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Hi Gary,
Thanks for the step-by-step instructions!
Questions:
1) In place of your !NQ-V, !NQ-AV, and !NQ-DV, I plan on using these
Esignal counterparts; do they look OK?:
$TVOLQ NASDAQ TOTAL VOLUME
$UVOLQ NASDAQ UP VOLUME
$DVOLQ NASDAQ DOWN VOLUME
2) Could you clarify, in 5.b., '...you may want to tailor the prices to
open for testing stocks.' (Does that mean you have coded using the Close
somehow and I need to comment it out?)
4) When you say, in 5.f., '...check "add artificial future bar" if you
want.' does that mean i can expect different results if I do check that? If
so, which results might differ.
-john
----- Original Message -----
From: Gary A. Serkhoshian
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, November 18, 2003 12:41 PM
Subject: Re: [amibroker] Instructions on how to use the RUTVOL timing and BB
scoring AFL
I meant "Portfolio Backtest" button in step 6 not optimize.
I need to start making some decent money so I can hire a secretary.
Rgds,
Gary
"Gary A. Serkhoshian" <serkhoshian777@xxxxxxxxx> wrote:
Hi Wayne !
I've copied the AmiBroker list as several others have asked the same
question, and I apologize for not giving more detailed instructions of "how
to" related to using the .afl I posted.
Here goes:
1. Load the afl in AA window.
Starting from Top to Bottom we'll run through the right column features
2. Apply to. Use can select a watchlist of Russell 2K stocks which Fred was
kind enough to post via "use filter", or just run it against "all stocks".
If you run it against all stocks in database, you may want to add at least a
volume filter if not a price filter. Example
PRICEOK = C > 5;
VOLOK = MA(V,21) > 500000;
Then modify position score:
PositionScore = 100 - 100 * (Close - LBBand) / (UBBand - LBBand) * PRICEOK *
VOLOK;//0 when C == Upper Band, 100 when C == Lower Band
3. Range. Select whatever time period you'd like. I run a YTD via "from
to" dates
4. Click "check" to make sure all the afl is okay. It's just a good habit
: )
5.a. Click "Settings" button "General" tab.
Make sure "positions" reads long as this is a long only methodology.
Periodicity should read daily. I have a round lot size of 100 and a percent
commission of 0.5 just to build in some slippage costs.
5.b. Click "Trades" tab. Trade delays are already built in the code of 1
day, but you may want to tailor the prices to open for testing stocks.
5.c. Click "Stops" tab. Make sure all stops are disabled.
5.d. Click "Report" tab and select detailed log so you can see what's going
on with the selection method.
5.e. Click " Portfolio" tab and make sure that the "Pad and align all data
to reference symbol" is checked and that you have the Russell 2K symbol as
the reference since this a general market signal driven by the Russell.
5.f. You can check "add artificial future bar" if you want.
5.g. Click OK or you can save the settings to something other than default
if you want.
6. Click "Portfolio Optimize" button and voila! You have results!
That wasn't too painful, was it?
Hope this helps,
Gary
Wayne Kroutil <wayne100@xxxxxxx> wrote:
Hi Gary--I downloaded you RUTVOL afl but am not able to get results with it.
Would you provide details of how you set it up and run it.? Thanks a
million. I have used AB for a year but have not not done portfolio trading.
My time has been spent on AA and IB.
Wayne Kroutil
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