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Hey Hammer,
Why not stick it all here for prosperity? :)
http://www.amibroker.com/library/addformula.php
Cheers, Glenn
--- In amibroker@xxxxxxxxxxxxxxx, "oceanchimes" <oceanchimes@xxx>
wrote:
>
> Hello Alistair,
> You are correct as it is designed to work as an include file. The
> following code shows how to use it and I have also provided the
> include file as well. The filename is "TradeSimFn.afl" and it is
saved
> to the AB include directory set in preferences.
>
> The afl can be run as scan / exploration. Only trades between the AA
> range dates are written to the Test.trt file.
>
> Please be specific with your description and difficulties. It can be
> frustrating but information is needed to solve the problem.
>
>
> This is the line that writes to the file
>
> fputs(sTicker + sEntryDate + sExitDate +
> sEntryPrice + sExitPrice +
> sBuyHiLo + sSellHiLo +
> sVolume +"\n", fh );
>
> And these are the translations from AB to Tradesim to construct the
> above code. Some are concatonate, ie. sSellHiLo==(at exit High+low)
>
> TradeSim AmiBroker Format Comment/description
>
______________________________________________________________________
> ticker Name() string
> Type "L" string (L)ong trades
only
> Entry Date YYYYMMDD string Buy Date
> Exit Date YYYYMMDD string Sell Date
> InitialStop InitialStop 7.4 MUST be calculated
> BuyPrice BuyPrice 7.4
> SellPrice SellPrice 7.4
> EntryLowPrice Low 7.4 optional - Low at Buy
Date
> EntryHighPrice High 7.4 optional - High at
Buy Date
> ExitLowPrice Low 7.4 optional - Low at
Sell Date
> ExitHighPrice High 7.4 optional - High at
Sell Date
> TradedSize Volume 3.0 optional - Volume at Buy Date
>
>
> So, referring to TradeSim format in the include file, I have coded a
> sample AFL system to run it, as an example. Not tried but straight
> forward. Be Careful of the line wrap as I could not remove all of
them.
> regards
> franc
>
> ////////////////////////////////////////////////////////////////////
//
> //Sample system
> ////////////////////////////////////////////////////////////////////
//
> global TradedVol, InitialStop;
>
> Buy = Cross( EMA(C,11), EMA(C,51) );
> Sell = Cross( CCI(51), CCI(14) );
>
> Capital = 100000;
> SetOption("InitialEquity",Capital);
> SetTradeDelays(1,1,0,0);
> SetPositionSize(-10, spsPercentOfEquity);
> BuyPrice = Open;
> SellPrice = Open;
>
> InitalStop = Ref( C-2*ATR(10), -1);
>
> capital = 100000;
> SetOption("InitialEquity", Capital);
> SetPositionSize(-10, Capital);
>
> TradedVol = int( (Capital/10)/BuyPrice ); //number of shares bought
>
> //identify the file in the AB include directory
> #include<TradeSimFn.afl>
>
> //call the TradeSim function, sort the trades and
> //output to c:\Temp\ABtoMS.trt
> //the shift (2nd parameter is to align with buy/sell tradedelays)
> nshift = 1;
> ABtoMS("", nshift);
>
> /*that's all (as far as I remember)
> Note: the include file was written for an earlier TradeSim version.
> I believe that TradeSim now also allows shorts.
> This may mean modifying the ABtoMS function.
> Refer to the TradeSim documentation for the text file input format.
> */
>
>
>
> ////////////////////////////////////////////////////////////////////
//
> //include file saved to AB include directory - "TradeSimFn.afl"
> ////////////////////////////////////////////////////////////////////
/////////////////////////////////
>
> // Procedure ABtoMS( sFileName, Shift ): TextFile
>
> ////////////////////////////////////////////////////////////////////
/////////////////////////////////
> // Function ABtoMS()
> // writes a Tradesim compatible Trade Database textfile
> // from a Scan/Exploration
> // The completed buy/sell trades are within the AA Range setting
> // Tradesim cannot accept incomplete trades;
> // trades are closed at AA ToRange setting or lastBar.
