|
PureBytes Links
Trading Reference Links
|
Group,
Here is a little AFL program you can use to evaluate your trade
entries. There are several flavors of this type of utility around
but I thought I would post this one for people that may have missed these
before. If you find it useful let me know and I will put it in the
library.
The basic idea is to execute the proposed entry code and see how often it
trades, the quality of the entry as measured be winners and losers, gain,
drawdown etc. The evaluation period will only be 1 to several
bars. Watch out for a string of losing entries or big drawdowns
that chew up your capital.
Cheers
Sid
*********************
/* Entry
Point Tester */
/* Not a trading system. Just used to evaluate entries so there are
no commissions,
enter and
exit on closes with no delays. ExRemSpan is needed to eliminate
extra
signals
between entry and exit. If you check shorts check reverse positon
box in
settings.
Remove the three shorting statements for mutual funds. */
/* Modified 27 Apr 2003 by Sid Kaiser */
/********** Enter trading condition here **************/
//example, try it on QQQ
m =
Optimize("m",37,8,43,1);
sd =
Optimize("sd",0.9,0.5,2,0.05);
Cond = H >
BBandTop(C,
m, sd);
Cond2 = L <
BBandBot(C,
m, sd);
/**********
evaluation section **********/
SetTradeDelays(0,0,0,0);
/*Close,
Close, Close, Close, no commissions, reverse position on opposite entry
*/
T =
3;//Optimize("T",3,1,8,1);
/*exit T days after the entry*/
Buy = COND;
Buy =
ExRemSpan(Buy,
T);
Sell =
Ref(Buy,-T);
Short = Cond2;
Short =
ExRemSpan(Short,
T);
Cover =
Ref(Cond2,-T);
Yahoo! Groups Sponsor
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 the Yahoo! Terms of Service.
---
Outgoing mail is certified Virus Free.
Checked by AVG anti-virus system (http://www.grisoft.com).
Version: 6.0.471 / Virus Database: 269 - Release Date: 04/10/2003
|