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[amibroker] Re: Problem with Equity Plot and Calculation - Tomasz



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Fred, Tomasz,

Thanks for the help. I now have a better understanding of this.

Bill


> Bill,
> 
> ExRems operate on ENTIRE array regardless of what testing period 
you have choosen.
> If you want to operate them only on selected period you need to use 
this that way:
> 
> //Buy = Cross(Close, (1 + 0.002)*EMA(Close, 40));
> //Sell = Cross((1 - 0.002)*EMA(Close, 40), Close);
> Buy = Close > (1 + 0.002)*EMA(Close, 40);
> Sell = (1 - 0.002)*EMA(Close, 40) > Close;
> 
> Buy = Buy AND Status("barinrange"); // this filters out buy 
statements outside current range.
> 
> Short = Sell;  Cover = Buy;
> 
> Buy  = ExRem(Buy,Sell); Sell = ExRem(Sell, Buy);
> Short = ExRem(Short, Cover); Cover = ExRem(Cover, Short);
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Bill Barnard" <wbarnard@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, July 16, 2003 4:00 PM
> Subject: [amibroker] Re: Problem with Equity Plot and Calculation - 
Tomasz
> 
> 
> Fred,
> 
> The ExRems must be removed to make it work from the first bar even
> after the code is changed from the Cross statement, which provides a
> 1-day only "true" condition, to the "greater than" statement, which
> provides an ongoing "true" condition. At least that is what I found
> when I tried it. The code:
> vvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvvv
> //Buy = Cross(Close, (1 + 0.002)*EMA(Close, 40));
> //Sell = Cross((1 - 0.002)*EMA(Close, 40), Close);
> Buy = Close > (1 + 0.002)*EMA(Close, 40);
> Sell = (1 - 0.002)*EMA(Close, 40) > Close;
> Short = Sell;  Cover = Buy;
> Buy  = ExRem(Buy,Sell); Sell = ExRem(Sell, Buy);
> Short = ExRem(Short, Cover); Cover = ExRem(Cover, Short);
> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
> did not make the Equity calc and plot start on the first day of
> the test, but it did work after taking out the ExRems.
> 
> The reason this is a big deal to me, and I don't just push the start
> window back to the previous signal, is that I am working on a system
> which does an iterative optimization routine and walks it forward.
> Thus, there are internally very many different sets of Cross dates,
> which need to be handled within the loops, and the accuracy of the
> calcs is considerably impacted by the equity calc not starting at 
the
> chosen starting date.
> 
> Thanks for your help.
> 
> Bill
> 
> 
> > It's NOT the ExRem's that are the culprits here as they would not
> > have reduced the signals from a crossover condition anyway as the
> x/o
> > only occurs on one bar.
> >
> > I'm not sure why you seem to find this objectionable but in this
> > particular case why not just push the start window back to 2/20 ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Bill Barnard" <wbarnard@xxxx>
> > wrote:
> > > Fred,
> > >
> > > I appreciate your explanation. T changed the "Buy = Cross(A, B)"
> > type
> > > of statement to "Buy = A > B" and removed the "ExRem" 
statements,
> > and
> > > Voila! - the Equity plot begins "Short" on 2/23/01, as desired.
> > >
> > > Now I am going to have to think about this some more. I have 
been
> > > routinely using the ExRem statements after the Buy and Sell
> > > assignments, thinking that it is always desirable to remove the
> > > redundant signals. Now I see that this is not necessarily the
> case.
> > >
> > > Thanks so much for providing the answer to my dilemma. Now I 
will
> > > have to rework many of my afls to make them start properly at 
the
> > > beginning of the test period.
> > >
> > > Bill
> > >
> > >
> > >
> > > > Your system as written is looking for a CROSS to occur.  That
> > CROSS
> > > for
> > > > RUT-I took place on 2/20/2001 (See Attachment).  Therefore 
with
> a
> > > start
> > > > date of 2/23/2001 there is NO signal in play until the one in
> > April
> > > > (See Attachment).  Therefore there is no equity gain/loss to
> > show.
> > > > Ergo the menaing of OUT in the AA list and report.
> > > >
> > > > Fred
> 
> 
> 
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