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<FONT face=Arial
color=#0000ff size=2>the key to it working is that the bars are only affected
when the date and ticker match.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>He's forcing buy signals on those bars with the
OR. Remember that AB processes the formula for
each symbol.
<FONT face=Arial
color=#0000ff size=2><FONT
face=Arial color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>and other 2 lines load the size and price only on those
bars other wise (the false part of the IIF just leaves what what was in
there.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>And you are correct - it will take a LOT of
code unless you figure out a way to have a CSV file with Ticker,
Date, Buysize, buyprice per line and then have a script routine to use the
Filesystem object to read it in and load up some arrays then do the
processing. That way you wouldn't have to build a lot of code - just the
CSV file.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: Ken Close [mailto:closeks@xxxxxxxx]
Sent: Tuesday, January 20, 2004 7:18 PMTo: AmiBroker
ListSubject: [amibroker] Analyzing Actual Trades with AB
Backtest
In message # 52495, giggollo99 describes a technique of
translating hisbroker's transaction data into AFL statements and then
backtesting toget statistics, etc.He says:One interesting
way I have started using the new PortfolioBacktester is to track my own live
trading performance. Here's how:1. Extract transactions list from my
brokerage's "Transactions" page2. Write a small script to convert
Transactions list into AFLbuy/sell signals...e.g....Buy=Buy OR
(DateNum()==1031118 AND Name()=="URMP");Buysize= IIf(DateNum()==1031118 AND
Name()=="URMP",6000,buysize);BuyPrice=IIf(DateNum()==1031118 AND
Name()=="URMP",0.225,BuyPrice);...4. Copy/Paste the AFL code into AA
window5. Add following line:PositionSize=Buysize*BuyPrice;6.
Run Portfolio BacktesterThis is straining my understanding of the
array and database processingof AB, unfortunately. I can not see how
the code lines above,replicated many times for many trades, can hold and
keep track of all ofthe trade data that would be used.If giggollo99
is reading, or anyone else who understands this, can helpme out, I would
like to try this.To me, it seems one has to use some massive amount of
IF or IIFstatements to separate the different dates; otherwise, in the
abovecode, the Buysize and BuyPrice arrays get replaced for each use of
theassigned variable.SoBuy=Buy OR (DateNum()==1031118 AND
Name()=="URMP");Buysize= IIf(DateNum()==1031118 AND
Name()=="URMP",6000,buysize);BuyPrice=IIf(DateNum()==1031118 AND
Name()=="URMP",0.225,BuyPrice);Buy=Buy OR (DateNum()==1031118 AND
Name()=="MSFT");Buysize= IIf(DateNum()==1031118 AND
Name()=="MSFT",1000,buysize);BuyPrice=IIf(DateNum()==1031118 AND
Name()=="MSFT",26.00,BuyPrice);EtcPositionSize=Buysize*BuyPrice;I
guess the place I am confused is when more than one security ispurchased on
a single day (as shown above). It seems like BuySize (andBuyPrice)
gets overwritten each time (because there can only be onevalue for either of
these on a single bar).Has anyone tried this? Can anyone help me
see the light?KenSend BUG REPORTS to
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