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I am
afraid this may not work with the portfolio tester... however the portfolio
tester creates a composite 'stock' named ~~~Equity, its OHLC price arrays are
used and can be retrieved as follows:
PortEquity=Foreign("~~~EQUITY", "C");
cash =
Foreign("~~~EQUITY", "L");
LongEquity=Foreign("~~~EQUITY", "O");
ShortEquity=Foreign("~~~EQUITY", "H")
You could first run
your Portfolio tester and then subsequently run another (a non-portfolio, else
you would have to copy the ~~~Equity first since it would overwrite it) system
that accesses the ~~~Equity. Kind of breaking up the process into two
parts.
good luck,
herman.
-----Original Message-----
From: David
[mailto:junk@xxxxxxxxxxxx]
Sent: Friday, April 08, 2005 7:32
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re:
Referencing Equity
Thanks Herman. You got me set in the right
direction. I previously
tried placing a new signal set after the
intermediate equity, as you
term it. But the results did not
change. I tried it again but only
backtesting on one security and
this time it did actually exit at the
right price. However, on a
basket of securities the results weren't
correct. I think I'm
accessing inidividual equity curve with equity()
instead of the portfolio
equity curve. I looked in the help manual
but couldn't find the
expression used to get portfolio equity?
David
--- In
amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx>
wrote:
> You can define one set of signals that are used to calculate
the
equity()
> and then define s second set of signals that may be
partially based
on the
> equity derived from the first set of
signals. You must be sure that the
> equity is based on preceeding
events, so that you don't look ahead.
>
> Signal set 1
>
intermediate equity()
> signal set 2
> final equity
>
> best regards,
> herman
> -----Original
Message-----
> From: David
[mailto:junk@xxxx]
> Sent: Friday, April 08, 2005 3:55
PM
> To: amibroker@xxxxxxxxxxxxxxx
>
Subject: [amibroker] Referencing Equity
>
>
>
> Okay, thought I would ask this a different way. The
equity() function
> is an array that stores the equity curve
for your systems buy, sell
> signals, etc. So equity()
must be listed after the BUY and SELL
> variables. But
how would you reference the equity() function to
> influence
the BUY and SELL signals if everything listed after the
>
equity() function call is ignored? Such as a simple example
like:
>
> Buy = IIf(Month() == 1 AND DayOfWeek() == 1
AND Day() < 10 AND Year()
> ==
1995,1,0);
> Sell = E > 100000;
> E =
Equity(1);
>
> This would just buy on the first week
of the first month of the year
> 1995. But to sell
when your equity balance reaches $100,000 would
> reference
the uninitialized E variable.
>
> Sorry if this is a
stupid question but I just bought Amibroker and my
>
knowledge is still limited. I would appreciate any help.
>
> David
>
>
>
>
>
> Please note that this group is for discussion between
users only.
>
> To get support from AmiBroker please
send an e-mail directly to
> SUPPORT {at}
amibroker.com
>
> For other support material please
check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
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