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Tomasz,
The problem was that I could never QUITE get the
expected result using the formulae in PT. (and hence I don't yet want to
'translate' this to Rotational trading in AB).
One of the problems is that I don't know how to
specify (using AB/AA, not PT) a 250 day backtest completed on (say) 9/15/2001.
(a 250 day backtest ending today is obvious, but not ending at some previous
date)
Can you help with this?
I can then do some manual checks on the PT code
before moving it over to AB Rotational.
Thanks,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 08, 2003
09:53
Subject: [investment] Re: [amibroker] Re:
Coding Question
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),
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
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