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<FONT face=Arial
color=#0000ff size=2>NOTE: THE CODE BELOW IS NOT WORKING
CORRECTLY!!!
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Ack Nigel!
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>I completely overlooked that comment.
Forest & Trees.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Any idea on how to implement the number of shares?
I've been puttzing around with
<FONT face=Arial
color=#0000ff size=2>the positionsize and that doesn't work. I think I'm
stuck right now.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>I added the number of shares to the end of the table
(element 6).
Here's
the code so far:
<FONT face=Arial color=#0000ff
size=2>
//
Inspired by a request for a 'playback' feature from Don Upton////
Simplified example, long only and the file format is spec'd for ease of//
implimentation.//// Input file is comma seperated text.// Fields
are:// 0.
Symbol -- without
quotes// 1. Long
Or Short -- "L" or "S"//
2. Entry date -- in mm/dd/yyyy
format. ie xmas day 2003 is 12/25/2003//
3. Entry price//
4. Exit date --
mm/dd/yyyy format, or blank for no
exit// 5. Exit
Price// 6. Nbr
Shares
<FONT face=Arial color=#0000ff
size=2>SetOption("InitialEquity", 100000 );
Buy =
False;Sell = False;BuyPrice = Close;SellPrice = Close;Short =
False;Cover = False;ShortPrice = Close;CoverPrice =
Close;
<FONT face=Arial color=#0000ff
size=2>function DateToDateNum(sMMDDYYYY) // date in format
mm/dd/yyyy{
<FONT face=Arial color=#0000ff
size=2>/*-------------------------------------------------------------
This function will accept a string in the MM/DD/YYY format and convert
it into Amibroker's datenum.
nDateNum = 10000 * (year - 1900) + 100 * month + day
It assumes that mm dd and yyyy are reasonable. It does check for the
presence of 2 "/" characters and if not there will return a
0.-------------------------------------------------------------*/
<FONT face=Arial color=#0000ff
size=2> nDateNum = 0; sWrk =
sMMDDYYYY; nPosn = StrFind(sWrk,
"/"); if (nPosn > 0)
{ nMth = StrToNum(StrLeft(sWrk,
nPosn-1)); sWrk = StrRight(sWrk,
StrLen(sWrk) - nPosn); nPosn =
StrFind(sWrk, "/"); if (nPosn >
0) { nDay
= StrToNum(StrLeft(sWrk,
nPosn-1));
sWrk = StrRight(sWrk, StrLen(sWrk) -
nPosn);
nYr =
StrToNum(sWrk);
nDateNum = 10000 * (nYr - 1900) + (100 * nMth) +
nDay; }
} return nDateNum;}
<FONT face=Arial color=#0000ff
size=2>
function DateToBar(dn){ return
LastValue(ValueWhen(DateNum()==dn, BarIndex()));}
Filter = 1;
f = fopen("playback.txt", "r");while( f && (!
feof(f))){ Line = fgets(f); sym
= StrExtract(Line, 0); if( sym == Name() )
{ LorS = StrExtract(Line,
1); sendt =
StrExtract(Line,2); endt =
DateToDateNum(sendt); enpr =
StrExtract(Line,3); sexdt =
StrExtract(Line,4); exdt =
DateToDateNum(sexdt); expr =
StrExtract(Line,5); shrs =
StrExtract(Line,6); bar =
DateToBar(endt); PositionSize =
StrToNum(shrs) * StrToNum(enPr);
if( bar )
{ if (LorS
== "L")
{
Buy[bar] =
True;
BuyPrice[bar] =
StrToNum(enpr);
if( exdt != 0 )
{
bar =
DateToBar(exdt);
