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Graham, you're right. The formula is technically accurate in the
sense that it's written correctly, but practically inaccurate because
it only works properly on single-security tests and not portfolio-
level ones.
That's the problem I was whining about before, when I was trying to
create an index that reflected my portfolio equity so that I could
refer to it as a sort-of indicator.
Luck,
S.
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
>
> I may be wrong in this, it is just a result of observations
>
> I think equity() gives the value of current equity for each ticker
as
> though it was backtested alone (like old style backtester) and not
as
> an overall portfolio equity.
> To use the portfolio equity you need to write the position sizing
into
> the advanced portfolio backtester code.
>
> The only part I see that uses portfoilio equity as actual portf
equity is
> positionsize = -10; which assigns 10% of portfolio equity for the
trade size
>
> --
> 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 12/5/05, sebastiandanconia <sebastiandanconia@xxxx> wrote:
> > No idea why your code isn't executed, but I do something similar
like
> > this:
> >
> > Sell=Cross(Ref(HHV(Equity(),100),-1)*.87,Equity());
> >
> >
> > Luck,
> >
> > Sebastian
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, eric paradis
> > <thechemistrybetweenus@xxxx> wrote:
> > >
> > > Can someone explain why this code is never executed?
> > >
> > > The idea is to sell if the equity has follow 13% below
> > > the HHV of the equity for the past 100 days.
> > >
> > > Sell= IIf (Equity() * 1.13 <
> > > HHV(Ref(Equity(),-1),100),1,0);
> > >
> > > Thanks,
> > >
> > > Eric
> > >
>
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