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Hi Herman, Glenn:
I did some studies on this idea about a year ago with futures data.
For example, as Glenn suggested, "No new entries if a closed trade
crosses below a moving average of the equity curve and re-enter when
a closed trade crosses above the moving average." Interstingly I
found one potential problem to be that you would miss out on the
winning trades that were carrying the equity back over its MA and
would trigger you to start taking your system trades again. Without
equity feedback, those trades add to your bottomline and make a big
difference i found. However, you are always taking the trades that
take you back under the equity curve. This is certainly an
interesting approach and requires further study perhaps with other
data sets.
Tomasz: Thanks a lot for the portfolio backtester..its amazing..look
forward to seeing the pyramiding feature implemented in the future
hopefully
best regards to all
g
using and found that one potential problem with using equity curve
to start/stop your system
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx> wrote:
> Metastock is a few years behind me :-)
>
> Yes it is great fun to create combos; systems build up from
several systems.
> You can use the signals from a slow system to qualify signals from
a fast
> system (like a trend qualifier). Or you can use the Long equity
from slow
> system one as a trend indicator for system number two. You can
even pack a
> large number of systems (perhaps including some duplicate systems
but with
> different parameters) into one piece of code and optimize for the
best
> signal combination from the lot of them. When you separate Long
and Short
> equities they can become trend indicators for the system under
test, it
> uniquely reflects the trend sensitivities for the system, much
better then a
> totally unrelated trend indicator... imho
>
> Unlimited possibilities, aren't you glad you bought AmiBroker :-)
>
> herman
> -----Original Message-----
> From: Glenn [mailto:glennokb@x...]
> Sent: November 12, 2003 3:10 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Backtest using equity curve
>
>
> Hi Herman,
>
> Thanks for your reply. Excellent!
>
> Have you done much testing with your equity curve to change your
> systems parameters?
>
> I've done most of my backtesting with Metastock and Tradesim and
been
> waiting for ages for Tradesim to have this in it.
>
> Ami has been able to do it all along!
>
> Cheers Glenn
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx>
> wrote:
> > You can cascade as many systems as you like, even different
ones,
> and use
> > the Equity from the previous one as a parameter in the next
system.
> I know
> > this can be done with the old backtester and think it should
also
> work in
> > the new PF tester.
> >
> > // system one code here
> > E1 = Equity(1);
> >
> > // System two code here
> > Buy = Buy and (some function of E1);
> > E2 = Equity(1);
> >
> > // System three code here
> > Buy = Buy and (some function of E2);
> > E3 = Equity(1);
> > etc.
> >
> > You essentially redefine the buy signal as often as needed (afl
> executes
> > line after line and never looks back), the last definition
will be
> what
> > determines your results.
> >
> > Herman
> >
> > -----Original Message-----
> > From: Glenn [mailto:glennokb@x...]
> > Sent: November 12, 2003 1:35 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Backtest using equity curve
> >
> >
> > Hi,
> >
> > I'm was wondering if it is possible in AB to incorporate the
> equity curve
> > of a system within a backtest, using it to test the
following:
> >
> > a. No new entries if a closed trade crosses below a moving
> average of
> > the equity curve and re-enter when a closed trade crosses
above
> the
> > moving average. Another idea is to use a percentage on the
equity
> curve
> > instead of a moving average.
> >
> > b. Using the above also test tightening the actual trailing
stop
> on the
> > open trades. ie: if a closed trade crosses below a moving
average
> (or
> > whatever) then instead of using a 3 x ATR stop then use a 2
x ATR
> stop
> > on the open trades.
> >
> > Note that the trades in between the exit and entry need to be
> tracked for
> > the re-entry.
> >
> > If this is possible, do you know how to set it up please?
> >
> > Cheers, Glenn
>
>
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