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<SPAN
class=001380717-18032003>Dale,
<SPAN
class=001380717-18032003>
The
devil is always in the details! Adding the equity line does indeed change the
results of the exploration. I think perhaps the (partial) answer is found
in Help...
<SPAN
class=001380717-18032003>
from
help.......
<SPAN
class=001380717-18032003>
SYNTAX
equity(
Flags = 0, RangeType = -1, From = 0, To = 0 )
RETURNS
ARRAY
FUNCTION
Returns Equity line based on
buy/sell/short/cover rules, buy/sell/short/coverprice arrays, all apply
stops, and all other back tester settings. Flags - defines the
behavior of Equity function
0 : (default) Equity works as in 3.98 - just
calculates the equity array1 : works as 0 but additionally
updates buy/sell/short/cover arrays so all redundant signals are removed
exactly as it is done internally by the back tester plus all exits by
stops are applied so it is now possible to visualize ApplyStop()
stops.<FONT
size=2>
It
certainly appears that equity(1) also emulates the backrest results for the
delay=1 as well since changing the setting in AA to delay=0 and running the code
with equity(1) returns the expected result.
<SPAN
class=001380717-18032003> <FONT color=#0000ff
face=Arial size=2>Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxx]Sent: Tuesday, March 18, 2003 11:51
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Code challenge - gurus on your toes!
<SPAN
>Thanks for taking the
time to try this!
<SPAN
>
<SPAN
>Now change your
formula by adding E = Equity(1); to it so that it looks like:
<SPAN
>
<SPAN
>Buy<FONT
color=black face="Courier New" size=1><SPAN
>=<FONT
color=blue face="Courier New" size=1><SPAN
>Cross<FONT
color=black face="Courier New" size=1><SPAN
>(<SPAN
>C,<FONT color=blue
face="Courier New" size=1><SPAN
>MA<FONT
color=black face="Courier New" size=1><SPAN
>(<SPAN
>C,<FONT color=fuchsia
face="Courier New" size=1><SPAN
>50<FONT
color=black face="Courier New" size=1><SPAN
>));
<SPAN
>Sell<FONT
color=black face="Courier New" size=1><SPAN
>=<FONT
color=blue face="Courier New" size=1><SPAN
>Cross<FONT
color=black face="Courier New" size=1><SPAN
>(<FONT
color=blue face="Courier New" size=1><SPAN
>MA<FONT
color=black face="Courier New" size=1><SPAN
>(<SPAN
>C,<FONT color=fuchsia
face="Courier New" size=1><SPAN
>50<FONT
color=black face="Courier New" size=1><SPAN
>),<SPAN
>C);
<SPAN
>Filter<FONT
color=black face="Courier New" size=1><SPAN
>=<SPAN
>Buy <SPAN
>OR <SPAN
>Sell;
<SPAN
>
<SPAN
>E =
<SPAN
>Equity<FONT
color=black face="Courier New" size=1><SPAN
>(<FONT
color=fuchsia face="Courier New" size=1><SPAN
>1<FONT
color=black face="Courier New" size=1><SPAN
>);
<SPAN
>
<SPAN
>AddColumn<FONT
color=black face="Courier New" size=1><SPAN
>(<SPAN
>Buy,<FONT color=fuchsia
face="Courier New" size=1><SPAN
>"Buy"<FONT
color=black face="Courier New" size=1><SPAN
>);
<SPAN
>AddColumn<FONT
color=black face="Courier New" size=1><SPAN
>(<SPAN
>Sell,<FONT color=fuchsia
face="Courier New" size=1><SPAN
>"sell"<FONT
color=black face="Courier New" size=1><SPAN
>);
<SPAN
>
<SPAN
>and rather than use
the “Range Setting” of “n last days” change that to “from” and put in the range
“1/1/2003 – 2/28/2003” (to simulate the actual running on the night of the
28th) and then try it.
<SPAN
>
<SPAN
>I’ve been adding that
equity statement to my formula because I’m using applystop and thought it is the
recommended method. When I do this you see what happens.
<SPAN
>
<SPAN
>If you use E =
Equity(0); then it reverts back to what you see with the original
formula.
