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Hello,
One correction. Portfolio equity is definitelly NOT the sum of
individual backtest equities in general case.
This is so because in portfolio mode some trades can be
dropped due to insufficient funds.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman vandenBergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, January 26, 2004 2:16
PM
Subject: RE: [amibroker] Re: Backtest
using equity curve
<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
size=2>("~~~EQUITY",
"C");cash =
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<FONT
size=2>(eq);GraphZOrder=1<FONT
size=2>;Plot(eq,
"Portfolio Equity",
colorBlue, styleLine );<FONT face="Microsoft Sans Serif"
color=#008000 size=2>//Plot(cash, "Cash",
colorGreen, styleArea );Plot<FONT
size=2>(dr, "Drawdown",
colorDarkRed, styleArea );<FONT color=#0000ff
size=2>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 = <FONT color=#0000ff
size=2>LastValue( <FONT color=#0000ff
size=2>ValueWhen( isfirstbar, bar ) );lastbar =
LastValue( <FONT
color=#0000ff size=2>ValueWhen( islastbar, bar ) );al
= LastValue(
ValueWhen( islastbar,
LinRegSlope( eq, Lastbar
- firstbar ) ) );bl = <FONT color=#0000ff
size=2>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>
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