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Hi Shane,
FYI I've left a feedback "Suggestion" here:
http://www.amibroker.com/feedback/view_bug.php?bug_id=231
Cheers
--- In amibroker@xxxxxxxxxxxxxxx, "michael_shane_baker" <plusnq@xxx>
wrote:
>
> From Reefcap
>
> Getting there but still some minor problems. Try this version...
>
>
> code:
> --------------------------------------------------------------------
-
> -----------
>
> SetCustomBacktestProc("");if(Status("action") == actionPortfolio){
> bo = GetBacktesterObject(); bo.Backtest(); //NB:backtest
> automatically assigns FIR==[i]=0 and LIR==[i]=barcount-1 SumProfits
> [0] = bo.InitialEquity; dt = DateTime(); //for BIR the equity
> is non-zero; more is better for(i=1; i<BarCount; i++) { //
search
> through closed trade list; get the profit when bar==exitdate
> SumProfits[i] = SumProfits[i-1]; for(trade = bo.GetFirstTrade();
> trade; trade = bo.GetNextTrade()) { ExitDate =
> trade.ExitDateTime; if(ExitDate==dt[i]) { SumProfits[i] =
> SumProfits[i] + trade.GetProfit(); } } //search through open
> trades list; get the profit when i==lastbar (close out open
trades)
> if(i==BarCount-1) { for(trade = bo.getFirstOpenPos(); trade;
> trade = bo.getNextOpenPos()) { SumProfits[i] = SumProfits[i] +
> trade.GetProfit(); } } } //clear composite before each test,
> put in group 253, enable atc in custom portfolio backtest
> AddToComposite(SumProfits,"~ClosedEquity","O",
> atcFlagEnableInPortfolio|atcFlagEnableInBacktest|
atcFlagEnableInExplo
> re|atcFlagDefaults); AddToComposite
> (SumProfits,"~ClosedEquity","C",
> atcFlagEnableInPortfolio|atcFlagEnableInBacktest|
atcFlagEnableInExplo
> re|atcFlagDefaults);} //-end
> actionportfolio/////////////////////////////////////////////////////
/
> /// your trading system here fast = Optimize("fast", 12, 5, 20, 1
);
> slow = Optimize("slow", 26, 10, 25, 1 ); Buy=Cross(MACD
> (fast,slow),Signal(fast,slow)); Sell=Cross(Signal(fast,slow),MACD
> (fast,slow)); BuyPrice=Open;SellPrice=Open;PositionSize=-10;
>
> --------------------------------------------------------------------
-
> -----------
>
> There are unhandled errors and access violations when you first
> generate the composite, it doesn't display data for any symbol.
>
> If you then go to AA settings - portfolio, a popup informs you that
> there isn't a custom backtester formula.
>
> Click OK and see that the custom bactester box is checked. Uncheck
> the box. Re-run the backtest and
> things are OK or will be the run after that. I'm not sure if a
> composite existing over the same test period allows the code to
> function properly. If this is the case then there is more for TJ or
> us to do.
>
> As a tool it is OK ie. it does the job so you can verify that
> positionsize is correct.
>
> --------------------
> Cheers, Shutty.
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Glenn" <glennokb@> wrote:
> >
> > Shane,
> >
> > Might be better to post the code here as you need to register to
> view
> > ReefCap.
> >
> > Cheers
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "michael_shane_baker" <plusnq@>
> > wrote:
> > >
> > > Hi Tomasz,
> > >
> > > My understanding is that Ami calculates its position sizing
from
> > open
> > > equity. Recently on Reefcap.com
> > >
> > > http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?
> > > ubb=get_topic;f=49;t=000139;p=3#000034
> > >
> > > some code was posted to allow the user to plot the closed
equity
> > curve
> > > as well as the open equity curve. Would it be possible to plot
> all
> > > three equity curve types, open, closed and total reduced equity
> > > (closed trades plus open trades at stop) and then allow the
user
> to
> > > reference the appropriate curve value for their position sizing
> eg
> > 1%
> > > of open, closed or total reduced equity curve value for
> > > fixedfractional position sizing).
> > >
> > > Cheers and thanks
> > >
> > > Shane
> > >
> >
>
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