<SPAN
>
<SPAN
>d
<SPAN
>
<SPAN
>-----Original
Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx] <SPAN
>Sent: Tuesday, March 18, 2003 11:24
AMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: RE: [amibroker] Re: Code challenge
- gurus on your toes!
<FONT face="Times New Roman"
size=3>
<FONT color=blue face=Arial
size=2><SPAN
>Dale,
<FONT color=blue face=Arial
size=2>take a
very simple system....
<FONT face="Times New Roman"
size=3>
<FONT color=black
face="Times New Roman" size=3><SPAN
>
<FONT color=blue face=Arial
size=2><SPAN
>Buy<FONT
color=blue face=Arial><SPAN
>=Cross(C,MA(C,50));
<FONT color=blue
face=Arial size=2><SPAN
>Sell<FONT
color=black face=Arial size=2><SPAN
>=Cross(MA(<SPAN
>C<FONT color=black
face=Arial>,50),<SPAN
>C<FONT color=blue
face=Arial><SPAN
>);
<FONT color=blue face=Arial
size=2><SPAN
>Filter<FONT
color=blue face=Arial>=Buy OR
Sell;
<FONT color=black face=Arial
size=2><SPAN
>AddColumn<FONT
color=#282828 size=2><SPAN
>(<FONT color=black
size=2><SPAN
>Buy<FONT
color=#282828 face=Arial size=2><SPAN
>,<FONT
color=fuchsia face=Arial size=2><SPAN
>"Buy"<FONT
color=#282828 face=Arial size=2><SPAN
>);
<FONT color=blue face=Arial
size=2><SPAN
>AddColumn<FONT
color=#282828 face=Arial size=2><SPAN
>(<FONT
color=black face=Arial size=2><SPAN
>Sell<FONT
color=#282828 face=Arial size=2><SPAN
>,<FONT
color=fuchsia face=Arial size=2><SPAN
>"sell"<FONT
color=#282828 face=Arial size=2><SPAN
>);
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=#282828 face=Arial
size=2>run the
back test on CSCO then click actual trades.
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=#282828 face=Arial
size=2><IMG
align=baseline border=0 height=269 src="gif00140.gif"
width=297>
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=blue face=Arial
size=2>Here you
see the actual cross over occurred on 2/28 (circled) the trade arrow in back
test shows the following day 3/3 (delay=1)
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=blue face=Arial
size=2><IMG
align=baseline border=0 height=606 src="gif00141.gif"
width=744>
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=blue face=Arial
size=2>To find
this trade the previous night you would run the same code in AA as an
exploration.......
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=blue face=Arial
size=2><IMG
align=baseline border=0 height=252 src="gif00142.gif"
width=592>
<FONT color=blue
face="Times New Roman" size=3><SPAN
>
<FONT color=blue face=Arial
size=2>As you see
the explore correctly identifies the 2/28 buy as well as the 3/3 sell ahead of
the trade arrows generated by the back test. If you are looking at EOD on 2/28
you would place the buy order that evening as a market order. This would execute
on the 3/3 open (for better or worse).
<FONT face="Times New Roman"
size=3>
<FONT face="Times New Roman"
size=3>
<FONT color=blue face=Arial
size=2><SPAN
>Jayson
<P class=MsoNormal
><FONT
face=Tahoma size=2><SPAN
>-----Original
Message-----From: dingo
[mailto:dingo@xxxxxxxxxx]Sent:
Tuesday, March 18, 2003 10:10 AM<SPAN
>To: amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: RE: [amibroker] Re: Code challenge
- gurus on your toes!
<FONT color=blue face=Tahoma
size=2>The point
about using Amibroker to trade the open on the next day was
this:
<FONT color=blue face=Tahoma
size=2><SPAN
>
<FONT color=blue face=Tahoma
size=2>Take a
simple system you have in your files and run a back test on it for a date range
of your choice. (be sure and have your settings = delay = 1, open). Look
down the trade list and pick any date where a position is taken and write that
date down. Now pretend that you are processing your data (assuming you are
using EOD data) on the night BEFORE the date you wrote down – trying to see what
trades, if any, you will have to set up for the next day. Now run a Scan
or Explore and tell me if you see any evidence of a trade for the next
day? What do you do to know that you need to put in an
order?
