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Hello,
In AmiBr. there is an equity from date to date
Equity(1,3,date,date)
SC
>
> 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
> ----- Original Message -----
> From: DIMITRIS TSOKAKIS
> To: 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 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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