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Hi Graham,
I'm not sure whether you misunderstood me or not Graham. But I
didn't understand what you wrote, either. ^^_^^
What I want to do is compare my plain vanilla backtest, which would
take every signal in the trading basket every time there is a signal,
with a backtest in which *no* signals are taken unless there is a
certain number of setups.
For example ...
Let's say I can have anywhere from 0 to 50 setups on any given day.
Some of these will signal the next day, and some won't. I can easily
run a backtest that tells me how well or poorly that system performs.
But, now I want to try a type of optimization. What I want to do is
prohibit all buys unless setups = x, and then see what the results
would be. In other words, I can have 0 to 50 setups, but let's say
only 2 symbols setup on any given day. I now want to test only
signals taken when there were only 2 setups, versus signals taken
when there were more setups.
What I'm trying to do is discern whether or not this particular
system would work better, worse, or the same, if I restricted it
based on not taking trades at all when only a few symbols setup on a
given day.
Now you know why I can't write the algorithm. I can't even explain
it very well in English. ^_-
Yuki
Monday, January 30, 2006, 1:17:20 PM, you wrote:
G> Yuki
G> Did I misunderstand your query?
G> I took your mention of symbols as you wanting to count signals for all
G> the symbols on your watchlist for that AFL.
G> --
G> Cheers
G> Graham
G> AB-Write >< Professional AFL Writing Service
G> Yes, I write AFL code to your requirements
G> http://e-wire.net.au/~eb_kavan/ab_write.htm
G> On 1/30/06, Yuki Taga <yukitaga@xxxxxxxxxxxxx> wrote:
>> Hi Rakesh,
>>
>> I think, maybe, you best understand exactly what I am trying to do. I
>> apologize for not being clear enough if others misunderstood me.
>> Happens all the time. ^_-
>>
>> Basically, I have a two-step operation now. 1) run an EOD
>> exploration with a filter statement that selects setups. 2) buy
>> those setups the next day if they pass the requirements in the buy
>> statement.
>>
>> So, I guess I could define buytrigger as simply my exploration
>> filter, then get the count as you have done below, and amend my buy
>> statement to require a certain atcb number.
>>
>> Let me try this, and thanks to all who have responded.
>>
>> Yuki
>>
>> Monday, January 30, 2006, 12:16:54 PM, you wrote:
>>
>> RS> Something on these lines should be what you need if I have understood your
>> RS> conditions correctly:
>>
>>
>> RS> buytrigger=x;
>>
>> RS> atcb=atc(buytrigger);
>>
>> RS> buy=atcb>=n;
>>
>>
>> RS> R
>>
>> RS> On 1/30/06, Yuki Taga <yukitaga@xxxxxxxxxxxxx> wrote:
>> >>
>> >> This is probably startlingly obvious to people who can program, but I
>> >> am profoundly algorithmically challenged. ^_^
>> >>
>> >> I have certain symbols that setup according to certain criteria. I
>> >> want to *count* those symbols on every trading day, and then base
>> >> *any* buy on the *count* being at or above a certain number.
>> >>
>> >> For example, if I had only 20 setups on one day, I might write the
>> >> buy to not allow any trades. But if I had 50 setups I might write to
>> >> buy to take all of the eligible trades that day.
>> >>
>> >> I have no problem with my basic code for this system. But I have no
>> >> idea how to return a count of the eligibles for any day. I suppose I
>> >> need to define a variable that will be the count, and I'm practically
>> >> home free. But as I say, I don't know how to get that value
>> >> returned.
>> >>
>> >> Yuki
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