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<FONT face=Arial
color=#0000ff size=2>I know you asked for it a while back - a number of people
have asked for it over the last several years. I just saw what Nigel had done
and it piqued my curiosity.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>The position size is left as and exercise for the
student. (Until I or someone else can figure out how to implement
it. I strongly suspect that's why Nigel decided not to finish it.
8-) ).
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>As to just the "current stock" that was to make it easy to
run the example.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>It "should" be able to work on multple tickers, etc.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Looking for suggestions from
anyone!!!
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: Ken Close [mailto:closeks@xxxxxxxx]
Sent: Saturday, January 24, 2004 9:01 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Enhancement Request
- "Playback" Function
<SPAN
>Dale: this code
looks like something I want as the idea of analyzing ones real life portfolio
trades was something I asked about a short while back.
<SPAN
>
<SPAN
>May I ask what this
analysis will tell me (I have not tried it yet), when there are no “Shares”
entered anywhere. It seems to bring in the symbols and the dates but no
position sizes. Ooops, I also see that it applied just to the “Current
Stock”, so we are not analyzing one’s past portfolio but just the stocks or
funds one may have bought in the past, and those one at a time.
Correct?
<SPAN
>
<SPAN
>What does it take to
expand this to include many stocks/funds and their positions
sizes?
<SPAN
>
<SPAN
>Ken
<SPAN
>
<SPAN
>-----Original
Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx] <SPAN
>Sent: Saturday, January 24, 2004 8:28
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: RE: [amibroker] Enhancement
Request - "Playback" Function
<SPAN
>
<SPAN
>Thanks for the start
Nigel! Nice piece of code.
<SPAN
>
<SPAN
>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:
<SPAN
>
<SPAN
>// Inspired by a
request for a 'playback' feature from Don Upton and initial code by Nigel Rowe
<SPAN
>//
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
<SPAN
>
<SPAN
>Buy = False;Sell =
False;BuyPrice = Close;SellPrice = Close;Short = False;Cover =
False;ShortPrice = Close;CoverPrice = Close;
<SPAN
>
<SPAN
>function
DateToDateNum(sMMDDYYYY) // date in format mm/dd/yyyy{
<SPAN
>
<SPAN
>/*-------------------------------------------------------------
This function will accept a string in the MM/DD/YYY format and convert
it into Amibroker's datenum.
<SPAN
>
<SPAN
> nDateNum = 10000
* (year - 1900) + 100 * month + day
<SPAN
>
<SPAN
> 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.-------------------------------------------------------------*/
<SPAN
>
<SPAN
>
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;}
<SPAN
>
<SPAN
>function
DateToBar(dn){ return
LastValue(ValueWhen(DateNum()==dn, BarIndex()));}
<SPAN
>
<SPAN
>Filter =
1;
<SPAN
>
<SPAN
>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);
}
} }
}}
<SPAN
>
<SPAN
>if(f)
fclose(f);
<SPAN
>I've run the formula on the following list and it seems to be working very nicely:
<SPAN
>
<SPAN
>AUY,L,1/12/2001,3.54,1/17/2001,5.29AUY,L,1/25/2001,4.88,1/29/2001,5.57AUY,L,2/2/2001,5.57,2/21/2001,4.32AUY,S,3/6/2001,3.76,3/7/2001,3.76AUY,S,3/13/2001,5.35,3/14/2001,4.18AUY,S,4/2/2001,3.2,4/10/2001,3.62AUY,S,4/11/2001,3.06,5/3/2001,2.93AUY,L,5/16/2001,3.06,5/18/2001,4.46AUY,L,5/24/2001,4.46,5/25/2001,5.29AUY,L,6/1/2001,4.6,6/5/2001,3.48AUY,S,6/13/2001,3.62,6/21/2001,3.2AUY,S,6/26/2001,3.68,7/12/2001,2.9AUY,S,7/18/2001,3.49,7/19/2001,3.0363AUY,S,7/30/2001,3.34,8/7/2001,2.51AUY,L,8/14/2001,3.34,8/15/2001,2.9058AUY,L,8/17/2001,2.79,8/21/2001,3.1527AUY,S,9/5/2001,3.06,9/7/2001,1.39AUY,S,9/28/2001,2.23,10/2/2001,2.79AUY,L,10/11/2001,3.06,10/12/2001,2.65AUY,L,10/16/2001,2.79,10/19/2001,1.77AUY,L,10/22/2001,2.02,10/30/2001,2.93AUY,L,11/8/2001,2.23,11/14/2001,2.73AUY,L,11/23/2001,1.81,11/29/2001,2.0453AUY,S,12/4/2001,1,12/5/2001,1.62AUY,S,12/26/2001,1.67,12/27/2001,0.98
<SPAN
>To run a test using the
above data:
<SPAN
>
<SPAN
>Take the trade list
above and save it as "playback.txt" in your Amibroker
folder.
<SPAN
>
<SPAN
>Load the formula in to
your AA window.
<SPAN
>
<SPAN
>Make sure your settings
are for long and short
<SPAN
>set your From To
dates in AA to 1/1/2001 thru 12/31/2001.
<SPAN
>
<SPAN
>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).
<SPAN
>
<SPAN
>Set your Apply To to
"Current Stock"
<SPAN
>
<SPAN
>Click the Backtest
button. Click the report button to see how you're doing with
your portfolio!
