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Dimitris,
Oh yes... there is another problem indeed.
Equity is the backtester-in-a-box and as described in
Tutorial: How to backtest your trading system:
"Please note that AmiBroker presets buyprice, sellprice, shortprice and coverprice array variables with the values defined in system
test settings window (shown below), so you can but don't need to define them in your formula. If you don't define them AmiBroker
works as in the old versions.
During back-testing AmiBroker will check if the values you assigned to buyprice, sellprice, shortprice, coverprice fit into high-low
range of given bar. If not, AmiBroker will adjust it to high price (if price array value is higher than high) or to the low price
(if price array value is lower than low)"
This works with 'current' symbol even if you used SetForeign().
So effectivelly you are not able to use Equity with SetForeign function as of now,
because it will force adjusting prices to High-Low range of current symbol anyway.
Someone asked before to have ability to turn this checking and adjustment off and once this is available
you will be able to do what you wanted. Right now you can't.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 07, 2003 12:49 PM
Subject: [amibroker] Re: The top10 ROC(C,1)
Tomasz,
see, please, below.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Dimitris,
>
> MACD( x, y ) depends only on last X + Y bars.
> You can safely assume that if X and Y are relatively
> small (12+26 for example) you have that many bars
> for all symbols in your database.
>
> Equity is different because by default it uses all
> quotes. Now if you use SetForeign it will return
> only as many bars as there are in CURRENT symbol
> see foreign explanation:
http://www.amibroker.com/guide/afl/afl_view.php?name=FOREIGN
>
> Now if each symbol in your database has DIFFERENT
> number of bars then you will get different values of equity
> because they will be calculated from different number of bars.
All 101 symbols have 943 bars.
All symbols begin the 3/1/2000 and are updated up to 3/10/2003.
My Plot(Foreign("~COUNT","V"),"",1,1); is absolutely flat horizontal
at 101 for all quotations.
No other ticker is in the holy group254.
I didnīt notice *any* problem for MACD(200,300) or MACD(10,500).
So, there should be another reason, because the modified
function select( listnum )
{
list = GetCategorySymbols( categoryGroup, listnum );
Rank = 0;
for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
{
SetForeign(SYM);
global Buy;
global Sell;
Buy=Cross(StochD(),30);Sell=Cross(50,StochD());
E1=Equity(0,1,100);
f=LastValue(E1);
Rank[BarCount-1-i] = f;
}
return Rank ;
}
No=254;
R= Select(No);H0=Select(No);G=0;
Plot(H0,"",2,2);
equally suffers from the same problem. The plot is not universal
and changes from stock to stock.
> Solution? You may calculate equity not from ALL bars
> but only from N-last bars:
http://www.amibroker.com/guide/afl/afl_view.php?name=EQUITY
> E1=Equity(0, 1, 100 );
But, this Equity(0, 1, 100 ), if I understand well, will give me the
result of the last 100 bars trading. I want the Lastvalue(Equity())
for all existing data.
> If you have no data holes in last 100 bars you will get the same
results
> on any ticker.
No, there are no holes at all and the results change from ticker to
ticker.
More confused now...
Dimitris Tsokakis
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, October 07, 2003 11:22 AM
> Subject: [amibroker] Re: The top10 ROC(C,1)
>
>
> > Tomasz,
> > thank you for your reply.
> > The situation now became very complicated.
> > The results change from ticker to ticker !!
> > [the same with the top5, it is different from ticker to ticker]
> >
> >
> > // SELECT LAST EQUITY() VALUE
> > function select( listnum )
> > {
> > list = GetCategorySymbols( categoryGroup, listnum );
> > Rank = 0;
> > for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> > {
> > SetForeign(SYM);
> > global Buy;
> > global Sell;
> > Buy=Cross(StochD(),30);Sell=Cross(50,StochD());E1=Equity();
> > f=LastValue(E1);
> > Rank[BarCount-1-i] = f;
> > }
> > return Rank ;
> > }
> > No=254;
> > R= Select(No);H0=Select(No);
> > Plot(H0,"",2,2);
> >
> > On the other side, the
> >
> > // SELECT THE LAST MACD() VALUE
> > function select( listnum )
> > {
> > list = GetCategorySymbols( categoryGroup, listnum );
> > Rank = 0;
> > for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> > {
> > SetForeign(SYM);
> > f=LastValue(MACD());
> > Rank[BarCount-1-i] = f;
> > }
> > return Rank ;
> > }
> > No=254;
> > R= Select(No);H0=Select(No);
> > Plot(H0,"",2,2);
> >
> > is perfect. It plots the MACD() of the last bar and [as expected]
is
> > the same graph for any selected ticker.
> > Totally confused...
> > Dimitris Tsokakis
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxxx>
> > wrote:
> > > Hello,
> > >
> > > No, Equity works well too inside functions BUT.. you
> > > have to ensure that Buy/Sell/... BuyPrice/ ... variables used
> > inside function
> > > are declared as GLOBAL. This is so because Equity uses global
> > buy/sell
> > > variables to evaluate results.
> > >
> > > function BlahBlah()
> > > {
> > > global Buy;
> > > global Sell;
> > >
> > > Buy = ...
> > > Sel = ...
> > >
> > > e = Equity();
> > >
> > > ...
> > > }
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Tuesday, October 07, 2003 8:09 AM
> > > Subject: [amibroker] Re: The top10 ROC(C,1)
> > >
> > >
> > > > Tomasz,
> > > > thank you for your comments, but, I was expecting a similar
> > behavior
> > > > with Equity() function.
