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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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