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Re: [amibroker] Exploration Problem



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Hi Ron,
 
I think this may be what you 
want. It uses info from the last buy and the last sell, so the profit 
calculations won't be correct until you close out your open position (buy 
info should be correct though). You can try it and let me know if it is what you 
were looking for.
 
Steve
<FONT face=Arial 
size=2>---------------------------------------------------
FastStoch = StochK( 14 );SlowStoch = StochD( 14 
);
Buy  = Cross( FastStoch, SlowStoch );Sell 
= Cross( SlowStoch, FastStoch );
 
StochKBuy  = ValueWhen( Buy, FastStoch 
);StochKSell = ValueWhen( Sell, FastStoch );StochKDiff  = 
StochKSell - StochKBuy;
EPrice = ValueWhen( Ref( Buy,  1), Open 
);XPrice  = ValueWhen( Ref( Sell, 1), Open );
Rtn    = XPrice - EPrice;PctRtn 
= Rtn / EPrice * 100;
 
Filter = C > 1 AND C < 100 AND V > 
100000;
 
AddColumn( StochKBuy, "Buy Value", 1.2 
);AddColumn( StochKSell, "Sell Value", 1.2 );AddColumn( StochKDiff, "%K 
Diff", 1.2 );AddColumn( EPrice, "Entry $", 1.2 );AddColumn( XPrice, 
"Exit $", 1.2 );AddColumn( Rtn, "$ Rtn", 1.2 );AddColumn( PctRtn, "% 
Rtn", 1.2 );
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  mrdavis9 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibrokeryahoogroups 
  Sent: Wednesday, September 17, 2003 7:48 
  PM
  Subject: [amibroker] Exploration 
  Problem
  
   
  
  Steve, thanks for your response.  This email 
  will explain in detail what I hope to accomplish.  This exploration 
  assumes that you have a day job, and are making buy and sell 
  decisions each night with a fresh download of   EOD 
  data. Therefore, a buy signal and the subsequent sell 
  signal will never happen on the same day. 
   
  I want to be able to read a detailed report of 
  the results of (buying on the open) of the next day following an 
  occurrance of  my buy condition. My buy condition is 
  Cross(stochkd(14),stochd(14)).   My sell condition will 
  occur when the next    
  cross(stochd(14),stochk(14))  makes it's appearance in one 
  of the daily downloads of  EOD data. The actual sell will 
  occur at the opening price of the day 
  after the sell condition appeared.  eg, (selling on the 
  open).
   
  Below is the complete exploration.  The seven "plot(xxxxxx" lines of 
  code at the bottom of this exploration are my attempt to set up the column 
  titles for displaying the data that I want to be able 
  to analyze.   
   
  I could actually feel some of the gears in my brain grinding as I tried 
  to understand the proper way to  use ValueWhen and 
  BarsSince.   I hope we can  get this working. Ron 
  D
   
  <FONT face=Arial 
  size=2>==========================================================================
  BuyStocVal=<FONT color=#0000ff 
  size=1>ValueWhen(<FONT color=#0000ff 
  size=1>Cross(<FONT color=#0000ff 
  size=1>StochK(<FONT color=#ff00ff 
  size=1>14),<FONT color=#0000ff 
  size=1>StochD(<FONT color=#ff00ff 
  size=1>14)),<FONT color=#0000ff 
  size=1>StochK(<FONT color=#ff00ff 
  size=1>14),1<FONT 
  size=1>);//<FONT 
  color=#008000 size=1>This is the value of StochK(14) when the buycross 
  occurred.
  
