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Pal,
This was previously posted.
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<FONT face=Arial color=#0000ff
size=2> See attached.
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Mr
Valley
<FONT face=Tahoma
size=2>-----Original Message-----From: palsanand
[mailto:palsanand@xxxxxxxxx]Sent: Friday, December 05, 2003 10:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Expectation Analysis Code neededI'm able to copy the
code using Edit -> Select All. I was just wondering if anybody
has any additional code/Interpretation/modifications/improvements to this
expectation analysis code...TIArgds, Pal--- In
amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:>
Hi All,> > I'm tryin to do an Expectation Analysis describe by
> > <A
href="">http://www.amibroker.net/3rdparty/IntroToAtc.pdf
pages 29-32> > I'm not able to copy and paste the code from this
pdf file. I was > wondering if anybody has this code. I'm
trying to add to the > following code:> > /* your trading
system functions here */> ...> /*Buy and Sell rules here
*/> > /*Buy = Cover = ...;> > Sell = Short = ...;
*/> > Buy = ExRem(Buy,Sell);> > Sell =
ExRem(Sell,Buy);> > Short = ExRem(Short,Cover);> >
Cover = ExRem(Cover,Short);> > AddToComposite( Equity(),
"~CompositeEquity", "X" ); //Filter for > scan set to a list, e.g.,
list0> > shape = Buy * shapeUpArrow + Sell *
shapeDownArrow;> PlotShapes(IIf> (Buy,shapeUpArrow,shapeNone)
,colorBrightGreen,0,Graph0,-15); >
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,Graph0,-15);
> PlotGrid(1);> PlotGrid(-1); > GraphXSpace=10; >
> ApplyStop(stopTypeTrailing, stopModePoint, 3*ATR(14), True, >
True ); /* Chandelier Exit - Actually I use 3BSMA stop but cant use >
this function for that */> > Equity(1); // THIS EVALUATES
STOPS> Title = Name() + ": " + Date() + " Open " + WriteVal>
(O,1.4) + " Hi " +WriteVal(H,1.4) + " Lo "> +WriteVal(L,1.4) + "
Close " + WriteVal(C,1.4);> > /* the following line uses Flip
function to get "1" after the buy > signal and reset it back to "0"
after sell appears. */> > in_trade = Flip( Buy, Sell );>
> AddToComposite( in_trade, "~OpenPosCount", "V" );> > /*
We use "~OpenPosCount" artificial ticker to store the results. > Again
we should run just Scan of the formula AND the "~OpenPosCount" >
ticker would become available. > > Use */ > >
Graph0 = Foreign( "~OpenPosCount", "V"); > > /* in Indicator
Builder after running the back-test to see the chart > of the
number of Open positions of your system. */> > e =
Equity(1); // THIS EVALUATES STOPS> > tradeend1 =
Sell;> tradeend2 = Cover;> > profit1 = e - ValueWhen(
Buy, e );> profit2 = e - ValueWhen( Short, e);> >
endprofit1 = IIf( tradeend1 , profit1, 0 );> endprofit2 = IIf(
tradeend2 , profit2, 0 );> > LosingLongTrades = LastValue( Cum(
endprofit1 < 0 ) );> LosingShortTrades = LastValue( Cum( endprofit2
< 0 ) );> WiningLongTrades = LastValue( Cum( endprofit1 > 0 )
);> WiningShortTrades = LastValue( Cum( endprofit2 > 0 ) );>
TotalLongTrades = LastValue( Cum( tradeend1 ) );> TotalShortTrades =
LastValue( Cum( tradeend2 ) );> > > AddColumn(
LosingLongTrades, "Losing Long trades", 1 );> AddColumn(
WiningLongTrades, "Wining Long trades", 1 );> AddColumn(
TotalLongTrades, "Total Long trades", 1 );> AddColumn(
LosingShortTrades, "Losing Short trades", 1 );> AddColumn(
WiningShortTrades, "Wining Short trades", 1 );> AddColumn(
TotalShortTrades, "Total Short trades", 1 );> > > Filter
= Status("lastbarinrange");> > // now we will count the number
of > // count trades winning in given $ ranges> NumRanges = 25;
// number of ranges to generate> RangeSize = 100; // controls $ size of
the range> > for( i = 0; i < NumRanges; i++ )>
{> rangestart = i * RangeSize;> rangeend
= (i+1)*RangeSize;> if( i == NumRanges - 1 ) rangeend =
999999;> AddColumn( > LastValue( 100*
Cum( endprofit1 > rangestart AND endprofit1 < > rangeend )
/TotalLongTrades ),> "% with profit " + rangestart + ".." +
rangeend );> AddColumn( > LastValue( 100* Cum(
endprofit2 > rangestart AND endprofit2 < > rangeend )
/TotalShortTrades ),> "% with profit " + rangestart + ".."
+ rangeend );> > }> > for( i = 0; i <
NumRanges; i++ )> {> rangestart = (-i - 1 ) *
RangeSize;> rangeend = -i*RangeSize;>
if( i == NumRanges - 1 ) rangestart = -999999;> AddColumn(
> LastValue( 100* Cum( endprofit1 > rangestart AND
endprofit1 < > rangeend ) /TotalLongTrades ), > "
% with loss " + rangeend + ".." + rangestart );> AddColumn(
> LastValue( 100* Cum( endprofit2 > rangestart AND
endprofit2 < > rangeend ) /TotalShortTrades ), >
" % with loss " + rangeend + ".." + rangestart );> > }>
> TIA> rgds, palSend
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Expectation.afl
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