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Brian
I also forgot to mention that I would (if at all possible please)
prefer to try and come up with the Buy & Hold code using the AFL
Wizard. Its easy to use. I understand that pure coding in AFL is the
way to go but I'm not there yet. Eventually I'll learn it.
I'm spending much time on this trying to play catch up with everyone
else. Hopefully someday soon I'll post something other than
rudimentary questions. In the meantime, that's where I'm at right now.
I'm sure you've seen the AFL WIZARD (see Analysis - AFL Code Wizard).
Its amazing and if it wasn't an option in the program I would be lost.
I'm really curious if what I'm trying to accomplish can be created in
the AFL Wizard. Honestly, I've been at it for hours yesterday and
could not come up with a formula that AB was happy with. I'm convinced
I've got something wrong in the settings and the AFL code. More
hunting today. Learniing is fun!
Thank you
Walter
--- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
<electricwally77@xxx> wrote:
>
> Hi Brian
>
> > Do you want the B&H as well as a comparison?
>
> Yes. Actually its the other way around. I would like to do the system
> test I mentioned in post 117721 and use the B&H as a comparison. I
> thought about my previous reply to you and forgot to mention that the
> Buy & Hold was needed as well to do a comparison against the system
test.
>
> I apologize for the confusion.
>
> Thanks Brian
> Walter
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > > I'm back testing someone's basic SMA system. I jsut want to see
> > > returns of his system over a longer period of time.
> >
> > O.K
> >
> > But that's not buy & hold - that is a system test.
> > Do you want the B&H as well as a comparison?
> >
> > brian_z
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Walter Lepore"
> > <electricwally77@> wrote:
> > >
> > >
> > >
> > > 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@> 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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