  SellStocVal=ValueWhen<FONT 
  size=1>(Cross<FONT 
  size=1>(StochD<FONT 
  size=1>(14),<FONT 
  color=#0000ff size=1>StochK(<FONT color=#ff00ff 
  size=1>14)),<FONT color=#0000ff 
  size=1>StochK(<FONT color=#ff00ff 
  size=1>14),<FONT color=#0000ff 
  size=1>BarsSince(<FONT color=#0000ff 
  size=1>Cross(<FONT color=#0000ff 
  size=1>StochK(<FONT color=#ff00ff 
  size=1>14),<FONT color=#0000ff 
  size=1>StochD(<FONT color=#ff00ff 
  size=1>14)));<FONT face="Courier New" color=#008000 
  size=1>//StochK(14) value at 
  sellcross.
  StocRise=SellStocVal-BuystocVal; < the difference in the <FONT 
  color=#0000ff size=1>StochK(<FONT color=#ff00ff 
  size=1>14)<FONT face="Courier New" color=#008000 
  size=1>// Buy AND Sell values, assumed to be 
  a positive value.
  Entryprice=ValueWhen<FONT 
  size=1>(Cross<FONT 
  size=1>(StochK<FONT 
  size=1>(14),<FONT 
  color=#0000ff size=1>StochD(<FONT color=#ff00ff 
  size=1>14)),<FONT color=#0000ff 
  size=1>Ref(Open,<FONT color=#ff00ff 
  size=1>0),1<FONT 
  size=1>);//<FONT 
  color=#008000 size=1>opening price on the Day the Buy occurrs.<FONT 
  size=1>
  Exitprice=ValueWhen<FONT 
  size=1>(Cross<FONT 
  size=1>(StochD<FONT 
  size=1>(14),<FONT 
  color=#0000ff size=1>StochK(<FONT color=#ff00ff 
  size=1>14)),<FONT color=#0000ff 
  size=1>Ref(Open,<FONT color=#ff00ff 
  size=1>0),<FONT color=#0000ff 
  size=1>BarsSince(<FONT color=#0000ff 
  size=1>Cross(<FONT color=#0000ff 
  size=1>StochK(<FONT color=#ff00ff 
  size=1>14),<FONT color=#0000ff 
  size=1>StochD(<FONT color=#ff00ff 
  size=1>14)));<FONT face="Courier New" color=#008000 
  size=1>//Open price of Sell 
  Day.
  Pricerise=Exitprice-entryprice<FONT face="Courier New" 
  size=1>;//<FONT 
  color=#008000 size=1>The difference between the two opening 
  prices.
  percentrise=pricerise/entryprice;<FONT face="Courier New" 
  color=#008000 size=1>//The % of increase on 
  the value of the Open price when the Buy occurred.
  Filter=C><FONT 
  face="Courier New" color=#ff00ff size=1>1<FONT face="Courier New" 
  size=1> AND C<<FONT face="Courier New" color=#ff00ff 
  size=1>100 AND 
  V><FONT face="Courier New" color=#ff00ff 
  size=1>100000 AND Buystocval 
  AND Sellstocval AND stocrise AND entryprice AND 
  exitprice AND pricerise AND percentrise;<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(BuyStocVal,<FONT 
  face="Courier New" color=#ff00ff size=1>"Buy Value"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(SellStocVal,<FONT 
  face="Courier New" color=#ff00ff size=1>"Sell Value"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(StocRise,<FONT 
  face="Courier New" color=#ff00ff size=1>"Stoc Rise"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(Entrypric,<FONT 
  face="Courier New" color=#ff00ff size=1>"Buy price"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(Exitprice,<FONT 
  face="Courier New" color=#ff00ff size=1>"Sell price"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(Pricerise,<FONT 
  face="Courier New" color=#ff00ff size=1>"Price rise"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);<FONT 
  face="Courier New" color=#0000ff size=1>
  AddColumn(percentrise,<FONT 
  face="Courier New" color=#ff00ff size=1>"% change"<FONT 
  face="Courier New" size=1>,format=<FONT face="Courier New" 
  color=#ff00ff size=1>1.2<FONT face="Courier New" 
  size=1>,textcolor=colorDefault,bkgndcolor=colorDefault);
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