<FONT color=blue face=Tahoma
size=2><SPAN
>
<FONT color=blue face=Tahoma
size=2><SPAN
>d
<FONT color=blue face=Tahoma
size=2><SPAN
>
<SPAN
>-----Original
Message-----From: phsst
[mailto:phsst@xxxxxxxxx] Sent:
Tuesday, March 18, 2003 12:32 AM<SPAN
>To: amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: [amibroker] Re: Code challenge -
gurus on your toes!
<FONT face="Times New Roman"
size=3>
<P class=MsoNormal
><FONT
face="Courier New" size=2><Dale, you have
probably forgotten more about system design than I<FONT
face="Courier New" size=2><SPAN
><FONT
face="Courier New">know but for what it is worth I do use delay=1 and Price=Open
forevaluation and back testing in
AA, although in practice I seldom<FONT
face="Courier New">actual buy the open. I have been burned too many times by
this ficklemarket. Instead I wait
30 minutes to let the dust settle. Interday I<FONT
face="Courier New">plot actual signals based on high or low.
(delay=o)>I don't target to
trade Mkt OPEN either... but prefer to trade Limit<FONT
face="Courier New">or Stop orders based upon previous days price action.
In the case of Buy Limit
orders, I usually determine the Limit price<FONT
face="Courier New">from previous days Close, and to my surprise, I very often
get actualexecutions at OPEN the
following day which are significantly less than<FONT
face="Courier New">previous days close (my limit order) and have experienced
positivetrading system outcomes as
a result (my primary trading system is a<FONT
face="Courier New">pullback system). Also, when this occurs it is not unusual
for theOPEN to be the low for the
day!You can setup your
backtest's for this condition, and depending upon<FONT
face="Courier New">your trading system you will observe backtest results that
mirror whatI have encountered in
actual trades.Logically, I
thought that MM's would look at limit orders at open
andtake them out before gapping
down, but that has not been my actual<FONT
face="Courier New">trading experience with these orders (either NYSE or
NASD).My point is that while
you may not want to trade the OPEN with market<FONT
face="Courier New">orders... the OPEN is not necessarily your enemy either... it
can beyour friend when your trading
system picks out pullbacks that are<FONT
face="Courier New">close enough to exhaustion gaps which can be exploited using
Limit orders.And as far as
using Amibroker to signal trades with delay = 1 and<FONT
face="Courier New">Price = Open on the evening before the trade... here is a
code snipetthat should come
close:(b is the boolean BUY
trigger variable)b = BUY
CONDITION SETUPPctRisk = C - (L -
0.1) / C;TargetPrice =
HHV(C,10);PctGain = (TargetPrice -
C) / C;b = b AND PctGain >=
0.12; // At least 12% Profit
potentialBuyPrice =
Min(Ref(C,-1),O); // Lessor of Previous Close or Todays
openb = b AND BuyPrice >
L;Buy =
b;That should do it, if I have
not mis-understood what you are asking for.<FONT
face="Courier New">OR simply code BuyPrice = O;<FONT
face="Courier New">Phsst--- In
amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx>
wrote:>
Dale,> <FONT
face="Courier New">> Often I just guess <G><FONT
face="Courier New">> > Help
defines an array as....> What is
an Array?>
> An array is simply a list (or
row) of values. In some books it may be<FONT
face="Courier New">> referred to as a vector. Each numbered row of values in
the example> represents an
individual array. Amibroker has stored in its database
6> arrays for each stock. One
for opening price, one for the low price,<FONT
face="Courier New">one for> the
high price, one for the closing price and one for volume
(seethe
rows> labeled 1-5 below) and one
for open interest. These can be<FONT
face="Courier New">referenced in AFL<FONT
face="Courier New">> as open, low, high, close, volume, openint or o, l, h,
c, v, oi.>
> If you are referencing one of
the 6 arrays or making calculations<FONT
face="Courier New">based on>
them then it is an array. In your example you used Status
todetermine
what> AB was doing (Scan,
Explore etc) Since this state is not stored nor<FONT
face="Courier New">> calculated from the six arrays you must use
lastvalue() .>
> " One more thing: Do you use
Amibroker to signal trades with delay =<FONT
face="Courier New">1 and> Price
= Open? On the evening before the trade do you use plots
totell you<FONT
face="Courier New">> to trade the next morning or do you use some formula in
the AA and run a> Scan or
Explore to tell you?">
> Dale, you have probably
forgotten more about system design than I<FONT
face="Courier New">know but> for
what it is worth I do use delay=1 and Price=Open for
evaluationand
back> testing in AA, although in
practice I seldom actual buy the open. I have<FONT
face="Courier New">> been burned too many times by this fickle market.
