|
PureBytes Links
Trading Reference Links
|
--- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
<electricwally77@xxx> wrote:
>
> 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".
Q1. Where do you want to use the answer?
Do you just want to plot it or what (to start with)?
Q2. How much money have you got to spend i.e. what is your initial
equity?
Q3. The first bar has a lot of points on it - everything equal to and
between the high and the low. Which data point do you mean - Open,
Close, High, Low or something else?
AA needs to know the answer to questions like this before it can
proceed.
If you can answer them I'll see if I can give you a quick answer to
get you going while you take your time to take in the full AA picture.
brian_z
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@> 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
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|