>
> // NOTES:
> // 1) output writen to msFileName = "C:\\Temp\\ABtoMS.trt"
> // 2) The output is appended to an existing file
> // OR creates a new file.
> // 3) InitialStop MUST BE CALCULATED (global variable)
> // 4) AA Range read, only quotations between the range are written
> // to the file
> // 5) Open Trades are completed using the ToRange Date values
> // 6) Amibroker outputs buy/sell signals.
> // Need delay for actual trade
>
> /*
> --------------------------------------------------------------------
------------------------------
> TRADESIM FIELD AMIBROKER FORMAT COMMENT
>
> --------------------------------------------------------------------
------------------------------
> ticker Name() string
> Type "L" string (L)ong trades
only
> Entry Date YYYYMMDD string Buy Date
> Exit Date YYYYMMDD string Sell Date
> InitialStop InitialStop 7.4 MUST be calculated
> BuyPrice BuyPrice 7.4
> SellPrice SellPrice 7.4
> EntryLowPrice Low 7.4 optional - Low at Buy
Date
> EntryHighPrice High 7.4 optional - High at
Buy Date
> ExitLowPrice Low 7.4 optional - Low at
Sell Date
> ExitHighPrice High 7.4 optional - High at
Sell Date
> TradedSize Volume 3.0 optional - Volume at Buy Date
> //------------------------------------------------------------------
---------------------------------
> TRADE RECORD CONSTRUCTION:
> a single space between each field required
>
> sTicker symbol + " L"
> sEntryDate EntryDate
> sExitDate ExitDate
> sEntryPrice InitialStop, Buyprice
> sExitPrice Sellprice,
> sBuyHiLO Low, High
> sSellHiLo Low, High
> sVolume Volume
> **/
> ////////////////////////////////////////////////////////////////////
/////////////////////////////////
>
> procedure ABtoMS( msFileName, Shift )
> {
> local bfirst, bRange;
> local sTicker, sTradedSize;
> local sPageDesc, sHeader;
> local sEntryDate, sEntryPrice, sBuyHiLo;
> local sExitDate, sExitPrice, sSellHiLo;
> local y, m, d, i, fh;
>
>
> if(msFileName=="") { msFileName="c:\\Temp\\ABtoMS.trt"; }
>
> //Read InBarRange; true when between From/To dates or n quotations
> bRange = Status("barinrange");
>
> // generate the year, month, day arrays for all the quotations
> y = Year();
> m = Month();
> d = Day();
>
> //------------------------------------------------------------------
---------------------------------
> /** this is an extract of the format Tradesim requires...
> **# Text Trade Database Example
> **# Comments always begin with the # character
> **
> **# The compulsory fields are always required
> **# in the order shown on the next line,
> **
> **# [Symbol][Trade Position][Entry Date][Exit Date]
> **# [Initial Stop][Entry Price][Exit Price]
> **
> **# The optional fields which are NOT used in this example
> **# should be ordered as follows,
> **# [Low Entry Price][High Entry Price][Low Exit Price]
> **# [High Exit Price][Traded Volume]
> **
> **BHP L 19960419 19960607 0.0000 19.2200 18.5800
> **BHP S 19960607 19961018 0.0000 18.5800 17.0400
> */
> // create a new or open an existing file to append trade details
> // make sure the directory exists
>
> // file does not exist, so create a new file
> fh =fopen( msFileName, "a");
> if ( fh )
> {
> // a buy must occur before a sell,
> // only the first buy and sell accepted
> // subsequent multiple Buy/Sell signals ignored,
> // until trade details complete
> // ignore signals until Buy found,
> // then follow with Sell to construct trade record
> bfirst = 0;
>
> for( i = 0; i < BarCount; i++ )
> {
> //find the first buy, then construct Buy details
> j = i - Shift;
> if( j < 0 ) J = 0;
>
> if( Buy[j] AND bRange[i] == 1 AND bfirst == 0 )
> {
> // initialise the output strings to default
> bfirst = 1;
> sTicker = " "; // (6)
> sEntryDate = " "; // (9)
> sExitDate = " "; // (9)
> sEntryPrice = " "; //(16)
> sExitPrice = " "; // (8)
> sBuyHiLo = " "; //(16)
> sSellHiLo = " "; //(16)
> sVolume = " "; //(8+1)
>
> // Construct the Trade BUY details
> sTicker = Name() + " L ";
> sEntryDate = StrFormat("%04.0f%02.0f%02.0f
",y[i],m[i],d[i] );
> sEntryPrice = StrFormat("%07.4f %07.4f
> ",InitialStop[j],BuyPrice[i] );
> sBuyHiLo = StrFormat( "%07.4f %07.4f ",L[i], H[i] );
> sVolume = StrFormat( "%3.0f ",TradedVol[j] );
> } // end if buy
>
> //find the first sell after buy,
> //the (symbol lastbar -> [i] < barcount)
> //OR (AA ToRange) could occur before Sell Signal
> //construct the Trade Sell details to complete the trade
record.
