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Yes you can backtest the PnF and I have done so in the past. I did not quite
perfect the movements in real days, but backtest can be done.
It is just a matter of defining the setups required. If you forget the time
basis except as columns, then use H and L of each column only as your arrays
for the conditions. O and C are used to just determine the direction of
movement.
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: bmx888 [mailto:bmx888@xxxxxxxxx]
Sent: Monday, 3 November 2003 12:41 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: entry selection
Graham,
Thank you for the reply. I tested your PnF files. It works great! Did
you get a chance to backtest it in AB? For example, what is the
epectancy for double top breakout? I have not find a reliable way to
test PnF patterns except comparing C and ref(peak(), -1). This method
is still not perfect. Another unsolved issue is how to have AB
automatically calculate price objective from vertical count and
horizontal count. Thanks again!
Bernie
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> 1) you can use either Exrem or ExremSpan
>
> 2)use cum
> Positive = Cond1 > 0;
> Count = Cum(Positive);
>
> 3)This can be a starting point for you
> Money = Cum( SellPrice - BuyPrice);
> AvgReturn = Money/Count;
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: bmx888 [mailto:bmx888@x...]
> Sent: Monday, 3 November 2003 12:40 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] entry selection
>
>
> I am trying to code this in Amibroker to screen entry conditions.
>
> Suppose BuyCond is met, how to calculate the return in 20 days,
> maximum risk point, maximum profit point etc.
>
> (C-ref(C, -20))/ref(C, -20)*BuyCond should be the return of 20 days
> of position holding. The questions are:
>
> 1) Now how to avoid repetitive counts of BuyCond suppose day 1
> buycond is met, the second day it's still met. This happens all the
> time in trend following systems.
> 2) How to calculate the probability by positive return/number of
> events.
> 3) how to calculate average return by total return/number of
events...
>
> Is it possible in AFL to calculate the number of events and
generate
> a table to check once BuyCond is met, the return in 1 day, 5 days,
20
> days etc, its probability, maximum risk, maximum profit...
>
>
>
>
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