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Hi fred,
It still needs some work,
At the moment it it only contains
START DATE END DATE FINAL EQUITY PER OF WINTRADES
MAXLOSSTRADE MAXWINTRADE
The data is only the data from an exploration, so it does not
contain the data of e.g.
if there a are 200 different tickers in the sheet it would not have
the whole history of all these 200 tickers,
It only contains the data of the buy day and sell day,( the data
needed to calculate the profits, the rank data, buy and sell dates).
The buy and sell data of a completed trade of a ticker, from the ami
exploration is in 1 row.
wouldnt the draw down be able to be worked out from the profit and
loss results, as it is testing multiple tickers which is basically
like testing 1 ticker.
2) The overlapping dates is handled correctly,
the buy date is sorted first in descending order, and the rank
value
is the second sort order, so if 20 different tickers buydates fall
on the same day ,then the ticker on the day with the highest ranking
will be the first selection.
The rank is in ascending order.
the highest rank is kept in sheet 1,
the next ticker to be kept on sheet 1 will need a buydate that is
greater than the previous sell date.
So The the rank value will be used as the first choice if there are
more than 1 ticker with the same buydate.
Then by comparing the buy date to the previous rows sell date,
If the buy date is less than or equal to the previous tickers sell
date , it will be placed on a new sheet.
The first sheet now contains no overlapping dates.
This is repeated for the other sheets.
I would need to add code to control the amount traded.
At the moment it compounds, but will stop trading, when the equity
of the last trade was around $1000.00
I was also thinking of using a percentage of the volume*close of
the previous day as a maximum value to trade if the equity was > than
that value.
Peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> A few statements and / or questions with regards to DYNAPORT.
>
> 1. Does it have available to it all price history of what ever the
> trades were without which DrawDowns can NOT be calculated.
>
> 2. Does it properly handle overlapping trades ?
>
> 3. How does i keep one from being > 100% invested ?
>
> etc. etc. ...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
> wrote:
> > Ken
> > if you have excel , try the DYNAPORT.ZIP file i uploaded.
> >
> >
> > Peter.
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx>
wrote:
> > > Fred: does your message mean that a "system" that buys and
sells
> > say,
> > > the top ranked stock when a buy signal is issued (the Buy logic
> > being
> > > different than the score logic).....that such a system can be
> > BACKTESTED
> > > using this ABTool? Is that what you are saying?
> > >
> > > Ken
> > >
> > > -----Original Message-----
> > > From: Fred [mailto:fctonetti@x...]
> > > Sent: Monday, May 05, 2003 9:17 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: ABtool v0.0.5 beta - What is this t
hing?
> > >
> > > nand,
> > >
> > > From my limited knowledge and experience ABTool appears to
allow
> > > writing to a file almost anything anyone could want which could
> be
> > > used for example to "score" an entire WatchList bar by bar as
to
> > the
> > > liklihood of some particular symbol being a better buy at some
> bar
> > > then another over the entire lenght of their history. This
file
> > > could then be sorted and "ranked" if you will and used as the
> > driving
> > > force for trading or testing a portfolio trading system.
> > > Additionally there are new table functions in the latest
release
> > > which again from my limited knowledge would although they would
> be
> > > faster because they are in memory as opposed to writing to disk
> > they
> > > may also be limited in scope to dealing with the current stock
as
> > > opposed to the entire watchlist. I hope this limited
description
> > > helps somewhat.
> > >
> > > Best Regards, Fred
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx> wrote:
> > > > Can someone please tell me what is this ABTool and
> > > > what does it do?
> > > >
> > > > thanks
> > > > nand
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
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> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
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> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
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