> // if( ( Sell[i-Shift] OR ( bRange[i] == 0 )
> // OR ( i >= BarCount -1 ) ) AND bfirst == 1 )
> if((Sell[j] OR ( bRange[i]==0 ) OR (i>=BarCount-1)) AND bfirst
==1)
> {
> bfirst = 0;
> // construct SELL details
> sExitDate = StrFormat( "%04.0f%02.0f%02.0f
",y[i],m[i],d[i] );
> sExitPrice = StrFormat( "%07.4f ",SellPrice[i] );
> sSellHiLo = StrFormat( "%07.4f %07.4f ",L[i],H[i] );
>
> //buy & sell details complete,
> //now able to write the trade record
> fputs(sTicker + sEntryDate + sExitDate +
> sEntryPrice + sExitPrice +
> sBuyHiLo + sSellHiLo +
> sVolume +"\n", fh );
> } // end if sell
>
> } //end for
>
> fclose( fh );
> } //end fh
>
> } //end function ABtoMS
> ////////////////////////////////////////////////////////////////////
/////////////////////////////////---
>
>
>
>
>
>
>
> In amibroker@xxxxxxxxxxxxxxx, "agkan24" <agkan24@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "justinwonono" <justinwonono@>
wrote:
> > >
> > > Ok thanks franc, I'll check what I've done wrong.
> > >
> > > Regards
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "oceanchimes" <oceanchimes@>
wrote:
> > > >
> > > > Justinwonono
> > > > I used a call to the include file in my AFL. Then ran a
> > > > backtest/exploration for the period using AA filter for all
stocks.
> > > > Worked as expected, no problems with single symbol out only.
> > > > franc
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx,
"justinwonono" <justinwonono@>
> > wrote:
> > > > >
> > > > >
> > > > > Hi franc,
> > > > >
> > > > > First, thanks for your code, much appreciated, I gave this
a go
> > but I
> > > > > only seemed to get output for the current symbol backtest,
I can't
> > > > > output a filtered backtest. Any ideas what I might be doing
> wrong or
> > > > > is that what it is meant to do? ie only the current symbol.
> > > > >
> > > > > Regards
> > > > >
> > > > > Justinwonono
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx,
"oceanchimes" <oceanchimes@>
> > wrote:
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Greg" <crootster@>
wrote:
> > > > > > >
> > > > > > > I have a system or two that I have been working on and
being
> > > that I
> > > > > > > have TradeSim I would like to put it across to its
database to
> > > > > test it
> > > > > >....
> > > > > > > Cheers Greg
> > > > > > >
> > > > > > Greg,
> > > > > > This is a function called from AFL exploration ( backtest
> > > > > > whatever)that I wrote some time ago. It worked for long
only
> > > trades.
> > > > > > I understand Tradesim allows text file input that include
short
> > > > > > trades. Perhaps you could modify? Hope this is what you
were
> > looking
> > > > > for.
> > > > > > franc
> > > > > >
> > > > >
> > > >
> > >
> >
> > I'm having trouble getting this to work. How do you actually use
it?
> > Am I supposed to modify the function (ie adjust buy details etc)
or do
> > you just call it as an #include in another AFL file which has my
buy
> > and sell commands?
> >
> > Any help would be appreciated,
> >
> > Alistair
> >
>
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