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Steve,
Since we temporarily cannot handle foreign equities inside a function
(), I try an alternative to reach your most important question.
A hi-pass filter after an event.
The event is your RUT signals.
I will try to hi-pass equities after each signal for one stock at
first. Then I will try the multiple stock application.
My first, already posted, effort has a quite interesting
[expected ??] result:
The topEquity at the EVENT time is not always the best vehicle for
the future.
My next step will be the multiple-EVENT application [I hope my
formula will work, but I am not sure yet...]
Since time is precious, the only choice for me is to study during the
session, as I wait for my intradays. And now, I have to stop this
interesting dialogue, in order to sell this bloody stock, it is the
time to take a +5.2%.
Back to you soon.
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> 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("^RUT", "C");
>
> UpTrend = EMA(RUT, 4) > EMA(RUT, 11);
>
>
>
> For Scoring
>
> Factor1 = IIf(UpTrend, C / Ref(C, -1), 1);
>
> Factor2 = IIf(IsEmpty(Factor1), 1, Factor1);
>
> STARTEQ = 1000;
>
> Product = exp(Cum(log(Factor2))) * STARTEQ;
>
> Score = Product / Ref(Product, -250);
>
> rScore = IIf(IsEmpty(Score),0,IIf(Uptrend,Score,0));
>
>
>
> Does this give any clue for running a similar system under AB's new
backtester?
>
>
>
> Thanks,
>
> Steve
>
>
> ----- Original Message -----
> From: DIMITRIS TSOKAKIS
> To: 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 amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx>
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?
> >
> > Steve
>
>
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