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Graham,
Could you please elaborate a little further on the line below in
particular what you means with "advanced backtest method".
For proper understanding I look at one future (DAX) and hold no
overnight positions.
Willem Jan
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
>
> 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@xxxx> 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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