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Bill,
just finished reviewing ... good explenation . Thanks
----- Original Message -----
From: "Bill Barnard" <wbarnard@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, July 17, 2003 11:39 AM
Subject: [amibroker] Re: AFL - Backtest: ExRem
> 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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