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[amibroker] Re: testing entries



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Sid,

Have you seen the replacement Equity Line I wrote with imbedd 
statistics ?

--- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx> wrote:
> 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);
> 
> 
> 
> ---
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