Sell[bar] =
True;
SellPrice[bar] =
StrToNum(expr);
}
} else
{
Short[bar] =
True;
ShortPrice[bar] =
StrToNum(enpr);
if( exdt != 0 )
{
bar =
DateToBar(exdt);
Cover[bar] =
True;
CoverPrice[bar] =
StrToNum(expr);
}
} }
}}
if(f) fclose(f);
<FONT
color=#0000ff>Here's a modified
table: ( I added a setoption for intial equity of
100,000)
<SPAN
class=906500502-25012004>
<SPAN
class=906500502-25012004>AUY,L,1/12/2001,3.54,1/17/2001,5.29,28200AUY,L,1/25/2001,4.88,1/29/2001,5.57,30600AUY,L,2/2/2001,5.57,2/21/2001,4.32,30600AUY,S,3/6/2001,3.76,3/7/2001,3.76,35100AUY,S,3/13/2001,5.35,3/14/2001,4.18,24700AUY,S,4/2/2001,3.2,4/10/2001,3.62,50300AUY,S,4/11/2001,3.06,5/3/2001,2.93,45700AUY,L,5/16/2001,3.06,5/18/2001,4.46,47600AUY,L,5/24/2001,4.46,5/25/2001,5.29,47600AUY,L,6/1/2001,4.6,6/5/2001,3.48,54700AUY,S,6/13/2001,3.62,6/21/2001,3.2,52700AUY,S,6/26/2001,3.68,7/12/2001,2.9,57800AUY,S,7/18/2001,3.49,7/19/2001,3.0363,73900AUY,S,7/30/2001,3.34,8/7/2001,2.51,87200AUY,L,8/14/2001,3.34,8/15/2001,2.9058,108900AUY,L,8/17/2001,2.79,8/21/2001,3.1527,113400AUY,S,9/5/2001,3.06,9/7/2001,1.39,116900AUY,S,9/28/2001,2.23,10/2/2001,2.79,247900AUY,L,10/11/2001,3.06,10/12/2001,2.65,135300AUY,L,10/16/2001,2.79,10/19/2001,1.77,128500AUY,L,10/22/2001,2.02,10/30/2001,2.93,112600AUY,L,11/8/2001,2.23,11/14/2001,2.73,148000AUY,L,11/23/2001,1.81,11/29/2001,2.0453,223200AUY,S,12/4/2001,1,12/5/2001,1.62,456600AUY,S,12/26/2001,1.67,12/27/2001,0.98,103900
<FONT face=Arial color=#0000ff
size=2>d
From: Nigel Rowe [mailto:rho@xxxxxxxxxxxxxxx]
Sent: Saturday, January 24, 2004 8:49 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Enhancement Request
- "Playback" Function
-----BEGIN PGP SIGNED MESSAGE-----Hash: SHA1Thanks,
Dingo.The DateToDateNum is a great addition. (Even if the date
format is inside out, bloody americans :-)However, for any that use
the code, please remove the comment // Simplified example, long only
and the file format is spec'd for ease of // implimentation.since
dingo (btw. what is your name?) has removed the restriction, and I HATE
COMMENTS THAT LIE!!!Ok, I shouldn't shout, but from a maintenance or
understanding point of view, having some comments that don't match the code
mean you can't trust *ANY* of them.
NigelOn Sun, 25 Jan 2004 12:27, dingo wrote:> Thanks for the
start Nigel! Nice piece of code.>> I've taken the liberty to
incorporate the date routine I submitted earlier> and also added a short
routine in addition to the long you already had.> Here is the
result:>> // Inspired by a request for a 'playback' feature from
Don Upton and> initial code by Nigel Rowe> //
with enhancements by Ruddy Turnstone Trading, LLC (dingo)>
//> // Simplified example, long only and the file format is spec'd for
ease of> // implimentation.> //> // Input file is comma
seperated text.> // Fields are:> //
0.
Symbol -- without quotes>
// 1. Long Or Short
-- "L" or "S"> //
2. Entry date -- in mm/dd/yyyy
format. ie xmas day 2003 is> 12/25/2003>
// 3. Entry
price> // 4.
Exit date -- mm/dd/yyyy format, or blank for no
exit> // 5.