> > > > As you see at
> > > > http://groups.yahoo.com/group/amibroker/message/49275
> > > > this attempt failed.
> > > > I can not explain it.
> > > > Equity() function worked properly inside loops, for example,
the
> > > > for(k=30;k<50;k=k+5)
> > > > {
> > > > Buy=Cross(RSI(),k);Sell=Cross(50,RSI());z1=Equity(1,0);
> > > > Plot(z1,"",1,1);
> > > > }
> > > > gives the expected result.
> > > > Is there any problem when we use Equity() inside a Function ?
> > > > TIA
> > > > Dimitris Tsokakis
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > <amibroker@xxxx>
> > > > wrote:
> > > > > Dimitris,
> > > > >
> > > > > Your AFL coding is poetry !
> > > > > Thanks for showing the power of AFL.
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > amibroker.com
> > > > > ----- Original Message -----
> > > > > From: Dimitris Tsokakis
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Sent: Saturday, October 04, 2003 11:26 PM
> > > > > Subject: [amibroker] The top10 ROC(C,1)
> > > > >
> > > > >
> > > > > Hypothesis :
> > > > > *My Nasdaq100 stocks are placed in Group254.
> > > > > *They are 101, the 100 stocks and the index ^NDX.
> > > > > *They are absolutely aligned, they begin from the same
date
> > and
> > > > include the same bars.
> > > > > Question :
> > > > > The top10 last day ROCs.
> > > > > The idea :
> > > > > I will read the 101 ROC values for the last day and then
I
> > will
> > > > place them as the last 101 elements of an artificial array H0.
> > > > > Then, I will search for the highest value.
> > > > > As soon as it is detected and localised in detail, in the
> > very
> > > > next step it will be replaced by -1000 .
> > > > > In the new search the 2nd highest will be detected etc.
> > > > > There is an internal loop counter to give the rank #
> > > > > A solution :
> > > > > There is no need for any exploration.
> > > > > In indicator builder window paste the
> > > > >
> > > > > // Top10 ROCs
> > > > > function naming( listnum,ORdNo )
> > > > > {
> > > > > list = GetCategorySymbols( categoryGroup, listnum );
> > > > > for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> > > > > {
> > > > > if(i==ORdno)
> > > > > {
> > > > > n1=sym;
> > > > > }
> > > > > }
> > > > > return n1 ;
> > > > > }
> > > > > function select( listnum )
> > > > > {
> > > > > list = GetCategorySymbols( categoryGroup, listnum );
> > > > > Rank = 0;
> > > > > for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> > > > > {
> > > > > C1 = Foreign( sym, "C" );
> > > > > f=LastValue(ROC(C1,1));
> > > > > Rank[BarCount-1-i] = f[i];
> > > > > }
> > > > > return Rank ;
> > > > > }
> > > > > No=254;// my N100 database is in Group254
> > > > > R= Select(No);H0=Select(No);G=0;
> > > > > Plot(H0,"",2,2);
> > > > > G0=0;
> > > > > L1=LastValue(Cum(1));
> > > > > N=101;// the population of my database
> > > > > TOP=10;// 10 may change from 1 to 101
> > > > > Counter=0;Title="Top10 ROC"+"\n";
> > > > > for(K=1;K<=TOP;K++)
> > > > > {
> > > > > H1=LastValue(HHV(H0,n));
> > > > > BAR1=LastValue((ValueWhen(H0==H1,Cum(1)-1)));
> > > > > H0[BAR1]=-1000;
> > > > > Counter=Counter+1;
> > > > > G0[L1-CountER]=-H1;
> > > > > shape=IIf(Counter==1,shapeDigit1,
> > > > > IIf(Counter==2 ,shapeDigit2,
> > > > > IIf(Counter==3 ,shapeDigit3,
> > > > > IIf(Counter==4 ,shapeDigit4,
> > > > > IIf(Counter==5 ,shapeDigit5,
> > > > > IIf(Counter==6 ,shapeDigit6,
> > > > > IIf(Counter==7 ,shapeDigit7,
> > > > > IIf(Counter==8 ,shapeDigit8,
> > > > > IIf(Counter==9 ,shapeDigit9,
> > > > > shapeDigit0)))))))));
> > > > > PlotShapes((Cum(1)==bar1+1)*shape,Counter,0,Graph0,5);
> > > > > Title=Title+WriteVal(Counter,1.0)+")"+WriteVal(H1)+ "
> > ["+WriteVal
> > > > (L1-bar1-1,1.0)+"-"+naming(254,L1-bar1-1)+"]"+ "\n";
> > > > > }
> > > > > Plot((Cum(1)>L1-N)*R,"",(H0==-10)*6+1,2);
> > > > > Plot(0,"",1,1);
> > > > > GraphXSpace=3;
> > > > >
> > > > > and you will have all related info.
> > > > > The ROC magnitudes, for a useful visual outline at a
glance,
> > the
> > > > top10 ROCs, the values, the ordinal No of the stocks, the
names,
> > > > everything.
> > > > > The graph and its info is unique, it will remain the same
> > when
> > > > you move from ticker to ticker and will change by the next
EOD
> > update.
> > > > > A similar procedure may give the bottom10 stocks.
> > > > > Ranking questions for an individual stock, indicators
arrays
> > for
> > > > individuals or the whole WatchList/Group etc have clear and
quick
> > > > solutions
> > > > > thanks to the great GetCategorySymbols() function.
> > > > > The rest is looping tricks of a non-programmer and it is
> > better
> > > > to make an indulgent criticism...
> > > > > Dimitris Tsokakis
> > > > >
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