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Herman van den Bergen wrote:
> The easiest way to determine trade profits is to sample the equity
> curve as created by AB. For example:
>
> // your system here....(the following code untested)
> E=Equity(1);
> LongEntryEquity = valuewhen(ref(Buy,-1),E);
> LongExitEquity = valuewhen(ref(Sell,-1),E);
> LongTradeProfit = valuewhen(ref(sell,-1), LongExitEquity-LongEntryEquity);
> Plot(LongTradeProfit,"LTP",1,1);
Note that you will need ExRem(Buy,Sell) and ExRem(Short,Cover)
statements if your technique involves the possibility of repeated entry
signals before the exit, or the ValueWhen() statement will wind up
referring to the most recent signal, rather than the one on which you
entered.
I have plead with Tomasz to give us a BarsSince(Entry) function
intermittently for several years now. ExRem() and ExRemSpan() will do
the job between them. I believe Tomasz was kind enough to provide
ExRemSpan() specifically to solve a problem I had, and I am profoundly
grateful to him; customer service doesn't get any better than that.
However, there are still situations in which the logic of repeated
signals becomes so convoluted that I lose track and waste endless hours
trying to be sure I've accounted for all the variations--and then am
never quite sure that I have succeeded. BarsSince(Entry) would
eliminate that problem.
For an illustration, try implementing the classic Larry Williams
volatility breakout entry and bailout exit. Enter when the price rises
or falls from the Open by a set fraction of the previous day's range.
Exit on the first profitable Open after a delay of one or more bars.
This frequently produces repeated entry signals before the exit, and
often gives a new signal on the exit day; it gets complicated enough to
give you the idea. This can be solved using ExRem() and ExRemSpan(),
but the code would be cleaner with a BarsSince(Entry) function.
Owen Davies
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