|
PureBytes Links
Trading Reference Links
|
Hi TJ.
sorry i didnt mean the profits, i am mainly interested in having the
exploration
have the correct buy and sell dates as in a backtest.
In an ami backtest it will buy and sell on the same bar.
If there was a buy condition on that bar again it will buy on this
day again, and sell at a different date, in simple terms sometimes it
will buy on the open of a sell day even though
there was a sell at the close.
I have not been able to do this in an exploration.
(of coarse i would not want this in an exploration, or backtest), i
was only trying to do the same in an exploration as i thought they
worked in a similar way.
The buy and sell conditions are only to test if the code works as it
will either buy and sell on separate bars or on the same bar.
I have the filter as 1 to check if the
buysell and sellsell columns have the correct buy and sell prices.
All the data will be in 1 row.
So when there is a sell , the buy and sell imformation will be in the
1 row.
This is due to the number of rows limit in excel.
When commenting out these lines
Buy=ExRem(Buy2,Sell2);
Sell=ExRem(Sell2,Buy2);
in the code, the buy and sells on the same bar seem o.k.
but there are excesive signals.
In my test (when using exrem)there was a buy and sell on the same
bar,
This was not triggered.
about 3 bars later the same condition happened and this was
triggered.
sdelayy=0;
Buyarray=O;
Sellarray=C;
Buy=Cross(C,MA(C,20));
Sell=Cross(C,MA(C,2));
AddColumn(Buy ,"buy ");
AddColumn(Sell ,"sell ");
Buy2=Buy;
Buy2=ExRemSpan(Buy2 ,delayy);
Buy2=Ref( Buy2,-delayy );
Sell2=Sell;
Sell2= ExRemSpan(Sell2,sdelayy );
Sell2=Ref(Sell2,-sdelayy);
Buy=ExRem(Buy2,Sell2);//If using exrem somtimes it will buy and sell
on same bar,
// it affects the cumvalue counter, in the buycum column so when
there should be a //buy, the count did not increase, but at other
times will increase.
Sell=ExRem(Sell2,Buy2);
Buycum=Cum(Buy);
Sellcum=Cum(Sell);
newtradeb=Buycum>Ref(Buycum,-1) OR Buycum>0 AND Ref(Buycum,-1)==0;
newtrades= sellCum>Ref(sellCum,-1);
Buyvalue=ValueWhen(1,Buyarray ,1);
Sellvalue=ValueWhen(1,Sellarray,1);
newtradeb=ValueWhen(Buycum,Buy,1)>ValueWhen(Buycum,Buy,2) OR Buycum>0
AND Ref(Buycum,-1)==0;
newtrades=ValueWhen(sellCum,Sell,1)>ValueWhen(sellCum,Buy,2) AND
buycum>0;
Buy=newtradeb;
Sell=newtrades;
Buyvalue=ValueWhen(1,Buyarray ,1);
Sellvalue=ValueWhen(1,Sellarray,1);
Filter= 1;//Sell AND buycum>=0;
AddColumn(IIf(Sell,ValueWhen(Buy,Ref
(Buyvalue,0 ),1),0),"buysell",1.4);
AddColumn(IIf(Sell,ValueWhen(Sell,Ref
(sellvalue,0),1),0),"sellsell",1.4);
AddColumn(Buyvalue,"buyprice",1.4);
AddColumn(sellvalue,"sellprice",1.4);
AddColumn(Buy ,"buy ");
AddColumn(Sell ,"sell ");
AddColumn(Buycum ,"buycum ");
AddColumn(Sellcum ,"sellcum ");
AddColumn(newtradeb ,"newtradeb ");
AddColumn(newtrades ," newtrades");
Peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> 1. You don't give any source to look at so it is impossible
> to answer to the question why your code does not work.
> 2. If you really want to simulate backtest in exploration
> (although I don't know why you ever would),
> you should use add Equity(1) after your trading rules
> to make the backtest routine eliminate extra signals
> and evaluate stops.
>
>
> ApplyStop()s
> buy=
> sell =
> short =
> cover =
>
> Equity(1);
>
> AddColumn(...)s
>
> See also settings ("allow same day exits" -
> you should however note that this is BACKTESTER
> setting)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "amiabilityy" <amiabilityy@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, May 04, 2003 6:29 PM
> Subject: [amibroker] T.J. Random exits on same bar in Exploration ,
WHY?
>
>
> > hi
> >
> > Has anyone written code that emulates a backtest.
> >
> > I have tried to do this to export data to excel,
> > but i cant get the exploration to act exactly as the
backtester.
> > ( using exrem on a backtest and the exploration).
> >
> > sometimes it will buy and sell if a buy and sell fall on the
same
> > bar, other times it doesnt buy or exit on the same bar if a buy
and
> > sell condition were true on a bar.
> > (this happens when using exrem)
> >
> > I cant understand this, it almost seems random
> >
> >
> > If the buy and sells are on separate bars there is no problem.
> >
> > Why is it not consistant when there are buy and sells on the
same
> > bar, when using exrem.
> >
> > Is there another function or a rule i need to use in an
> > exploration.
> >
> > Peter.
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > 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
http://docs.yahoo.com/info/terms/
> >
> >
> >
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/O10svD/Me7FAA/uetFAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|