[amibroker] Re: Coding Question

["Steve Almond" <steve2@xxxxxxxxxxxxxxxxxxxx>]

Dimitris,
 
Thanks for the suggestion, but the skill needed to adapt your 
application to mine is beyond me.
When I asked this question over on the PT board some time ago, 
Bruce, Fred & Chuck came up with the following (for use in PT):
 
For Market Timing

RUT = Foreign(<FONT 
color=#ff00ff>"^RUT", "C");
UpTrend = EMA(RUT, <FONT 
color=#ff00ff>4) > EMA(RUT, <FONT 
color=#ff00ff>11);
 
For Scoring
Factor1 = IIf(UpTrend, C / 
Ref(C, -1), <FONT 
color=#ff00ff>1);
Factor2 = IIf(<FONT 
color=#0000ff>IsEmpty(Factor1), 1, 
Factor1);
STARTEQ = 1000;
Product = exp(<FONT 
color=#0000ff>Cum(log(Factor2))) * 
STARTEQ;
Score = Product / Ref(Product, -<FONT 
color=#ff00ff>250);
rScore = IIf(<FONT 
color=#0000ff>IsEmpty(Score),0,<FONT 
color=#0000ff>IIf(Uptrend,Score,<FONT 
color=#ff00ff>0));
 
Does this give any clue for running a similar system under AB's 
new backtester?
 
Thanks,
Steve
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  DIMITRIS 
  TSOKAKIS 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Monday, October 06, 2003 
10:38
  Subject: [investment] [amibroker] Re: 
  Coding Question
  Steve,I have posted "A complete top10 application", 
  Sept7, where I take the top10 performers of systemA and see their 
  performance in systemB.See if it helps, else we shall create a solution 
  from the beginning.Dimitris Tsokakis--- In <A 
  href="">amibroker@xxxxxxxxxxxxxxx, "Steve 
  Almond" <steve2@x...> wrote:> I 
  want to backtest a system (regular backtest, not rotational) which has the 
  following two parts:> > 1. A simple market timing signal - let's 
  say:>     >    RUT = 
  Foreign("^RUT", "C");>     UpTrend = EMA(RUT, 4) 
  > EMA(RUT, 11);> > 2. A scoring system. I want the scoring 
  system to be based on the 'performance' of the same market timing 
  system.  Say on 12/31/1997 the market timing signal indicates a buy 
  condition. I run a simple backtest of 1 year duration on the 100 stocks in 
  the Nasdaq100, like so:> >     RUT = 
  Foreign("^RUT", "C");>     UpTrend = EMA(RUT, 4) 
  > EMA(RUT, 11);>     
  buy=Uptrend;>     sell=NOT uptrend;> 
  > I pick the 5 best performing stocks (say highest CAR) and use them 
  going forward into 1998, until the market timing signal gives a sell 
  indication, when I sell the 5 stocks. At the next market timing buy 
  signal, I again pick the top 5 performers (using the simple backtest) 
  over the past year. etc. etc.> > It seems like some sort of 
  feedback system.> > Is it possible?> > 
  SteveSend 
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