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Hi All - Like Herman, I am
currently doing virtually all my work with the Equity() function, but I am
running into a very frustrating problem. When trading NDO, Equity() returns
the value of the equity line at the open, which is OK *except* that on the last
bar, it apparently gives equity value at the close. Then when the next data
bar gets added, the last bar becomes the next-to-last bar and the value for that
bar changes from equity-at-close to equity-at-open like all the other
bars.
The problem I am having is that this makes it very
hard to use the equity line itself as a part of any NDO system because the
changing values on the last bar will cause bad signals to appear and then
disappear the next day, and it can also delay the appearance of valid signals
until the day after they should have appeared.
I have been trying to write a workaround for
this by using different formulas to adjust the value of the last bar
and then watch that bar to see if it still changes the next day. Although
this works with some settings, it is not
really working too well in general because I need to account
for variations such as different PositionSizes, different Margin,
etc. and I don't know exactly how AB calculates these things internally. I
am just wondering if anyone has run into this problem already and found a
workable solution? Since Equity() uses the old
backtester, and sometimes returns different values than the new backtester, I
don't think using the custom interface to get the required info will
necessarily always give the correct numbers for the Equity() function
either.
TJ, if you see this, do you think it might be
possible to add a switch to Equity() that allows the last bar of an
NDO equity line to display value at the open like all other bars? Or, since only
you know AB's internal calculations, would it be possible to provide a
formula that would "reverse" the last bar's value back to equity-at-open
and that will work under all circumstances? Thanks very much to everyone
for any help they can give!
Steve
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