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RE: [amibroker] Re: Referencing Equity



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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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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:
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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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