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Hi T.O.,
thanks for your answer. However, it doesn't work. If I change your code to:
InitialEquity = GetOption("InitialEquity");
buyExRem = ExRem(Buy, Sell);
sellExRem = ExRem(Sell, Buy);
shortExRem = ExRem(Short, Cover);
coverExRem = ExRem(Cover, Short);
BuyProfit=IIf(Sellexrem,(SellPrice-ValueWhen(Buyexrem,BuyPrice)),0);
ShortProfit=IIf(Coverexrem,(ValueWhen(Shortexrem,ShortPrice)-CoverPrice),0);
Profit=Cum(BuyProfit+ShortProfit);
e=profit+InitialEquity;
Plot( Profit, "Profit", colorBlack, 65537);
Plot(e,"Equity",colorRed,styleArea);
...it should duplicate the Equity curve but it doesn't.
Regards, Thomas
> Hi,
> this is an idea, don´t know if it works...
>
> BuyProfit=IIf(Sell,(SellPrice-ValueWhen(Buy,BuyPrice)),0);
> ShortProfit=IIf(Cover,(ValueWhen(Short,ShortPrice)-CoverPrice),0);
> Profit=Cum(BuyProfit+ShortProfit);
> Plot( Profit, "Profit", colorBlack, 65537);
>
> Regards
> T.O.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx>
>
> wrote:
> > After Herman's remark some time ago that it's much faster to do a
>
> visual
>
> > optimization by running the system as an indicator and plotting the
>
> equity
>
> > curve, I've searched for a convenient way to achieve this.
> >
> > I'm doing it right now by using Daniel LaLiberte's
>
> TradeVisualizer.afl which
>
> > he published in this list (Dan was so kind to send me his newest
>
> version -
>
> > thanks again!) - see the code at the end of this posting. I saved
>
> it in my
>
> > Include folder and add it with #include <TradeVisualizer.afl> to
>
> the
>
> > appropriate system. I added some code to Dan's formula from
>
> Amibroker's
>
> > Portfolio.afl which I modified a bit in order to plot the Equity
>
> curve, Cash
>
> > and Drawdown.
> >
> > So far it works well - but not always! There is a phenomenon that
>
> really
>
> > puzzles me: Yesterday the formula worked well. Today I started
>
> Amibroker and
>
> > doubleclicked a formula (with #include <TradeVisualizer.afl>). The
>
> Equity
>
> > curve was plotted - but only as a horizontal straight line
>
> equivalent to the
>
> > initial equity amount. Changing the variables via the Param slider
>
> didn't
>
> > have any effect. The same was true for other formulas I tried. Then
>
> I
>
> > performed a backtest of a formula - now all of a sudden the equity
>
> curve as
>
> > an indicator plotted as expected! In order to evaluate this I
>
> restarted
>
> > Amibroker but this time everything worked as it should - funny. Do
>
> you have
>
> > any idea what's going on here? If that's called a consistent
>
> behavior of
>
> > Amibroker then I simply don't understand it.
> >
> > A second problem is that the equity curve plotted by
>
> TradeVisualizer is *very*
>
> > similar to the equity curve plotted by the Backtester but not
>
> completely
>
> > identical. The end values are identical, but in some situations the
>
> values
>
> > for equity and drawdown differ a bit from the ones of the
>
> Backtester, in
>
> > other situations they are identical. To give you an impression of
>
> the
>
> > magnitude: If I select 50000 as initial equity, the differences in
>
> the equity
>
> > and drawdown figures are not higher than a few hundred bucks. No
>
> big deal,
>
> > but nevertheless I would like to understand why.
> >
> > Any help would be highly appreciated.
> >
> > Regards, Thomas
> >
> > Here's Dan' code which I modified as mentined above:
> >
> > // TradeVisualizer.afl -- Indicate trades and change in equity.
> > // Daniel LaLiberte liberte@xxx
> >
> > /*
> > Features:
> > Show realized and unrealized net profit
> > Show trade signals.
> > Show trade arrows.
> >
> > Bugs, assumptions, limitations, and side effects:
> > Assumes GraphZOrder == 0 which is the default.
> > Assume only one open position.
> > Assumes Short and Cover are defined - at least do this: Short
>
> = Cover = false
>
> > Assumes order delay is 1. (It should never be 0.)
> > Calls Equity(0, 0), which should not have side effects.
> > This visualizer should not affect your actual signals.
> > The unrealized net profit is moved back one bar, which is
>
> easier to
>
> > understand.
> >
> > Instructions:
> > Save TradeVisualizer.afl in your Include folder.