Exit Price>> Buy = False;> Sell = False;> BuyPrice =
Close;> SellPrice = Close;> Short = False;> Cover =
False;> ShortPrice = Close;> CoverPrice = Close;>>
function DateToDateNum(sMMDDYYYY) // date in format mm/dd/yyyy>
{>>
/*------------------------------------------------------------->
This function will accept a string in the MM/DD/YYY format>
and convert it into Amibroker's datenum.>> nDateNum =
10000 * (year - 1900) + 100 * month + day>> It assumes
that mm dd and yyyy are reasonable. It does check> for the
presence of 2 "/" characters and if not there> will return a
0.>
-------------------------------------------------------------*/>>
nDateNum = 0;> sWrk =
sMMDDYYYY;> nPosn = StrFind(sWrk,
"/");> if (nPosn > 0)
{> nMth =
StrToNum(StrLeft(sWrk,
nPosn-1));> sWrk =
StrRight(sWrk, StrLen(sWrk) -
nPosn);> nPosn =
StrFind(sWrk, "/");> if
(nPosn > 0)
{>
nDay = StrToNum(StrLeft(sWrk,
nPosn-1));>
sWrk = StrRight(sWrk, StrLen(sWrk) -
nPosn);>
nYr =
StrToNum(sWrk);>
nDateNum = 10000 * (nYr - 1900) + (100 * nMth) +
nDay;>
}> }> return
nDateNum;> }>>> function DateToBar(dn)>
{> return LastValue(ValueWhen(DateNum()==dn,
BarIndex()));> }>> Filter = 1;>> f =
fopen("playback.txt", "r");> while( f && (! feof(f)))>
{> Line =
fgets(f);> sym = StrExtract(Line,
0);> if( sym == Name() )
{> LorS =
StrExtract(Line, 1);>
sendt =
StrExtract(Line,2);> endt
= DateToDateNum(sendt);>
enpr =
StrExtract(Line,3);>
sexdt =
StrExtract(Line,4);> exdt
= DateToDateNum(sexdt);>
expr =
StrExtract(Line,5);> bar
= DateToBar(endt);> if(
bar )
{>
if (LorS == "L")
{>
Buy[bar] =
True;>
BuyPrice[bar] =
StrToNum(enpr);>
if( exdt != 0 )
{>
bar =
DateToBar(exdt);>
Sell[bar] =
True;>
SellPrice[bar] =
StrToNum(expr);>
}>
}>
else
{>
Short[bar] =
True;>
ShortPrice[bar] =
StrToNum(enpr);>
if( exdt != 0 )
{>
bar =
DateToBar(exdt);>
Cover[bar] =
True;>
CoverPrice[bar] =
StrToNum(expr);>
}>
}>
}> }> }>> if(f)
fclose(f);>> I've run the formula on the following list and it
seems to be working very> nicely:>>
AUY,L,1/12/2001,3.54,1/17/2001,5.29>
AUY,L,1/25/2001,4.88,1/29/2001,5.57>
AUY,L,2/2/2001,5.57,2/21/2001,4.32>
AUY,S,3/6/2001,3.76,3/7/2001,3.76>
AUY,S,3/13/2001,5.35,3/14/2001,4.18>
AUY,S,4/2/2001,3.2,4/10/2001,3.62>
AUY,S,4/11/2001,3.06,5/3/2001,2.93>
AUY,L,5/16/2001,3.06,5/18/2001,4.46>
AUY,L,5/24/2001,4.46,5/25/2001,5.29>
AUY,L,6/1/2001,4.6,6/5/2001,3.48>
AUY,S,6/13/2001,3.62,6/21/2001,3.2>
AUY,S,6/26/2001,3.68,7/12/2001,2.9>
AUY,S,7/18/2001,3.49,7/19/2001,3.0363>
AUY,S,7/30/2001,3.34,8/7/2001,2.51>
AUY,L,8/14/2001,3.34,8/15/2001,2.9058>
AUY,L,8/17/2001,2.79,8/21/2001,3.1527>
AUY,S,9/5/2001,3.06,9/7/2001,1.39>
AUY,S,9/28/2001,2.23,10/2/2001,2.79>
AUY,L,10/11/2001,3.06,10/12/2001,2.65>
AUY,L,10/16/2001,2.79,10/19/2001,1.77>
AUY,L,10/22/2001,2.02,10/30/2001,2.93>
AUY,L,11/8/2001,2.23,11/14/2001,2.73>
AUY,L,11/23/2001,1.81,11/29/2001,2.0453>
AUY,S,12/4/2001,1,12/5/2001,1.62>
AUY,S,12/26/2001,1.67,12/27/2001,0.98>> To run a test using the
above data:>> Take the trade list above and save it as
"playback.txt" in your Amibroker> folder.>> Load the
formula in to your AA window.>> Make sure your settings are for
long and short> set your From To dates in AA to 1/1/2001 thru
12/31/2001.>> Find the ticker AUY in your and make it the current
chart. (If you don't> have an AUY then you can change all instances of it
in the above trade list> to something you do have just for illustration
purposes).>> Set your Apply To to "Current Stock">>
Click the Backtest button. Click the report button to see how you're
doing> with your portfolio!>> There you have
it.>> d>-----BEGIN PGP SIGNATURE-----Version: GnuPG
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