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I'm buying/selling the close and there is no delay set.
I am not sure what the problem may be but could be related to the
"valuewhen(sell, Close ) " part of the code
When I add the columns below to the exploration:
AddColumn( valuewhen(Buy, Close ) , "Entry", 1.2 );
AddColumn( valuewhen( Sell, Close ) , "Exit", 1.2 );
And then compare the output of the back test to the output of the
exploration, I notice that 'Exit' price of the exploration is always showing
the previous exit price of the back test.
So if the back test shows:
Ticker date Entry Exit
QQQQ 2/22/2006 41.26 41.15
QQQQ 2/24/2006 41.26 41.10
QQQQ 3/1/2006 41.66 41.45
QQQQ 3/8/2006 40.87 40.52
The Exploration shows this:
Ticker date Entry Exit
QQQQ 2/14/2006 40.26 41.21
QQQQ 2/24/2006 41.26 41.15
QQQQ 3/1/2006 41.66 41.10
QQQQ 3/8/2006 40.87 40.45
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Graham
Sent: Saturday, March 11, 2006 12:26 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Pct Change in Exploration
Ok, perhaps you have a delay built into the backtest you need to match
that in your exploration
eg 1 bar delay
PctChg = ( valuewhen(ref(sell,-1), Close ) - valuewhen(ref(BUY,-1),Close )
)/
> valuewhen(ref(BUY,-1),Close) * 100;
Then are your backtest set to buy and sell at close price, or another
price? If so then you need to use whatever you have set for the
backtest.
You have to match the backtest conditions in your exploration.
--
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 3/11/06, dimension@xxxxxxxxxxxxx <dimension@xxxxxxxxxxxxx> wrote:
> Hmmm, that's what I tried, but when running the exploration vs the back
> test, I am getting different percent returns for a given trade. What's
> interesting is the dates of trades are same between the exploration and
back
> test, but the entry and exits are not.
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf
> Of Graham
> Sent: Friday, March 10, 2006 9:47 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Pct Change in Exploration
>
> here is %change in price between buy and sell
>
> PctChg = ( valuewhen(sell, Close ) - valuewhen(BUY,Close ) )/
> valuewhen(BUY,Close) * 100;
>
>
>
> --
> 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 3/11/06, Ara Kaloustian <ara1@xxxxxxxxxx> wrote:
> >
> >
> > Have you tried to calculate the % change based on referencing the buy
> signal on the sell date?
> >
> > I beleive the Buy/Sell arrays are thesame for backtest and explore
> >
> >
> >
> > ----- Original Message -----
> > From: dimension@xxxxxxxxxxxxx
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, March 10, 2006 12:45 PM
> > Subject: [amibroker] Pct Change in Exploration
> >
> >
> >
> >
> > I have a system that that gives a BUYS based on some indicator readings
> and SELL based on other indicator readings.
> >
> > Works great as a back test. I'd like to convert this to an exploration
> but the difficulty I am having is figuring out how to calculate the
> percentage change between the buy and sell signals. Typically in
> explorations I do something like this to calculate the percentage change
> array based on a Fixed number of bars, N.
> >
> > PctChg = ( Ref( Close, N ) - Close ) / Close * 100;
> >
> >
> >
> > How do I do the samething based on Buy and Sell arrays? Is there away
for
> a given Buy, to get the bar at which the Sell occurs?
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
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> >
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