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Hi Brian
I appreciate all the help. I guess -at this point- my specific
question would be how and what are the correct settings in the AA
"settings" window under the tabs called;
General,Trades,Stops,Report,Portfolio
The help file tells me to set the min. shares to 1 yet I believe you
said to set it to 0.0001. I'm confused. Sorry 'bout that.
I really need to sit down and dig into the help files and figure how
and why to set the parameters in the "settings" window.
All I'm trying to accomplish (please bear with me) is to create a simple
"buy on first bar" and "sell on last bar". I did not know it would be
this intricate to accomplish. Intricate as defined by a newbie such as
myself.
I'm using only one stock (HPQ) using daily data from 1962 to present.
The total daily bars are 11,561.
Let me keep digging. I'll nail it down eventually. I know back testing
involves a rather high learning curve but the payoff is well worth it
once I understand and begin to maneuver around and actually see
systems work.
Thanks Brian
Walter
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> If you get stuck come back with a specific question.
>
> You should be able to replicate the outcomes of the code below
> (understanding it's principles is the basis of B&H).
> If you can't let me know.
>
> The only real difference between it and my PDF is that you only want
> to B&H one stock whereas in the PDF I used three (from memory).
>
>
> I'm not necessarily around every day but I will check back on this
> topic at some stage.
>
> > Filter = 1;
>
> >//In AA settings Initial Equity = 1
> > //Min shares = 0.0001
> > //Run on all quotations
> >
> > PositionSize = -100;
> >
> > Buy =1;
> > Sell = 0;
> >
> > e = Equity();
> >
> > AddColumn(e,"equity",1.6,1);
> >
> > Plot(e * 28.01,"Equity",1,1);//manually enter the starting close for
> > your symbol
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
> <electricwally77@> wrote:
> >
> > Hi Brian
> >
> > I appreciate all your help. I'm slowly reading and trying to
> > understand all that you have presented. Please give me some time to
> > figure all this out. I went into my settings in the AA window and I
> am
> > making some changes.
> >
> > First thing I noticed was that "min. shares" was set to .01
> > I changed it to 1.
> >
> > I'm reading through some help files as well (in regards to the AA
> > window "settings" button.)
> >
> > I just wanted to send you this quick note to let you know I'm
> working
> > on it.
> >
> > Thank you again
> > Walter
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > Walter,
> > >
> > > Backtesting in the AA window is a simulation of real trading
> > > conditions - the trade requires an intitial equity and a setting
> for
> > > the minimum size allowed (one share or part of a share) plus
> other
> > > settings.
> > >
> > > In my example PDF file I show where and when I accepted the
> defaults
> > > or changed them (the file is not exact or the be all and end all -
> it
> > > only attempts to convey the main principles involved).
> > >
> > > Using a small training database I selected a symbol that had an
> > > opening close price of 28.01.
> > >
> > > The I ran the following in AA - with the symbol selected as the
> > > current symbol in the All Symbols list.
> > > The AB defaults are accepted except for PositionSize and
> MinShares
> > > and Intitial Equity i.e. buy is on the Close.
> > >
> > > Equity itself will be a compounded % of the ROC for 1 period on
> the
> > > close.
> > > Multiplying it by the starting close price adjusts equity so that
> it
> > > is relative to the starting close.
> > >
> > > Note: Intitial Eq does not allow decimal places so I chose 1
> dollar.
> > > Then I allowed shares to be purchased in 1/10000th parcels so
> that
> > > the 1 dollar equity could be apportioned by up to 4 decimal
> places
> > > with accuracy.
> > >
> > > Filter = 1;
> > >
> > > //In AA settings Initial Equity = 1
> > > //Min shares = 0.0001
> > > //Run on all quotations
> > >
> > > PositionSize = -100;
> > >
> > > Buy =1;
> > > Sell = 0;
> > >
> > > e = Equity();
> > >
> > > AddColumn(e,"equity",1.6,1);
> > >
> > > Plot(e * 28.01,"Equity",1,1);//manually enter the starting close
> for
> > > your symbol
> > >
> > > Since the plot simulates buying 1 * the opening close price it
> > > exactly equals the price chart (which is what I would get if I
> bought
> > > 1 share at the close of the first bar).
> > > The number of bars doesn't matter since it is never sold in a buy
> and
> > > hold (a little poetry there).
> > >
> > > The same thing can be done other ways:
> > >
> > > for example someone else provides this method ( I won't explain
> it
> > > because it is not mine but I don't see any reason why that type
> of
> > > approach wouldn't work).
> > >
> > > /* 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 );
> > > }
> > >
> > >
> > > brian_z
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
> > > <electricwally77@> wrote:
> > > >
> > > > Hi Brian
> > > >
> > > > I thank you for helping.
> > > >
> > > > Based on your advice, here is the code I entered...
> > > >
> > > > _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g,
> Hi %
> > > g,
> > > > Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue
> ( ROC
> > > (
> > > > C, 1 ) ) ));
> > > > Plot( C, "Close", ParamColor("Color", colorBlack ),
> styleNoTitle |
> > > > ParamStyle("Style") | GetPriceStyle() );
> > > > _SECTION_END();
> > > >
> > > >
> > > > Buy = 1;
> > > > Sell = 0;
> > > >
> > > > I clicked "apply indicator" in the formula window and completed
> a
> > > back
> > > > test but received some strange results. My trade list in the AA
> > > window
> > > > shows 5 trades total. Under the trade column, the first trade
> says
> > > > "OUT". 2nd trade says "Long", 3rd trade says "Out", 4th trade
> says
> > > > "Long" and the 5th trade says "Out".
> > > >
> > > > I clicked "show actual trades" and it shows a red arrow on bar
> 1
> > > and a
> > > > green and red arrow on bar 11,560 and a green and red arrow on
> bar
> > > > 11,561.
> > > >
> > > > There are 11,561 bars total (daily data from 1962 to 2007)
> > > >
> > > > Hope you can help please
> > > >
> > > > Thanks Brian
> > > > Walter
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
> wrote:
> > > > >
> > > > > Walter,
> > > > >
> > > > > There' more than one way - here's a simple one.
> > > > >
> > > > > buy = 1;
> > > > > sell = 0;
> > > > >
> > > > > There's an extended example in the files section of this
> message
> > > > > board.
> > > > >
> > > > > Files > CompareIndexToPortfolio
> > > > >
> > > > > brian_z
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
> > > > > <electricwally77@> wrote:
> > > > > >
> > > > > > Hi Members
> > > > > >
> > > > > > Please bear with me. I am trying to write a simply Buy and
> Hold
> > > > > system
> > > > > > using only one stock (HPQ-Hewlitt Packard). I'm using End
> of
> > > Day
> > > > > data
> > > > > > and programming using the AFL Wizard . I've been at it for
> > > about two
> > > > > > hours but can't generate the results of a simple buy & Hold.
> > > > > >
> > > > > > Obviously I'm doing something wrong. There are a total of
> > > 11,561
> > > > > > Daily bars in the data I downloaded from Yahoo.
> > > > > >
> > > > > > I've built several different formulas and none of them
> result
> > > in a
> > > > > > simple Buy and Hold when I backtest and run a report.
> > > > > >
> > > > > > Can someone please tell me what the code is for a simple
> buy
> > > and
> > > > > hold
> > > > > > please?
> > > > > >
> > > > > > I assume there will only be an "Enter Long" but NO "Exit
> Long"
> > > since
> > > > > > I'm still holding. Correct?
> > > > > >
> > > > > > Thank you very much
> > > > > > Walter
> > > > > >
> > > > >
> > > >
> > >
> >
>
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