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<FONT face=Arial color=#0000ff
size=2>A single Backtest of a single stock's equity is Equity(0) or
Equity(1), see Help for more on the 0 and 1
arguments.
<FONT face=Arial color=#0000ff
size=2>If you Backtest a series of stocks the equity() will take on a different
value for each new stock that is processed. These equities can be summed using
an AddToComposite(). This is more or less what happens when you use the
portfolio tester and you can access the final portfolio equities using
Foreign(), like with this code (originating from TJ I think) that shows how to
retrieve the Portfolio Equity. The "~~~EQUITY" composite is created by the
portfolio backtest:
// TJ's Equity Plotseq
= Foreign(<FONT
color=#ff00ff size=2>"~~~EQUITY", <FONT color=#ff00ff
size=2>"C");cash = <FONT color=#0000ff
size=2>Foreign(<FONT color=#ff00ff
size=2>"~~~EQUITY", <FONT color=#ff00ff
size=2>"L");dr = eq - <FONT color=#0000ff
size=2>Highest(eq);bslh = <FONT color=#0000ff
size=2>HighestBars(eq);GraphZOrder=<FONT
color=#ff0000 size=2>1;<FONT color=#0000ff
size=2>Plot(eq, "Portfolio
Equity", colorBlue, styleLine );<FONT
face="Microsoft Sans Serif" color=#008000 size=2>//<FONT color=#008000
size=2>Plot(cash, "Cash", colorGreen, styleArea );<FONT color=#0000ff
size=2>Plot(dr, <FONT color=#ff00ff
size=2>"Drawdown", colorDarkRed, styleArea
);Plot( <FONT
color=#0000ff size=2>Foreign(<FONT color=#ff00ff
size=2>"~~~EQUITY", <FONT color=#ff00ff
size=2>"O"), "Long
only", colorGreen );<FONT color=#0000ff
size=2>Plot( <FONT color=#0000ff
size=2>Foreign(<FONT color=#ff00ff
size=2>"~~~EQUITY", <FONT color=#ff00ff
size=2>"H"), "Short
only", colorRed );<FONT
face="Microsoft Sans Serif" color=#008000 size=2>//<FONT color=#008000
size=2>Plot(bslh, "#bars since last high", colorDarkYellow, styleLine |
styleOwnScale, 0, 10 * LastValue( Highest( bslh ) ) );<FONT
size=2>islastbar = Status<FONT
size=2>("lastbarintest"<FONT
size=2>);isfirstbar = Status<FONT
size=2>("firstbarintest"<FONT
size=2>);bar = BarIndex<FONT
size=2>();firstbar = LastValue<FONT
size=2>( ValueWhen(
isfirstbar, bar ) );lastbar = <FONT color=#0000ff
size=2>LastValue( <FONT color=#0000ff
size=2>ValueWhen( islastbar, bar ) );al = <FONT
color=#0000ff size=2>LastValue( <FONT color=#0000ff
size=2>ValueWhen( islastbar, <FONT color=#0000ff
size=2>LinRegSlope( eq, Lastbar - firstbar ) ) );bl =
LastValue( <FONT
color=#0000ff size=2>ValueWhen( islastbar, <FONT
color=#0000ff size=2>LinRegIntercept( eq, Lastbar - firstbar
) ) );Lr = al * ( BarIndex<FONT
size=2>() - firstbar ) + bl;Lr = <FONT color=#0000ff
size=2>IIf( bar >= firstbar AND bar <= lastbar , Lr,
Null );<FONT face="Microsoft Sans Serif" color=#008000
size=2>//Plot( Lr , "Linear Reg", colorRed,
styleThick );
<FONT face=Tahoma
size=2>-----Original Message-----From: paultsho
[mailto:paultsho@xxxxxxxxxxxx]Sent: January 26, 2004 6:14
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Backtest using equity curveI've seen many clever use
of equityMy 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@xxxx]> 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> >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG
REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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