<SPAN
>
<SPAN
>There you have
it.
<SPAN
>
<SPAN
>d
<SPAN
>
<FONT
face="Times New Roman" size=3>
<SPAN
>From:<FONT
face=Tahoma size=2> Nigel
Rowe [mailto:rho@xxxxxxxxxxxxxxx] <SPAN
>Sent: Friday, January 23, 2004 9:26
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Enhancement
Request - "Playback" Function
<FONT face="Courier New"
size=2>-----BEGIN PGP SIGNED
MESSAGE-----<SPAN
><FONT
face="Courier New">Hash: SHA1<FONT
face="Courier New">Greetings Don,<FONT
face="Courier New"> I was in the mood for a bit of
a challenge, so....// Inspired
by a request for a 'playback' feature from Don Upton<FONT
face="Courier New">// // Simplified
example, long only and the file format is spec'd for ease of
//
implimentation.<FONT
face="Courier New">//// Input file
is comma seperated text. // Fields
are:<FONT
face="Courier New">//
0. Symbol
-- without quotes<FONT
face="Courier New">//
1. Entry date -- in
datenum() format. ie xmas day 2003 is 1031225<FONT
face="Courier New">//
2. Entry price <FONT
face="Courier New">//
3. Exit date --
datenum() format, or blank for no exit<FONT
face="Courier New">//
4. Exit Price<FONT
face="Courier New">Buy = False;Sell
= False;BuyPrice =
Close;SellPrice =
Close;function
DateToBar(dn)<FONT
face="Courier New">{<FONT
face="Courier New"> return
LastValue(ValueWhen(DateNum()==dn, BarIndex()));<FONT
face="Courier New">}f =
fopen("playback.txt", "r");while( f
&& (! feof(f)) ) {<FONT
face="Courier New"> Line =
fgets(f);<FONT
face="Courier New"> sym = StrExtract(Line,
0);
if( sym == Name() ) {<FONT
face="Courier New">
endt = StrExtract(Line,1);<FONT
face="Courier New">
enpr = StrExtract(Line,2);<FONT
face="Courier New">
exdt = StrExtract(Line,3);<FONT
face="Courier New">
expr = StrExtract(Line,4);<FONT
face="Courier New">
bar = DateToBar(StrToNum(endt));<FONT
face="Courier New">
if( bar ) {<FONT
face="Courier New">
Buy[bar] = True;<FONT
face="Courier New">
BuyPrice[bar] =
StrToNum(enpr);<FONT
face="Courier New">
if( exdt != "" ) {<FONT
face="Courier New">
bar =
DateToBar(StrToNum(exdt));<FONT
face="Courier New">
Sell[bar] =
True;
SellPrice[bar] =
StrToNum(expr);<FONT
face="Courier New">
}<FONT
face="Courier New">
}
}}<FONT
face="Courier New">if(f) fclose(f);<FONT
face="Courier New">I'll leave you to modify it to get exactly what you
want.<FONT
face="Courier New">
NigelOn Fri, 23 Jan 2004
22:51, Don Upton wrote:> I'd
like to suggest an enhancement to Amibroker. Judging from
recent> messages, I believe
others might be interested, too. If so, maybe we
can> get Tomasz in the
discussion.<FONT
face="Courier New">>> I would
like to see another function (like Scan and Backtest) in AA.
I'll> call it Playback for
now. Playback would essentially be a Backtest,
but> instead of invoking an AFL
script, it would prompt for the name of a<FONT
face="Courier New">> comma-delimited file in which each record would
represent a trade. Each>
record might have the following fields:<FONT
face="Courier New">>> 1)
Ticker Symbol> 2) Type Trade
(Long or Short)> 3) Entry
Date> 4) Exit Date - null if
trade still open> 5)
Shares> 6) Position Entry Price
(Buy or Short price, depending on type trade) -<FONT
face="Courier New">> Optional<FONT
face="Courier New">> 7) Position Exit Price (Sell or Cover price, depending
on type trade; null> if trade
still open) - Optional> 8)
Commission on Entry - Optional>
9) Commission on Exit - Optional<FONT
face="Courier New">>> The
optional fields above would default to the values in AA/Settings if
not> specified. The date
range used for report statistics could be calculated<FONT
face="Courier New">> based on the earliest trade open and last trade close
(or current date if> there are
open trades). (Or should the date range be based on the
setting> in the AA window, as
Backtest currently works ?)<FONT
face="Courier New">>> A
Playback function would make it much easier to do "manual"
-type> backtesting, as well as
track actual trades...<FONT
face="Courier New">>> ...Don
Upton><FONT
face="Courier New">-----BEGIN PGP SIGNATURE-----<FONT
face="Courier New">Version: GnuPG v1.2.2
(GNU/Linux)<FONT
face="Courier New">iD8DBQFAEdfYBbmcM2pfckkRAh1DAJ0SP/ONsODgnQ+998JuzXYJIITljQCg721n<FONT
face="Courier New">n1qdRu7Alu4RXOzsbeY2Vqo=<FONT
face="Courier New">=GaYd-----END
PGP SIGNATURE-----<FONT
face="Courier New" size=2>Send BUG REPORTS to
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size=3><FONT
face="Courier New" size=2>Send BUG REPORTS to
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