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Hello,
If you read ~~~EQUITY during portfolio backtest it won't
give you current portfolio equity
because it is not known at this point. This (and possible
workarounds) were discussed in detail on
amibroker-beta list
<A
href="">http://www.egroups.com/messages/amibroker-beta/
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul Ho
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, January 27, 2004 4:04
AM
Subject: RE: [amibroker] Re: Backtest
using equity curve
<SPAN
class=633555202-27012004>thank you I got that one. What I really want to do:
once
my portfolio has dropped below a predefined percentage, say 5%, I would like
to sell the stock with the most drawdown, not sure how that can be
done?
For
starter
<SPAN
class=633555202-27012004>---------------
<SPAN
class=633555202-27012004>buy=cross(macd(),signal());
<SPAN
class=633555202-27012004>sell=cross(signal(),macd());
<SPAN
class=633555202-27012004>buy=exrem(buy,sell);
sell=exrem(sell,buy);
<SPAN
class=633555202-27012004>positionscore=random();
<SPAN
class=633555202-27012004>eq=Foreign<FONT
color=#000000 size=2>(<FONT color=#ff00ff
size=2>"~~~EQUITY", <FONT
color=#ff00ff size=2>"C"<FONT
face="Times New Roman" color=#000000>);dr=(<FONT
face="Times New Roman">eq - <FONT color=#0000ff
size=2>Highest<FONT color=#000000
size=2>(eq))/highest(eq);
sell=iif(dr<-0.05,"choose
the stock with the highest drawdown",sell);
<SPAN
class=633555202-27012004>-------------------------------------------
Firstly, Can I use the
~~equity composite dynamically as it is written and rewritten, (I cant see why
i cant i am just reading it).
Secondly, is it possilbe the
find out which stock in the portfolio has the highest drawdown at the
time?
Thanks for your
help.
/Paul.
<FONT
face=Tahoma size=2>-----Original Message-----From: Tomasz
Janeczko [mailto:amibroker@xxxxxx] Sent: Tuesday, 27 January 2004
2:17 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Backtest using equity curve
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 =
HighestBars<FONT
size=2>(eq);GraphZOrder=<FONT color=#ff0000
size=2>1;<FONT color=#0000ff
size=2>Plot(eq, <FONT color=#ff00ff
size=2>"Portfolio Equity", colorBlue, styleLine
);<FONT face="Microsoft Sans Serif" color=#008000
size=2>//Plot(cash, "Cash", colorGreen,
styleArea );Plot<FONT
size=2>(dr, "Drawdown"<FONT
size=2>, 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 ) )
);islastbar = <FONT color=#0000ff
size=2>Status(<FONT color=#ff00ff
size=2>"lastbarintest");isfirstbar = <FONT
color=#0000ff size=2>Status(<FONT color=#ff00ff
size=2>"firstbarintest");bar = <FONT
color=#0000ff size=2>BarIndex();firstbar =
LastValue(
ValueWhen(
isfirstbar, bar ) );lastbar = <FONT color=#0000ff
size=2>LastValue( <FONT color=#0000ff
size=2>ValueWhen( islastbar, bar ) );al =
LastValue(
ValueWhen(
islastbar, LinRegSlope<FONT
size=2>( 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 * ( <FONT color=#0000ff
size=2>BarIndex() - firstbar ) + bl;Lr =
IIf( bar >=
firstbar AND bar <= lastbar , Lr, Null );<FONT
face="Microsoft Sans Serif" color=#008000 size=2>//<FONT
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> > > > >
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