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Hi
Tomasz,
I have
tried to get onto the beta group since your mail, so far it is still pending.
Do you
know what I can do to get a response from the moderator.
I am
keen to find out what I can do there.
Paul
Ho
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"Your Net Security
Partner"
<FONT
face=Tahoma size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx] Sent: Tuesday, 27 January 2004 5:42
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Backtest using equity curve
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:
<SPAN
class=633555202-27012004>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?
<SPAN
class=633555202-27012004>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);
<SPAN
class=633555202-27012004>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"<FONT
size=2>, "C"<FONT
size=2>);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<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 );<FONT color=#0000ff
size=2>Plot(dr, <FONT color=#ff00ff
size=2>"Drawdown", colorDarkRed, styleArea
);Plot(
Foreign<FONT
size=2>("~~~EQUITY"<FONT
size=2>, "O"),
"Long only",
colorGreen );Plot<FONT
size=2>( Foreign<FONT
size=2>("~~~EQUITY"<FONT
size=2>, "H"),
"Short only",
colorRed );<FONT face="Microsoft Sans Serif" 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
= Status<FONT
size=2>("firstbarintest"<FONT
size=2>);bar = <FONT color=#0000ff
size=2>BarIndex();firstbar = <FONT
color=#0000ff size=2>LastValue( <FONT
color=#0000ff size=2>ValueWhen( isfirstbar, bar )
);lastbar = LastValue<FONT
size=2>( ValueWhen<FONT
size=2>( 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 = <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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