|
PureBytes Links
Trading Reference Links
|
TJ
A few more queries,
I run backtest on eod data on 1 ticker,using a delay of 1 for the
open and close,
The results are o.k. "actually they are fantastic".
Now i want to trade the system.
I use an exploration to check when a buy or sell condition is true.
Theres a buy so i buy the next days open,a few days later theres a
sell signal in the exploration so i sell the next days close.
a few days later theres a buy signal, so i buy the next day,
But then there is a buy and sell signal on the same day.
I am in a trade, do i place the same amount of equity into the
trade again, and sell only the equity that was in the original trade,
then sell the remainder equity when there is a sell,
to get the same profit results as in ami.
Assume my system had great results, and the ticker i was buying had
many of these days when it places a new buy on the day of a sell.
Somehow i went back in time ( and the results in the backter, "ill
be optimistic and say $5,000,000)and traded this system, selling
either, when on a sell day there was only a sell trigger, or selling
if there was a new buy
signal on the day of a sell signal, as i do not have any extra
capital to invest.
I then buy at the next buy signal.
What if by pure chance that the tickers main profit was coming from
the buy i didnt take,
due to there being a buy and sell trigger on the same day when
already being in a trade.
e.g.the day before the sell day the value drops, I get a buy and
sell trigger in my exploration, the next day the value is still low,
i ignore the buy trigger as i dont have any extra equity so i take
the sell signal and sell at close at a loss.
Suddenly the next day the price jumps, but i am not in the trade as
i wait for my next buy signal,
when the sell signal triggers the price has increased, but i was not
in the trade and missed this profit oppurtunity.
So i keep trading like this ( as i,m still in the past, as i went
back in time) until today ,
But my profits are not so great as in the ami backtest, even though
i had an advantage of going back in time).
The results in an ami backtest includes this result.
Is there a way to be able to exit on the same bar but not have an
ami backtest getting an exit signal on the day of a sell signal.
Peter.
--- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
wrote:
> TJ,
> Here are samples from the explorations and backtest.
>
> The explorations and backtest are set to a delay of zero and exit
on
> same bar is ticked.
>
>
> This exploration result uses exrem for buy and sell,
>
> 1) why does exrem cancel the sell on the 920309 and not allow
> a buy and sell on the same bar, there was no previous buy signal.
>
> 2) as in a backtest, on the 920424 there was a buy
> on the 920504 there was a sell,
> it placed a buy again on the 920504, before a sell as the buy is
open
> and sell is close,
> and sold this on 920507
>
> I assume this makes it impossible to have the buy and sell dates
and
> other data to be placed in the 1 row of an exploration, if using
>
> AddColumn(IIf(sell,ValueWhen(Buy,Ref(DateNum
(),0),1),0),"buydate",1);
> AddColumn(IIf(Sell,ValueWhen(Sell,Ref
(DateNum),0),1),0),"selldate",1);
>
> since it wont be able to differentiate what the actual true buy
date
> was when a buy is placed when in a buy.
>
>
> I have placed B's and S's in the exrembuy and exremsell columns
> B for buys and S for sells
>
>
> buy sell exrembuy exremsell buydate selldate
> 1 1 B1 0 920309 0
> 0 1 0 S1 0 920313
> 1 0 B1 0 920323 0
> 0 1 0 S1 0 920327
> 1 0 B1 0 920413 0
> 1 1 0 S1 0 920421
> 1 1 B1 0 920424 0
> 1 1 B1 S1 920504 920504
> 0 1 0 S1 0 920507
> 1 0 B1 0 920529 0
> 0 1 0 S1 0 920603
>
>
>
>
> The exploration below uses the exrem at the buy but NOT at the sell.
>
> It will buy and sell on the same bar, if its not in a buy,
> or buys and sells on separate bars.
> Does not place a new buy on the same bar on the sell day if in a
> trade.
>
> ( this seems more realistic to me).
>
>
> buy sell exrembuy exremsell buydate selldate
> 1 1 B1 S1 920309 920309
> 1 0 B1 0 920323 0
> 0 1 0 S1 0 920327
> 1 0 B1 0 920413 0
> 1 1 0 S1 0 920421
> 1 1 B1 S1 920424 920424
> 1 1 B1 S1 920504 920504
> 1 0 B1 0 920529 0
> 0 1 0 S1 0 920603
>
>
> below are the ami back test results, dates only.
>
>
> buy sell
> Date Ex. date
> 3/9/1992 3/13/1992 sell on 3/9/1992, not triggered.
> 3/23/1992 3/27/1992
> 4/13/1992 4/21/1992
> 4/24/1992 5/4/1992 sell on the 5/4/1992
> 5/4/1992 5/7/1992 buy again on the 5/4/1992
> 5/29/1992 6/3/1992
> 6/10/1992 6/12/1992
> 6/12/1992 6/25/1992
>
>
>
>
>
>
> below is the exploration code, (have tried numerous codes),
>
> Thomas I hope this is the correct way to code using equity(1) as
> you posted in the previous post.
>
> all delays set to zero and tick allow exit on same bar.
>
> buy is open sell is close.
>
> //ApplyStop(0,0,0,0,0);
>
> Buy=Cross(C,MA(C,20));
> Sell=Cross(C,MA(C,2));
> AddColumn(Buy,"buy ");//buycolumnno exrem
> AddColumn(Sell,"sell ");//sellcolumn no exrem
>
>
>
> //Short =
> //Cover =
> //Buy=ExRem(Buy,Sell);//uncomment to test using exrem
> //Sell=ExRem(Sell,Buy);//uncomment to test using exrem
> AddColumn(Buy,"exrembuy ");//exrembuycolumn
> AddColumn(Sell,"exremsell ");//exremsellcolumn
> Equity(1);
> Filter=Buy OR Sell;
> AddColumn(IIf(Buy,ValueWhen(Buy,Ref(DateNum(),0),1),0),"buydate",1);
> AddColumn(IIf(Sell,ValueWhen(Sell,Ref(DateNum
> (),0),1),0),"selldate",1);
>
>
> below is the backtest code.
>
>
> Buy=Cross(C,MA(C,20));
> Sell=Cross(C,MA(C,2));
> Buy=ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
>
>
>
> Peter.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online - Over 14,500 titles.
No Late Fees & Free Shipping.
Try Netflix for FREE!
http://us.click.yahoo.com/YoVfrB/XP.FAA/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/
|