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Hi,
I appreciate all the helpful suggestions but I still don't have a
solution to this - what appeared to be - a simple problem. I am
puzzled as to why I am not able to do in code what I can do perfectly
well using the AA RAnge Control.
I am using the Optimize function and the setting No Trade List to
scan through a number of years. This displays the % gain/loss for
each individual year in the backtest and this is why I need to do
this in code rather than use the Range Control.
The following afl is for illustrative purposes only:
bz=Cross(EMA(C,5),MA(C,20));
sz=Cross(MA(C,20),EMA(C,5));
Buy=bz; Sell=sz;
Short=Sell; Cover=Buy;
Using QQQ and setting the Range Control from 1/1/1998 to 12/31/1998
generates 20 trades, the last one of which shows an exit date of
12/31/98 for the open trade, and the gain is correctly calculated for
1998 only.
The following is my attempt to duplicate the action of the Range
Control in code:
bz=Cross(EMA(C,5),MA(C,20));
sz=Cross(MA(C,20),EMA(C,5));
Buy=bz AND Year()==1998;
Sell=sz AND Year()==1998;
Short=Sell; Cover=Buy;
Running this code with All Quotations selected for the range displays
the same 20 trades, but the last open trade has the exit date
5/23/2003 and the % Gain/Loss for 1998 is no longer shown correctly.
My code is clearly incorrect, but how should this be coded so that
it produces then same result as the Range Control.
Keith
--- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> Keith,
> I don't see a problem with Sell=Cond AND Year()==1998 giving (Open
Long) 10/23/98 to 5/23/03.
>
> Cond was clearly not met per your range result [(Open Long)
10/23/98 to 12/31/98].
>
> If you don't close open positions via range, you will need an
additional sell statement.
> I'd try Sell = dateNum() > 981231;
>
>
> Bob
>
>
>
> -----Original Message-----
> From: Keith Bennett [mailto:kbennett@x...]
> Sent: Sunday, May 25, 2003 9:05 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Date range problem....
>
>
> Mike: No luck with that either. Also tried to use Datenum but that
> doesn't work either.
>
> What I am trying to backtest are Buys and Sells, but only if they
> occur (for example) in 1998.
>
> This is achieved without problem using the range control, but I
can't
> get it to work using a date function in the afl.
>
> Keith
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, walt <WSCHWARZ@xxxx> wrote:
> > Kieth,
> >
> > In general if you refer to a date (without time) it assumes time
of
> 12 am.
> >
> > Try to use 1/1/99...
> >
> > Walt
> > -----Original Message-----
> > From: Keith Bennett [mailto:kbennett@x...]
> > Sent: Sunday, May 25, 2003 6:50 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Date range problem....
> >
> >
> > Thanks Mike, but that doesn't do the trick.
> >
> > Keith
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike Lucero" <m.lucero@xxxx>
> wrote:
> > > I'm not sure of the syntax, but you want your sell condition
to
> be
> > >
> > > Sell=Cond OR Date=12/31/98
> > > ----- Original Message -----
> > > From: "Keith Bennett" <kbennett@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Sunday, May 25, 2003 2:14 AM
> > > Subject: [amibroker] Date range problem....
> > >
> > >
> > > Can anyone see my error:
> > >
> > > I set the range in AA to 1/1/1998 to 12/31/1998.
> > >
> > > Buy = Cond;Sell = Cond;
> > > Short = Sell;Cover = Buy;
> > >
> > > This correctly produces 13 trades. The first is 1/2/98 to
> 1/8/98 and
> > > the last is (Open Long) 10/23/98 to 12/31/98. No problem.
> > >
> > > I set the range in AA to All Quotations:
> > >
> > > Buy=Cond AND Year()==1998;
> > > Sell=Cond and Year()==1998;
> > > Short=Sell;Cover=Buy;
> > >
> > > The first trade is still 1/2/98 but the last is (Open Long)
> 10/23/98
> > > to 5/23/03 and for this reason % profit is not correct for
1998.
> > >
> > > How do I get the afl to respect the Year() function after the
> Sell
> > > statement?
> > >
> > > Keith
> > >
> > >
> > >
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