
> > stopped out, AB would replace it using the sort by array for the
> > next trading day. (Of course, one would like to be able to turn
> this
> > replacement feature off for some strategies).
> >
> > Summary resutlts could be similar to the current ones AB gives,
> with
> > a few additions. It would be nice to know what percentage of
stocks
> > were winners for each trade period (again I am picturing market
> > timing systems).
> >
> > PORTFOLIO TESTING LEVEL TWO
> >
> > I would like to be able to test 2 or more portfolios at the same
> > time. Thanks to comments from a trader with a lot of experience,
I
> > believe one can get a much smoother equity curve by using two or
> > more strategies at the same time. Although there are many
> > possibilities, let me share just one: would it not be nice to
have
> a
> > trend following system and a system that does well in non-
trending
> > markets. That way if one is getting whipsawed, the other would be
> > making money big time. I might be expecting too much (a very
smooth
> > equity curve) for a modest cost (assuming the out of phase method
> > will not take too much of the profit fo the in phase method). But
> > the point is being able to test such ideas.
> >
> > How could this be implemented? In very simple terms, AB would
> > generate 2 distinct arrays of stocks for each data day (one array
> > for each method). Then on the second pass, AB would uses these
> > arrays to trade 2 portfolios. There would need to be an
additional
> > line of code to tell AB how often to reallocate capital between
the
> > two strategies.
> >
> > PORTFOLIO TESTING LEVEL THREE
> >
> > For level two I picture testing two strategies that use the same
> > market timing signal. The next step of complexity would be to be
> > able to test 2 methods/portfolios when each has its own timing
> > method.
> >
> > Since this is a wish list, I might as well add that it would be
> > great to be able to test more than 2 at the same time: perhaps 4
or
> > 5. Also it would be nice to be able to specify different
weightings
> > to the portfolios: For example, portfolio 1 gets 40% of capital,
> > portfolio 2 gets 30%, portfolio 3 gets 20% and portfolio 4 gets
10%.
> >
> > WHAT DO OTHERS THINK? What would you like to see in the way of
> > portfolio testing?
> >
> > b
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