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I wasn't really trying to trade the equity curve, just testing out a
portfolio-level sell-stop. Now that I've got it set up so I can test
it, the sell-stop does look like it degrades performance, at least at
the 5% level.
Just FYI, what I'm working on is trading more-volatile portfolios
(small cap stocks) based on broad-index price and volume signals.
It's definitely worth looking into, IMO.
Luck,
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
>
> sebastian, I tried to use this for your equity. Doesnt
> work out though, youll find it probably impeds your
> system performance.
> I havent been able to find a way to trade my equity
> curve profitably.
>
> Sell= IIf (Equity() * 1.13 <
> HHV(Ref(Equity(),-1),100),1,0);
>
>
> --- sebastiandanconia <sebastiandanconia@xxxx>
> wrote:
>
> > Dan, I appreciate the effort, and if that crossover
> > indicator was all
> > I needed I'm sure it would work as you say.
> > Thank-you, and I'll
> > store away the idea for the future.:)
> >
> > Unfortunately, what I really need is access to the
> > values of the
> > custom index I created, as if it was another ticker
> > symbol. In fact,
> > I want to create a few more custom indices,
> > representing different
> > stock portfolios.
> >
> > In case I've been unclear about what I'm doing and
> > why, I want to be
> > able to run a portfolio-level system test where I
> > refer to the
> > portfolio equity in a "sell" rule, i.e., "sell the
> > entire portfolio
> > if the equity falls by -%5 from its peak." My
> > thinking was that if I
> > could re-create the portfolio as an index OUTSIDE of
> > the system test
> > and refer to it using "FOREIGN" I could avoid coding
> > that was over my
> > head, and circular references.
> >
> >
> > Luck,
> >
> > Sebastian
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark"
> > <dan_public@xxxx> wrote:
> > >
> > > Sebastian,
> > >
> > >
> > >
> > > Hi. A simple function might do the trick. Below
> > is a function
> > that I
> > > created that you can try out. Copy this into a
> > text file and save
> > it as
> > > some good sounding file name. For example,
> > "CrossHHV.afl". Save
> > it to the
> > > "..\AmiBroker\Formulas\Systems\" folder.
> > Contents of CrossHHV.afl
> > (before
> > > using include file) should look like:
> > >
> > >
> > >
> > > function CrossHHV()
> > >
> > > {
> > >
> > > RetValue = Cross(Ref(HHV(C, 20), -1)*.95, C);
> > >
> > >
> > >
> > > return RetValue;
> > >
> > > }
> > >
> > >
> > >
> > > Sell = CrossHHV();
> > >
> > > Filter = Sell;
> > >
> > >
> > >
> > > AddColumn(HHV(C, 20), "HHV(H, 20)", 1.2);
> > >
> > > AddColumn(Ref(HHV(C, 20), -1), "Ref(HHV(H, 20),
> > -1)", 1.2);
> > >
> > > AddColumn(Ref(HHV(C, 20), -1)*.95, "Ref(HHV(H,
> > 20), -1)*.95", 1.2);
> > >
> > >
> > >
> > >
> > >
> > > Open up the AA window, Pick "CrossHHV.afl", and
> > click "Explore".
> > You will
> > > see all symbols that meet that criteria.
> > >
> > >
> > >
> > > Assuming that works, try using an include file.
> > An include file is
> > nothing
> > > more than an AFL file that contains custom
> > functions and procedures
> > that you
> > > create. Typically, you store it in the folder
> > > "..\AmiBroker\Formulas\Include\". To use the
> > functions, you would
> > add to
> > > chart or exploration\backtest code: "#include" +
> > file name. For
> > example, if
> > > your include file was named, "ABFunctions.afl, you
> > would add this
> > to your
> > > charts, explorations, etc:
> > >
> > >
> > >
> > > #include <ABFunctions.afl>;
> > >
> > >
> > >
> > > So, create a file called "ABFunctions.afl" in the
> > > "..\AmiBroker\Formulas\Include\" folder. Now,
> > move ONLY the
> > CrossHHV
> > > function code ONLY to the "ABFunctions.afl" file.
> > The contents of
> > the
> > > "ABFunctions.afl" file should look like:
> > >
> > >
> > >
> > > function CrossHHV()
> > >
> > > {
> > >
> > > RetValue = Cross(Ref(HHV(C, 20), -1)*.95, C);
> > >
> > >
> > >
> > > return RetValue;
> > >
> > > }
> > >
> > >
> > >
> > > Now make sure that the CrossHHV.afl file has been
> > modified. It
> > should look
> > > like this (after using the include file):
> > >
> > > #include <ABFunctions.afl>;
> > >
> > >
> > >
> > > Sell = CrossHHV();
> > >
> > > Filter = Sell;
> > >
> > >
> > >
> > > AddColumn(HHV(C, 20), "HHV(H, 20)", 1.2);
> > >
> > > AddColumn(Ref(HHV(C, 20), -1), "Ref(HHV(H, 20),
> > -1)", 1.2);
> > >
> > > AddColumn(Ref(HHV(C, 20), -1)*.95, "Ref(HHV(H,
> > 20), -1)*.95", 1.2);
> > >
> > >
> > >
> > > Now, when you execute the CrossHHV.afl file, the
> > code in the
> > ABFunctions.afl
> > > will be "included" in the CrossHHV.afl and you can
> > execute the
> > function.
> > > This is a convenient way of reusing code.
> > >
> > >
> > >
> > > I hope this helps.
> > >
> > >
> > >
> > > Regards,
> > >
> > >
> > >
> > > Dan.
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx]
> > On Behalf
> > > Of sebastiandanconia
> > > Sent: Friday, November 25, 2005 2:59 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: How to refer to a custom
> > formula
> === message truncated ===
>
>
>
>
>
> __________________________________
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