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Beaten to the punch (-;
Michael
-----Original Message-----
From: Al Venosa [mailto:advenosa@xxxxxxxxxxxx]
Sent: Thursday, 1 July 2004 10:47 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] What's wrong with this backtest?
Bruiser:
The 21-day ATR of a stock is usually a small fraction of the closing
price (~1 to 10%, typically). In your sell statement, you are asking to
sell when the ATR crosses above the close. That's hardly ever going to
happen. Suppose the close is 45 and the ATR(21) is 1.35. Do you really
think you'll get a sell signal when the ATR crosses above the close? The
stock would have to plummet all the way down to 1.35 or less, or the
volatility would have to go sky high in order for you ever to get your
sell signal hit. I think you need to re-think your sell condition. Also,
your Cond4 is a bit weird. You are filtering out all stocks whose price
is less than 15 cents per share. If you are trading US stocks, that will
be a rare event unless you are trading penny stocks. Are you?
Al Venosa
----- Original Message -----
From: "bruiserbbq" <bruiserbbq@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 30, 2004 8:29 PM
Subject: [amibroker] What's wrong with this backtest?
> Hi gang, I'm still having trouble with my backtest. It's only giving
> me one day open and the next day close even though the backtest is
> over 1000 days.
>
> Ticker Trade Date Price Ex. date Ex. Price
>
> CTX Long (n-bar) 10/01/2001 2.15 10/01/2001 2.15
>
>
> Here's the code I'm using:
>
> cond1 = ADX(14) > 20;
> cond2 = High > Ref(HHV(H,30),-1);
> cond3 = Volume > 200000;
> cond4 = Close > 0.15;
>
> Filter = cond1 AND cond2 AND Cond3 AND Cond4;
>
> Buy = cond1 AND cond2 AND Cond3 AND Cond4;
>
> Sell=Cross(Ref(ATR(21),-1),C);
>
> PlotShapes( shapeUpArrow * Buy, colorGreen );
> PlotShapes( shapeDownArrow * Sell, colorRed );
>
> AddColumn(Buy,"Buy");
> AddColumn(Sell,"Sell");
> AddColumn(Open,"Open",1.3);
> AddColumn(Close,"Close",1.3);
> AddColumn( ADX(14), "ADX", 1.2 ); AddColumn(Volume,"Volume",1.0);
>
>
>
> Thanks in advance
> Dumb O'l Bruiser
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
>
>
>
>
>
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