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I've seen many clever use of equity
My question in regard to the system below is
Is E1 the equity of just one stock, or the whole portfolio in
backtesting. and if I want to use the equity curve of the whole
portfolio, do i have to use the addtocomposite function instead of
E1=equity(1);
thanks in advance.
/Paul.
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx> wrote:
> You can cascade as many systems as you like, even different ones,
and use
> the Equity from the previous one as a parameter in the next
system. I know
> this can be done with the old backtester and think it should also
work in
> the new PF tester.
>
> // system one code here
> E1 = Equity(1);
>
> // System two code here
> Buy = Buy and (some function of E1);
> E2 = Equity(1);
>
> // System three code here
> Buy = Buy and (some function of E2);
> E3 = Equity(1);
> etc.
>
> You essentially redefine the buy signal as often as needed (afl
executes
> line after line and never looks back), the last definition will be
what
> determines your results.
>
> Herman
>
> -----Original Message-----
> From: Glenn [mailto:glennokb@x...]
> Sent: November 12, 2003 1:35 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Backtest using equity curve
>
>
> Hi,
>
> I'm was wondering if it is possible in AB to incorporate the
equity curve
> of a system within a backtest, using it to test the following:
>
> a. No new entries if a closed trade crosses below a moving
average of
> the equity curve and re-enter when a closed trade crosses above
the
> moving average. Another idea is to use a percentage on the
equity curve
> instead of a moving average.
>
> b. Using the above also test tightening the actual trailing stop
on the
> open trades. ie: if a closed trade crosses below a moving
average (or
> whatever) then instead of using a 3 x ATR stop then use a 2 x
ATR stop
> on the open trades.
>
> Note that the trades in between the exit and entry need to be
tracked for
> the re-entry.
>
> If this is possible, do you know how to set it up please?
>
> Cheers, Glenn
>
>
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