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Nigel,
Are you trying to analyze real-life trades or trades generated by
another software in this exercise? I'm curious...
Thanks.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, Nigel Rowe <rho@xxxx> wrote:
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>
> Actually Dale,
> I did know how, I was just too bloody lazy to do it! But it
always worked on
> multiple tickers, just run it on a watchlist with *at least* all
the tickers
> mentioned in the file. Doesn't matter if there are others, just
slows it
> down a bit.
>
> In fairness it was only intended as an example for other people to
extend
> (like your DateToDateNum function).
>
> Hovever I have:
> * tidied up your latest mod to the code
> * added position sizing
> * put the main body in a function
> * added 'local' declarations, so the functions can be generally
used without
> worrying about clobbering globals
> * added SetOption calls for the required settings
>
> I did, however, restrain myself from 'fixing' the inside-out date
format and
> the hungarian notation in your DateToDateNum function! :-)
>
> The latest version is both below *AND* attached as an attachment,
so that
> those of you who get individual emails don't have to worry about
Yahoo's line
> wrapping etc.
>
> Nigel
>
> On Sun, 25 Jan 2004 13:14, dingo wrote:
> > 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.
> >
> > 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-) ).
> >
> > As to just the "current stock" that was to make it easy to run
the example.
> >
> > It "should" be able to work on multple tickers, etc.
> >
> > Looking for suggestions from anyone!!!
> >
> > d
> >
>
> // Inspired by a request for a 'playback' feature from Don Upton,
> //
> // initial code by Nigel Rowe,
> // with contributions by Ruddy Turnstone Trading, LLC (dingo)
> //
> //
> // Input file is comma seperated text.
> // Fields are:
> // 0. Symbol -- without quotes
> // 1. Long Or Short -- L or S, without quotes
> // 2. Number of shares
> // 3. Entry date -- in mm/dd/yyyy format. ie xmas day
2003 is 12/25/2003
> // 4. Entry price
> // 5. Exit date -- mm/dd/yyyy format, or blank for no
exit
> // 6. Exit Price
>
>
> 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.
> - -------------------------------------------------------------*/
> local nDateNum, sWrk, nPosn, nYr, nMth, nDay;
>
> 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()));
> }
>
>
>
>
> function playback(filename)
> {
> local f, Line, sym;
> local LorS, numShrs;
> local entryDate, entryPrice, exitDate, exitPrice;
> local bar;
>
> global Buy, Sell, BuyPrice, SellPrice;
> global Short, Cover, ShortPrice, CoverPrice;
> global PositionSize;
>
> f = fopen(filename, "r");
> while( f && (! feof(f))) {
> Line = fgets(f);
> sym = StrExtract(Line, 0);
> if( sym == Name() ) {
> LorS = StrExtract(Line, 1);
> numShrs = StrToNum(StrExtract(Line,2));
> entryDate = DateToDateNum(StrExtract(Line,3));
> entryPrice = StrToNum(StrExtract(Line,4));
> exitDate = DateToDateNum(StrExtract(Line,5));
> exitPrice = StrToNum(StrExtract(Line,6));
>
> bar = DateToBar(entryDate);
>
> // The extra (entryPrice/2) is to avoid
rounding errors.
> PositionSize[bar] = (numShrs*entryPrice) +
(entryPrice/2);
>
> if (LorS == "L") {
> Buy[bar] = True;
> BuyPrice[bar] = entryPrice;
> if( exitdate ) {
> bar = DateToBar(exitdate);
> Sell[bar] = True;
> SellPrice[bar] = exitPrice;
> }
> } else {
> Short[bar] = True;
> ShortPrice[bar] = entryPrice;
> if( exitDate ) {
> bar = DateToBar(exitDate);
> Cover[bar] = True;
> CoverPrice[bar] = exitPrice;
> }
> }
> }
> }
> if(f) fclose(f);
> }
>
>
> SetFormulaName("Playback from file");
>
> // Enforce required settings
> SetOption("InitialEquity", 10000000);
> SetOption("MaxOpenPositions", 10000);
> SetOption("MinShares", 1);
> SetOption("AllowPositionShrinking", False);
> SetOption("FuturesMode", False);
> SetTradeDelays(0,0,0,0);
> ApplyStop(stopTypeLoss, stopModeDisable, 0, 0);
> ApplyStop(stopTypeTrailing,stopModeDisable, 0, 0);
> ApplyStop(stopTypeProfit, stopModeDisable, 0, 0);
> ApplyStop(stopTypeNBar, stopModeDisable, 0, 0);
>
>
> // NB!! you will have to manually set Positions and
Periodicity !!!!!
> //
> //The following SetOption are NOT valid, mentioned here for
completeness
> //SetOption("Positions", "Long and Short");
> //Setoption("Periodicity", "Daily");
>
> Buy = False;
> Sell = False;
> BuyPrice = Close;
> SellPrice = Close;
> Short = False;
> Cover = False;
> ShortPrice = Close;
> CoverPrice = Close;
> PositionSize = 0;
>
> // and the next line does all the work!
> playback("playback.txt");
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