Instead I wait 30<FONT
face="Courier New">minutes> to
let the dust settle. Interday I plot actual signals based on
highor
low.>
(delay=o)>
>
Regards,>
>
jayson>
> <FONT
face="Courier New">> >
> <FONT
face="Courier New">> >
>
Jayson> -----Original
Message-----> From: dingo
[mailto:dingo@xxxx]> Sent:
Monday, March 17, 2003 4:23 PM>
To: amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Code challenge - gurus on your
toes!> <FONT
face="Courier New">> > Have I
tried it? NO but looks like that is the magic answer!!!<FONT
face="Courier New">> >
> <FONT
face="Courier New">> I get totally wrapped around the axle to this day on
what is anarray
and> what is not an
array.>
> <FONT
face="Courier New">> > If you
have the time could you explain how this works at the<FONT
face="Courier New">individual bar<FONT
face="Courier New">> level? If not I understand and really appreciate this!!
It justmight
help> the little light go on in
my head (yea, right!).>
> <FONT
face="Courier New">> > One
more thing: Do you use Amibroker to signal trades with delay = 1
and> Price = Open? On the
evening before the trade do you use plots to<FONT
face="Courier New">tell you> to
trade the next morning or do you use some formula in the AA and run
a> Scan or Explore to tell
you?> <FONT
face="Courier New">> >
> Thanks Jason! You are
great to be here help us as much as you do!<FONT
face="Courier New">> >
> <FONT
face="Courier New">> d>
> <FONT
face="Courier New">> >
-----Original Message----->
From: Jayson [mailto:jcasavant@xxxx]<FONT
face="Courier New">> Sent: Monday, March 17, 2003 3:56
PM> To:
amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Code challenge - gurus on your
toes!> <FONT
face="Courier New">> >
> Dale have you tried
lastvalue(tmpdelay)>
> <FONT
face="Courier New">> >
> <FONT
face="Courier New">> tmpDelay = IIf(Status("action") == 5, 1,
0);> <FONT
face="Courier New">> tmpdelay=LastValue(tmpdelay);<FONT
face="Courier New">> >
> <FONT
face="Courier New">> I think this needs to be a fixed
number..>
> <FONT
face="Courier New">> >
Jayson>
> -----Original
Message-----> From: dingo
[mailto:dingo@xxxx]> Sent:
Monday, March 17, 2003 3:41 PM>
To: _amibroker_yahoo> Subject:
[amibroker] Code challenge - gurus on your toes!<FONT
face="Courier New">> > I'm
trying to write some AFL code that will change the trade delays
and> trade prices based solely
on whether the code is being run in the back<FONT
face="Courier New">> tester/optimizer or not.<FONT
face="Courier New">> > Here's
a feeble attempt that doesn't work:<FONT
face="Courier New">> >
tmpDelay = IIf(Status("action") == 5, 1, 0);<FONT
face="Courier New">> tmpPrice = IIf(Status("action") == 5, Open,
Close);>
> SetTradeDelays(tmpDelay,
tmpDelay, tmpDelay, tmpDelay);>
BuyPrice = SellPrice = ShortPrice = CoverPrice =
tmpPrice;>
> Lets see if you can solve this
one! (Use of vbScript is permissable)<FONT
face="Courier New">> >
d> <FONT
face="Courier New">> >
> Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
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