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Dimitris,
Equity is single-security backtester.
Steve is referring to portfolio backtesting.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 08, 2003 12:25 PM
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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