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[investment] Re: [amibroker] Re: Coding Question



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It seems to work with the appropriate Lastvalues

Buy=Cross(StochD(),30);
Sell=Cross(50,StochD());
d1=LastValue(ValueWhen(DateNum()==1030902,Cum(1)));
d2=LastValue(ValueWhen(Cum(1)==d1-250,DateNum()));
E1=Equity(0,3,d2,1030904);
Filter=1;
AddColumn(e1,"");
AddColumn(Cum(1),"",1.0);
AddColumn(LastValue(Cum(1))-Cum(1),"",1.0);
AddColumn(d1,"d1");AddColumn(d2,"d2");

--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx> 
wrote:
> Steve,
> I think Equity() does not accept variable From/To in
> Equity(0,3,d1,d2)
> I´m not sure for this.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> 
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
> > 
> > 
> > 
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