> > Add the following at the end of your scripts, after your
>
> final Buy, Sell,
>
> > Short, Cover assignments:
> > // #include <TradeVisualizer.afl>
> > (It does not work to add this as an Overlay)
> > Remove your ExRem() calls to see regions of raw Buy, Sell,
>
> Short, Cover
>
> > signals
> >
> > More ideas:
> > Show stops/limits.
> > Deal with order delays - it assumes 1 bar delay.
> > Show pyramid trades, number of shares per trade.
> > Display text of profit/loss.
> > Optionally compute equity across stocks.
> > Parameterize all this.
> >
> > Please send improvements or suggestions.
> > */
> >
> > _SECTION_BEGIN("TradeVisualizer");
> >
> > //========================================
> >
> > backgroundColor = colorWhite;
> >
> > // Colors of signal bars
> > buyColor = colorPaleGreen; // ColorRGB(230, 255, 230); // very pale
> > sellColor = colorRose;
> > shortColor = colorLavender;
> > coverColor = colorSkyblue;
> >
> > // Colors of arrows
> > buyArrowColor = colorLime;
> > sellArrowColor = colorRed;
> > shortArrowColor = colorViolet;
> > coverArrowColor = colorBlue;
> >
> > // Colors of net profit
> > gainColor = colorLime; // unrealized gain relative to last trade
> > lossColor = colorOrange; // unrealized loss relative to last trade
> > netPositiveColor = colorGreen; // overall realized net profit is
>
> positive
>
> > netNegativeColor = colorRed; // overall realized net profit is
>
> negative
>
> > //========================================
> > // Only show stuff if this is running as an indicator
> > GraphXSpace = 5; // adds 5% extra space above AND below.
> >
> > isIndicator = Status("action") == actionIndicator;
> > if (isIndicator)
> > {
> >
> > rawBuy = Buy;
> > rawSell = Sell;
> > rawShort = Short;
> > rawCover = Cover;
> >
> > // Assume only one open position.
> > buyExRem = ExRem(Buy, Sell);
> > sellExRem = ExRem(Sell, Buy);
> > shortExRem = ExRem(Short, Cover);
> > coverExRem = ExRem(Cover, Short);
> >
> > sinceBuy = BarsSince (buyExRem);
> > sincesell = BarsSince(Sellexrem);
> > sinceshort = BarsSince(ShortExRem);
> > sincecover = BarsSince(CoverExRem);
> > incash=sincesell<sincebuy OR sincecover<sinceshort;
> >
> >
> > eq=Equity();
> > dr = eq - Highest(eq);
> > bslh = HighestBars(eq);
> > Cash=ValueWhen( incash, eq);
> > GraphZOrder=1;
> > Plot(eq, "Portfolio Equity", IIf(incash,colorGreen,colorLightBlue),
> > styleArea );
> > //if( ParamToggle("Show Cash", "No|Yes", 1 ) ) Plot(cash, "Cash",
>
> colorGreen,
>
> > styleArea );
> > if( ParamToggle("Show Drawdown", "No|Yes", 1 ) ) Plot
>
> (dr, "Drawdown",
>
> > colorDarkRed, styleArea );
> > if( ParamToggle("Show #bars since last high", "No|Yes", 0 ) )
> > Plot(bslh, "#bars since last high", colorDarkYellow, styleLine |
> > styleOwnScale, 0, 10 * LastValue( Highest( bslh ) ) );
> > islastbar = Status("lastbarintest");
> > isfirstbar = Status("firstbarintest");
> > bar = BarIndex();
> > firstbar = LastValue( ValueWhen( isfirstbar, bar ) );
> > lastbar = LastValue( ValueWhen( islastbar, bar ) );
> > al = LastValue( ValueWhen( islastbar, LinRegSlope( eq, Lastbar -
>
> firstbar +
>
> > 1 ) ) );
> > bl = LastValue( ValueWhen( islastbar, LinRegIntercept( eq, Lastbar -
>
> firstbar
>
> > + 1 ) ) );
> > Lr = al * ( BarIndex() - firstbar ) + bl;
> > Lr = IIf( bar >= firstbar AND bar <= lastbar , Lr, Null );
> > if( ParamToggle("Show lin. reg.", "No|Yes", 0 ) )Plot( Lr , "Linear
>
> Reg",
>
> > colorRed, styleThick );
> > RelPerf=eq/C;
> > if(ParamToggle("Show Rel.Perf Equity", "No|Yes",0)) Plot
>
> (RelPerf, "Rel.Perf.",
>
> > colorBlack,styleThick|styleOwnScale);
> >
> > if( ParamToggle("Show Buy-and-Hold?", "No|Yes", 1 ) )
> > {
> > /* now buy and hold simulation */
> > Short=Cover=0;
> > Buy=Status("firstbarintest");
> > Sell=Status("lastbarintest");
> > SetTradeDelays(0,0,0,0); PositionSize = -100;
> > ApplyStop(0,0,0,0);
> > ApplyStop(1,0,0,0);
> > ApplyStop(2,0,0,0);
> > Plot( Equity( 0, -2 ), "Buy&Hold", -9 );
> > }
> >
> >
> >
> > // Show realized and unrealized gain or loss relative to last buy
>
> or short
>
> > trade.
