Have any of you come
up with a convenient and efficient way of testing a manual or descretionary
system?
This would be one in
which you cannot write Buy/Sell rules but rather need to record dates when you
"visually" would buy and sell and then turn that into code that the Backtester
can process.
I have been working
with doing such a thing and find it to be extremely awkward.
The following works
but of course is a bear to set up.
Buy =
IIf(Name()=="WTM25" AND DateNum()==1030319,1, // Buy Long 1
IIf(Name()=="WTM21" AND DateNum()==1040315,1,0));// Buy Short
1
Sell = IIf(Name()=="WTM25" AND DateNum()==1040315,1, /// Sell Long
1
IIf(Name()=="WTM21" AND DateNum()==1040528,1,0)); // Sell short
1
Buy = Buy + IIf(Name()=="WTM25" AND DateNum()==1040528,1, // Buy Long 2
IIf(Name()=="WTM21" AND DateNum()==1040721,1,0)); // B Short 2
Sell = Sell + IIf(Name()=="WTM25" AND DateNum()==1040721,1, // Sell Long 2
IIf(Name()=="WTM21" AND DateNum()==1040824,1,0)); // Sell S 2
Buy = Buy + IIf(Name()=="WTM25" AND DateNum()==1040824,1, // B Long 3
IIf(Name()=="WTM21" AND DateNum()==1050209,1,0)); // B Short 3
Sell = Sell + IIf(Name()=="WTM25" AND DateNum()==1050209,1, // Sell Long
3
IIf(Name()=="WTM21" AND DateNum()==1050519,1,0)); // Sell Short
3
(keep adding as many trades as
needed)
This works but is
very tedious to set up accurately. If you mess up the date entry, then of
course you get weird trades (no errors but I found it skips trades). Once
done, I did achieve a backtest report with all of the
statistics.
I am investigating
the TJ code for putting descretionary arrows on the screen with a mouse click
(seems eash and will put all trades in the correct order) but I have the added
complication that I wish to trade from a long only position (the WTM25 symbol
above) to a hedged position (the WTM21 symbol above). I have not figured
out how to do that with TJs code (yet).
So my question to
you all is what, if anything, have you come up with and use to backtest
descretionary systems???
This could be a very
useful topic; I hope you share something.
Thanks
much,
Ken
__._,_.___
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
SPONSORED LINKS
__,_._,___
|