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Hi All,
I've been delving into the statistics generated by AB.
One problem I've had is understanding the
number of trades outstanding at any one time. I feel
this is needed to understand how much equity
is needed to support the trades undertaken in a backtest so
that one can get a proper value
for % return. The following code addresses that
need.
I've added the following code to the end of my formula.
One note, I am using the ApplyStop function
so the value of Sell == 4. Other stops have differing
values.
Equity<FONT
face=Arial>(1<FONT
size=2>);
<FONT
face=Arial color=#008000>//Performs backtest
equivalent
AddToComposite<FONT
face=Arial>(Buy,"~Outstanding Long
Trades",<FONT face=Arial
color=#800080>"X"); <FONT
color=#008000>
//Add value of 1 to "X"
fields
AddToComposite<FONT
face=Arial>((Sell/<FONT face=Arial
color=#ff00ff>4<FONT
face=Arial>)*(-1<FONT
size=2>),"~Outstanding
Long Trades",<FONT face=Arial
color=#800080>"X"); <FONT face=Arial
color=#008000>//Add value of -1 to "X" fields
//Sell = 4 when using
ApplyStop<FONT face=Arial
color=#008000 size=2>
//USAGE(Generate Outstanding Trades)
// Apply to > Filter > Watchlist
name that holds backtest results
//Range > same as was used in Back
Test
//Run Scan<FONT
face=Arial>
//Look in Symbol tree for symbol "
~Outstanding Long Trades"
//Insert indicator _Outstanding Long
Trades
Here is the
indicator referred to above.<FONT face=Arial
color=#008000>
// #### Outstanding Long Trades ####
//#### 6/08/03 #######
Result = <FONT
size=2>Cum<FONT
size=2>(High);
Plot<FONT face=Arial
color=#000000>(Result,"Outstanding Long
Trades",colorRed,<FONT
face=Arial color=#ff00ff>3<FONT color=#000000
size=2>);
PlotGrid<FONT face=Arial
color=#000000>(2<FONT
size=2>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(4<FONT
size=2>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(6<FONT
size=2>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(8<FONT
size=2>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>10<FONT color=#000000
size=2>);
PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>12<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>14<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>16<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>18<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>20<FONT color=#000000
size=2>);
PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>22<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>24<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>26<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>28<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>30<FONT color=#000000
size=2>);
PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>32<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>34<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>36<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>38<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>40<FONT color=#000000
size=2>);
PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>42<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>44<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>46<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>48<FONT face=Arial
color=#000000>);<FONT face=Arial
color=#0000ff>PlotGrid<FONT face=Arial
color=#000000>(<FONT face=Arial
color=#ff00ff>50<FONT color=#000000
size=2>);
//###### NOTES ######<FONT face=Arial
color=#008000>
//This indicator to be used in conjunction with the
composite
//named ~Outstanding Long Trades
Insert the indicator in the window and
select symbol "~Outstanding Long Trades" from the
symbol tree. You will be able to read the
number of outstanding trades from the indicator
and correlate it with the dates shown above on
the main price chart.
Sorry about the extra spacing, but I can't
change it and keep the color features.
I've tested and checked for accuracy but
not extensively so comments and improvements
appreciated.
Regards,
Tony
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