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Hi Brian
>>Q1. Where do you want to use the answer?
I'm back testing someone's basic SMA system. I jsut want to see
returns of his system over a longer period of time.
>> Q2. How much money have you got to spend i.e. what is your initial
equity?
Start with $100,000.
>> 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?
I understand the data points but not sure of your question. I simply
would like to buy at the open on the first bar or even on the close or
anywhere on the first bar. Its really not that important(I think).
Not sure about the exit. This is where it gets fuzzy. I assume the
exit would be to sell on the most recent bar (last bar in the data) to
close out the position.
Thus I guess its not called buy and hold because if we sell it we
close the position. However we did actually Buy and Hold it from 1962
to 2007. Whatever....I'm confused.
I'm just trying to test a system I was presented with that has 3 SMA's
for example, let's just call them the following (40 day SMA, 80 day
SMA and 200 day SMA). The system only buys (enters long)on the next
morning when the stock closes the previous day above all three SMA's
and sells the next morning (exits long) when the stock closes the
previous day below all three SMA's. If we are long the stock and it is
trading within the three moving averages then it is simply a HOLD (no
action).
I'm testing it on all the data available on HPQ (Hewlitt Packard)
downloaded from yahoo.
>>> 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.
Okay Brian. Sounds good.
Thanks for all your time.
Walter
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
> <electricwally77@> 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
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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