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euity during a portfolio backest can be used in the advanced backtest code
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 11/17/05, sebastiandanconia <sebastiandanconia@xxxxxxxxx> wrote:
> Actually, the formula I gave you doesn't look into the future, but
> takes the highest equity value of the PREVIOUS 60 days, using the Ref
> (),-1 instruction. That still doesn't help, though, because it only
> refers to the equity of a specific holding and not the total
> portfolio.:(
>
> I'm trying to solve this, too, but I'm not sure how to proceed. An
> index could be created (using AddtoComposite), then a "sell" rule
> written based on a -X% loss or +X% gain for that index. But the
> index wouldn't be dynamic, it would have a fixed number of securities
> all the time, which wouldn't work for your situation.
>
> The only other idea I had is to try using EnableRotationalTrading and
> see if I could create a Score formula that would give me what I want.
>
> Sorry I can't be more helpful, but I'll post if I come up with
> something that works.
>
>
> Luck,
>
> Sebastian
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "willem1940" <w.j.a.struyck@xxxx>
> wrote:
> >
> > The condition you use is HHV Equity() in last 60 days. This means
> > you look into the future and indeed does not work for my problem.
> > I aim to stop trading futures any particular day after a certain
> > profit or loss is reached.
> > I tried to work with the equity() function but can't get my fingers
> > under it. Don't know how to use the new equity() position after buy
> > or short or sell or cover in the subsequent buy/short/sell/cover
> > rule.
> >
> > Willemm jan
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
> > <sebastiandanconia@xxxx> wrote:
> > >
> > > Sincere apologies, but I may have told you wrong. I just
> realized
> > > that this doesn't work the way I thought it did, exiting
> > individual
> > > positions instead of the entire portfolio.
> > >
> > > Maybe one of the other posters can tell me/us the flaw?
> > >
> > >
> > > Luck,
> > >
> > > Sebastian
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
> > > <sebastiandanconia@xxxx> wrote:
> > > >
> > > > I use this as part of a "Sell" condition with an EOD portfolio-
> > > level
> > > > stock system. Sells all positions when there's a drawdown of -
> > 5%
> > > from
> > > > the peak equity of the past 60 days.
> > > >
> > > > Cross(Equity(),HHV(Ref(Equity(),60),-1)*.95)
> > > >
> > > >
> > > > Luck,
> > > >
> > > > Sebastian
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "willem1940"
> > <w.j.a.struyck@xxxx>
> > > > wrote:
> > > > >
> > > > > I would like to stop trading futures every day once a certain
> > > > > cumulative loss or profit has been reached for that day.
> > > > > I don't seem to be able to write the lines in my AFL that
> > would
> > > take
> > > > > care of this condition.
> > > > > Can anyone point me in the right direction?
> > > > > Thanks.
> > > > >
> > > > > Willem jan
> > > > >
> > > >
> > >
> >
>
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