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PureBytes Links
Trading Reference Links
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to see the progress of an Equity curve and have useful results for
the unknown future.
Take a trading system, divide the total test period into z equal
parts [inspection Points] and compare the Equity for each IP with all
the previous. If there is a real progress, the E7 should be greater
than the E6, E5, E4 etc, the E8 should be greater than the E7, E6, E5
etc and so on .
We may create a matrix and have the progress at a glance, if we paint
green for the positive cells and red for the negatives.
Explore for all quotations a stock [or the whole database...] with
// The progress of the Equity curve, by D. Tsokakis, Nov2003
START=DateNum()==1000601 ;Plot(5000,"",1,1);
per=100;
EVENT=BarsSince(START)%per==0;
// The trading system
P=5;
X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-
1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+
(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
d=Optimize("d",58,10,80,1);
Sell=Cross(x5,d);Buy=Cross(-D,X5);
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Cross(D,X5);Cover=Buy;
// the Indicator builder part
E34=Equity(1,0);z=Cum(event);
Counter=Cum(EVENT)%10;
shape=IIf(Counter==1,shapeDigit0,
IIf(Counter==2 ,shapeDigit1,
IIf(Counter==3 ,shapeDigit2,
IIf(Counter==4 ,shapeDigit3,
IIf(Counter==5 ,shapeDigit4,
IIf(Counter==6 ,shapeDigit5,
IIf(Counter==7 ,shapeDigit6,
IIf(Counter==8 ,shapeDigit7,
IIf(Counter==9 ,shapeDigit8,
shapeDigit9)))))))));
PlotShapes(shape*EVENT,colorBlack,0,Graph0,0);
dcounter=1+Cum(Counter==1 AND Ref(Counter,-1)==0);
dshape=IIf(dCounter==1,shapeNone,
IIf(dCounter==2 ,shapeDigit1,
IIf(dCounter==3 ,shapeDigit2,
IIf(dCounter==4 ,shapeDigit3,
IIf(dCounter==5 ,shapeDigit4,
IIf(dCounter==6 ,shapeDigit5,
IIf(dCounter==7 ,shapeDigit6,
IIf(dCounter==8 ,shapeDigit7,
IIf(dCounter==9 ,shapeDigit8,
shapeDigit9)))))))));
PlotShapes(dshape*event,colorBlack,0,Graph0,10);
// The Automatic Analysis part
AddColumn(z-1,"IP",1.0,colorBlack,colorOrange);AddColumn(E34,"E34");
for(IPsAgo=2;IPsAgo<LastValue(z);IPsAgo=IPsAgo+1)
{
//AddColumn(ValueWhen(event,E34,IPsAgo+1),"E34 2 IPsAgo");
Progress=100*(-1+E34/ValueWhen(event,E34,IPsAgo+1));
AddColumn(Progress,WriteIf(IPsAgo==2,"Progress ","")+WriteVal
(IPsAgo,1.0)+" IPs ago",1.2,colorBlack,IIf
(Progress>0,colorBrightGreen,colorRed));}
Filter=event;
More details and gifs tomorrow.
Dimitris Tsokakis
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