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Jason, Ara
Using your latest test code,
Buy = RSI(14)>60;
Sell = RSI(14)<20;
Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy);
Cover = Buy; Short = Sell; // )I added this to let it work with my AA
settings)
before the ExRem statement, Buy has a value of 1 on all the days that
RSI(14) > 60, and 0 otherwise. After the ExRem, Buy is 1 only on the
first day that RSI(14) > 60 until a Sell comes along and resets it.
Sell is similarly treated. So, with the ExRem statement in place,
there may be no signal on the first day of a back test, and if this
is so, the backtest report and Equity plot will show that the first
trade is "Out" until a signal occurs. The net profit figure will
reflect this also.
A little experiment will illustrate. Try the code above in AA and
backtest from 3/8/2001 (when there is not a signal). Note that the
equity plot starts off flat line until several months later, when
the first signal comes along. Now comment out the ExRem line and run
again. Note the backtest results are improved and the equity plot
gets off the horizontal sooner, because as soon as RSI(14) > 60 again
there is a Buy, and the equity calc starts. Now modify the code to
Buy = RSI(14)>60;
Sell = RSI(14)<20;
Buy = Flip(Buy, Sell); Sell = Flip(Sell, Buy);
Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy);
Cover = Buy; Short = Sell;
The Flip makes Buy = 1 every day after the first Buy day until the
next Sell comes along, and vice versa for Sell. When you try the
above code you will see the same result as in the first case with the
ExRem line in place. Now comment out the ExRem line and run again.
Note that the Equity plot starts right away on 3/8/01, and the
backtest report shows the first trade as "Long" and the net profit
figure is increased. This is so because there is definitely a value
of 1 for Buy on 3/8/01 since the Flip filled in all the days between
signals and the ExRem did not remove the extras.
I hope this is clear.
Bill
> Ara,
> OK how about this.....
>
> Buy = RSI(14)>60;
> Sell = RSI(14)<20;
>
> Buy=ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
>
>
>
>
>
>
>
>
>
> Perhaps I am missing your point but for this example I see no
difference in
> the results only in the display...
> Regards,
> Jayson
> -----Original Message-----
> From: Ara Kaloustian [mailto:ara1@x...]
> Sent: Thursday, July 17, 2003 12:53 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] AFL - Backtest: ExRem
>
>
> Jayson, I see no difference with this code...either arrows of test
results
>
> I think you have trades duration so short that no intterfering
occurances
> take place
> ----- Original Message -----
> From: Jayson
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, July 17, 2003 8:35 AM
> Subject: RE: [amibroker] AFL - Backtest: ExRem
>
>
> Ara,
>
> Running this very simple code...
>
>
> Buy = C>Ref(C,-1);
> Sell = C<Ref(C,-1);
>
> Buy=ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
>
> I see the very same results in terms of P/L if I comment out the
exrems
> or leave them in place. With exrem in place I can double click the
report
> and see the trade arrows reflect actual trades only. with exrem
commented
> out I see "Raw Signals" displayed. How are you seeing the results
change?
>
> Regards,
> Jayson
> -----Original Message-----
> From: Ara Kaloustian [mailto:ara1@x...]
> Sent: Thursday, July 17, 2003 2:45 AM
> To: Ami-Main
> Subject: [amibroker] AFL - Backtest: ExRem
>
>
> I was under the impression that ExRem commands simply eliminate
extra
> trade signals that the backtester automatically hadles, so the
usefullness
> of these commands was to remove extra trade pointer arrows from
chart.
>
> I am using
>
> Buy = BuyCommand;
> Sell = Sell Comman;
>
> Buy = ExRem(Buy,Sell);
>
> Sell = ExRem(Sell,Buy);
>
> Using / Removing these commands do affect the test results.
>
> Would someone explain exactly what they do?
>
>
>
> Thanks
>
> Ara
>
>
>
>
>
>
>
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