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<FONT face=Arial color=#0000ff
size=2>Remember that this works reasonably well for very short trades but not so
good for long duration trades, because they would fall more often in two
periods. You can OR the exits with a change of period to terminate trades at the
end of each period.
<FONT face=Arial color=#0000ff
size=2>
If you
want to get fancy you can also start trades in progress when starting a new
period...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx]Sent: Tuesday, April 13, 2004 9:07
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Coding challenge - SubtotalsImportance: High
<FONT face=Arial
color=#0000ff size=2>Now why didn't I think of that? (don't
answer).
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Thanks h! I'll try that
out.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: Herman van den Bergen
[mailto:psytek@xxxxxxxx] Sent: Tuesday, April 13, 2004 8:57
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Coding challenge - Subtotals
<FONT face=Arial color=#0000ff
size=2>You can use Optimize() to optimize by year, month and even day. You
will get all the stats for each period. <SPAN
class=140424400-14042004>For years you
would add something like this to the end of your code:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>YearNum =
Optimize(<FONT
color=#ff00ff>"YearNum",<FONT
color=#ff00ff>2004,<FONT
color=#ff00ff>2002,<FONT
color=#ff00ff>2004,<FONT
color=#ff00ff>1<FONT
face="Courier New">); MonthNum = <FONT
color=#0000ff>Optimize(<FONT
color=#ff00ff>"MonthNum",<FONT
color=#ff00ff>12,<FONT
color=#ff00ff>1,<FONT
color=#ff00ff>12,<FONT
color=#ff00ff>1<FONT
face="Courier New">); <FONT
color=#000000>Buy = <FONT
color=#000000>Buy <FONT
color=#000000>AND YearNum == <FONT
color=#0000ff>Year() <FONT
color=#000000>AND <FONT
color=#0000ff>Month<FONT
face="Courier New">() == MonthNum; <FONT
color=#000000>Short = <FONT
color=#000000>Short <FONT
color=#000000>AND YearNum == <FONT
color=#0000ff>Year() <FONT
color=#000000>AND <FONT
color=#0000ff>Month<FONT
face="Courier New" size=3>() == MonthNum;
<FONT face=Arial color=#0000ff
size=2><FONT
color=#0000ff>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx]Sent: Tuesday, April 13, 2004 8:05
PMTo: _amibroker_yahooSubject: [amibroker] Coding
challenge - SubtotalsI typically run back tests
for multiple years but when I want to get annual,quarterly and monthly
totals it means that I have to run an separate backtest for each sub
period's totals.Does anyone have a method or suggestion to get the
kinds of totals producedby the back tester (Sharpe Ration, CAR, etc)
on a monthly, quarterly, annualbasis while running a single multi-year
back test?TIAdSend BUG REPORTS to
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