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Dimitris,
I'm not quite sure how Equity comes into my
question.
Can you tell me how to run a backtest in AA for 250 days
before 8/20/2002? Is it possible to specify the end date in AFL
code?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 08, 2003
11:25
Subject: [investment] Re: [amibroker] Re:
Coding Question
Steve,I think Equity() does not accept variable From/To
inEquity(0,3,d1,d2)I´m not sure for this.Dimitris Tsokakis---
In amibroker@xxxxxxxxxxxxxxx,
"Steve Almond" <steve2@x...>
wrote:> 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> > > ----- Original Message
----- > From: Tomasz Janeczko > To:
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 Janeczko>
amibroker.com> ----- Original Message -----
> From: Steve Almond
> To: 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("^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> >
> > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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