> >
> >
> > if (ParamToggle("Show net profit", "no|yes", 0))
> > {
> >
> > // Last trade event: buy, sell, short or cover.
> > //lastTrade = buyExRem + shortExRem + sellExRem + coverExRem;
> > closeTrade = sellExRem + coverExRem;
> >
> >
> > // Calculate equity change since initial equity, i.e. the
>
> unrealized net
>
> > profit.
> > // Equity is what we might have at the beginning of each bar,
>
> if we were to
>
> > sell all assets.
> > // Avoid calling Equity(1) which has side effects on trades.
> > netProfit = Nz( Equity(0, 0) - GetOption("InitialEquity"));
> >
> > // Calculate realized net profit at beginning of last close
>
> trade event.
>
> > // Since trade happens at the beginning of the bar after the
>
> signal (i.e. a
>
> > delay of 1),
> > // then we check whether there was a close trade in the
>
> previous bar.
>
> > realP = Nz( ValueWhen( Ref(closeTrade, -1), netProfit) );
> >
> > //realP = Ref(realizedNetProfit, 0);
> >
> >
> > // Move the unrealized profit back to when it was generated
>
> by looking
>
> > forward 1 bar.
> > unrealP = Ref(netProfit, 1); // try 0 to see if you like it
>
> better.
>
> > PlotOHLC( realP , realP , unrealP , unrealP , "net profit",
> > IIf (unrealP > realP , gainColor,
> > IIf (unrealP < realP , lossColor,
> > // no change, so height is zero. Use realized net
>
> profit color instead.
>
> > IIf (realP > 0, netPositiveColor,
>
> netNegativeColor))),
>
> > styleCandle | styleOwnScale ); // Use
>
> styleLeftAxisScale if also showing
>
> > realP above.
> >
> >
> > }
> >
> > //========================================
> > // Show buy, sell, short, or cover signals
> >
> > if (ParamToggle("Show trade signals", "no|yes", 0))
> > {
> >
> >
> > Plot(IIf(buyExRem OR sellExRem, 95, 3), "",
> > IIf(rawBuy, buyColor, IIf(rawSell, sellColor,
>
> backgroundColor)),
>
> > styleHistogram | styleThick | styleOwnScale |
>
> styleNoLabel, 0, 100);
>
> > Plot(IIf(shortExRem OR coverExRem, -95, -3), "",
> > IIf(rawShort, shortColor, IIf(rawCover, coverColor,
>
> backgroundColor)),
>
> > styleHistogram | styleThick | styleOwnScale |
>
> styleNoLabel, -100, 0);
>
> > }
> >
> > //========================================
> > // Add up and down arrows. The vertical position will be your first
>
> plot, if
>
> > any.
> > // Too noisy with many trades.
> >
> > if (ParamToggle("Show trade arrows", "no|yes", 0))
> > {
> > PlotShapes(shapeUpArrow * buyExRem, buyArrowColor);
> > PlotShapes(shapeDownArrow * sellExRem, sellArrowColor);
> > // Bump the short and cover arrows out one if there is a sell
>
> or buy arrow
>
> > PlotShapes(shapeHollowDownArrow * shortExRem,
>
> shortArrowColor, 0,
>
> > IIf(sellExRem, -26, -15));
> > PlotShapes(shapeHollowUpArrow * coverExRem, coverArrowColor,
>
> 0,
>
> > IIf(buyExRem, -26, -15));
> > }
> >
> >
> >
> > /*
> > sinceBuy = BarsSince (buyExRem);
> > sinceSell = BarsSince (sellExRem);
> > sinceShort = BarsSince (shortExRem);
> > sinceCover = BarsSince (coverExRem);
> >
> > inLong = ref(sinceSell, -1) > sinceBuy;
> > inShort = ref(sinceCover, -1) > sinceShort;
> >
> > lastBuyPrice = ref ( BuyPrice, - sinceBuy);
> > lastShortPrice = ref ( ShortPrice, - sinceShort);
> > percentBuy = inLong * 100 * (SellPrice - lastBuyPrice) /
>
> lastBuyPrice;
>
> > percentShort = inShort * 100 * (CoverPrice - lastShortPrice) /
>
> lastShortPrice;
>
> > */
> >
> > } // end if indicator
> >
> > _SECTION_END();
>
> 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
>
> Yahoo! Groups Links
>
>
>
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:
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For other support material please check also:
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