Re: [amibroker] Re: Coding Question

["Tomasz Janeczko" <amibroker@xxxxxx>]

Steve,
 
Wouldn't be enough just to enable rotational trading and 
adding
PositionScore = rScore;
 
assignment ?
 
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=steve2@xxxxxxxxxxxxxxxxxxxx 
  href="">Steve Almond 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Wednesday, October 08, 2003 10:37 
  AM
  Subject: [amibroker] Re: Coding 
  Question
  
  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, 
  -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 BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
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