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Oh, by the way. I have been testing the Volume Flow Indicator
Performance found in the members section of the S & C's. Forgot which
month but it seems to have respectable results. I was applying the
equity curve filter to the system. I would appreciate any feedback on
that. I applied the code to the portfolio's equity curve code. I
tested on the entire Dow Jones securities list. For ease I will just
post the entire code to overwrite the existing portfolio equity.
//Begin
eq = Foreign("~~~EQUITY", "C");
cash = Foreign("~~~EQUITY", "L");
dr = eq - Highest(eq);
bslh = HighestBars(eq);
GraphZOrder=1;
Plot(eq, "Portfolio Equity", colorLightBlue, styleArea );
if( ParamToggle("Show Cash", "No|Yes", 1 ) ) Plot(cash, "Cash",
colorGreen, styleArea );
if( ParamToggle("Show Drawdown", "No|Yes", 1 ) ) Plot(dr, "Drawdown",
colorDarkRed, styleArea );
if( ParamToggle("Show #bars since last high", "No|Yes", 0 ) )
Plot(bslh, "#bars since last high", colorDarkYellow, styleLine |
styleOwnScale, 0, 10 * LastValue( Highest( bslh ) ) );
islastbar = Status("lastbarintest");
isfirstbar = Status("firstbarintest");
bar = BarIndex();
firstbar = LastValue( ValueWhen( isfirstbar, bar ) );
lastbar = LastValue( ValueWhen( islastbar, bar ) );
al = LastValue( ValueWhen( islastbar, LinRegSlope( eq, Lastbar -
firstbar + 1 ) ) );
bl = LastValue( ValueWhen( islastbar, LinRegIntercept( eq, Lastbar -
firstbar + 1 ) ) );
Lr = al * ( BarIndex() - firstbar ) + bl;
Lr = IIf( bar >= firstbar AND bar <= lastbar , Lr, Null );
if( ParamToggle("Show lin. reg.", "No|Yes", 0 ) )Plot( Lr , "Linear
Reg", colorRed, styleThick );
_SECTION_BEGIN("MA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 100, 10, 200, 1, 10 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color",
colorCycle ), ParamStyle("Style") );
_SECTION_END();
perc = Param("percent",.05,.05,.2,.05);
pds=Param("pds",50,10,100,10);
DonchianUpper = HHV(Ref(eq,-1),pds);
DonchianLower = LLV(Ref(eq,-1),pds);
DonchianMiddle = (DonchianUpper+DonchianLower)/2;
Plot(donchianmiddle,"donchian",colorBlue,styleLine);
Buy = eq > MA(P,Periods) AND MA(P,Periods) > donchianmiddle OR eq >
MA(P,Periods) AND eq > donchianmiddle;
Sell = MA(P,Periods) - eq > eq * perc;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
//buy and sell
PlotShapes(IIf(Buy,shapeUpArrow,0),colorBlue, layer = 0);
PlotShapes(IIf(Sell,shapeHollowDownArrow,0),colorYellow, layer = 0);
PlotForeign("$DJII","Dow Jones Industrial",styleCandle|styleOwnScale);
//End
David
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> 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@x...]
> 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@x...]
> > 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.
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> To get support from AmiBroker please send an e-mail directly to
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>
>
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