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MonteCarlo Simulation?
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> I wonder why you insist on using TradeSim while AB has way superior
portfolio backtester with
> features that Tradesim users can only dream about.
>
> Tradesim is for Metastock that does not have portfolio optimizer.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "chorlton_c_hardy" <chorlton-c-hardy@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, February 14, 2008 11:38 AM
> Subject: [amibroker] Re: Amibroker to TradeSim Code - Help Required
Please!!
>
>
> > Hi All,
> >
> > Just wanted to bump up this message to the top again just in case
> > anyone can help me out with it. I've tried to resolve the issue
> > myself but am getting strange results and consequently seem
unable to
> > find a solution.
> >
> > Any help or advice would be most welcome....
> >
> > Thanks all,
> >
> > Chorlton
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy" <chorlton-c-
> > hardy@> wrote:
> >>
> >>
> >> Hello All,
> >>
> >> I've managed to find some code which allows me to export an
> > Amibroker
> >> Exploration File to TradeSim for further analysis. This code is
> > posted
> >> below:
> >>
> >>
> >>
> >> Buy = Ref(Buy,-1); Sell = Ref(Sell, -1);
> >>
> >> Cover = 0; Short = 0;
> >>
> >> TradeStop = LLV(Low,10); // Initial stop for TradeSim
> >>
> >> Equity( 1 ); // evaluates trades and stops
> >>
> >> Filter = Sell;// OR Cover;
> >>
> >> IsLong = Sell;
> >>
> >> dt = DateTime();
> >>
> >> // Determine values for Explorer
> >>
> >> EntryDate = IIf( IsLong, ValueWhen( Buy, dt ), ValueWhen( Short,
> > dt ) );
> >>
> >> ExitDate = dt;
> >>
> >> EntryPrice = IIf( IsLong, ValueWhen( Buy, BuyPrice ), ValueWhen(
> > Short,
> >> ShortPrice ) ); // Set buy and sell prices to Open for TradeSim
> >>
> >> ExitPrice = IIf( IsLong, SellPrice, CoverPrice );
> >>
> >> EntryLow = IIf( IsLong, ValueWhen( Buy, L ), ValueWhen( Short,
> > L ) );
> >>
> >> EntryHigh = IIf( IsLong, ValueWhen( Buy, H ), ValueWhen( Short,
> > H ) );
> >>
> >> EntryVolume = IIf( IsLong, ValueWhen( Buy, Ref(V,-1) ), ValueWhen
(
> >> Short, Ref(V, -1) ) );
> >>
> >> InitialStop = IIf( IsLong, ValueWhen( Buy, TradeStop ), ValueWhen
(
> >> Short, TradeStop ) );
> >>
> >> ExitLow = L;
> >>
> >> ExitHigh = H;
> >>
> >> SetOption("NoDefaultColumns", True );
> >>
> >> AddTextColumn( Name(), "Symbol" );
> >>
> >> AddColumn( IIf( IsLong, 76, 83 ), "Long/Short", formatChar ); //
L
> > or S
> >> letter
> >>
> >> AddColumn( EntryDate, "EntryDate", formatDateTime);
> >>
> >> AddColumn( ExitDate, "ExitDate", formatDateTime);
> >>
> >> AddColumn( InitialStop, "Initial Stop", 1.3 );
> >>
> >> AddColumn( EntryPrice, "EntryPrice", 1.3 );
> >>
> >> AddColumn( ExitPrice, "ExitPrice", 1.3 );
> >>
> >> AddColumn( EntryLow, "EntryLow", 1.3 );
> >>
> >> AddColumn( EntryHigh, "EntryHigh", 1.3 );
> >>
> >> AddColumn( L, "ExitLow", 1.3 );
> >>
> >> AddColumn( H, "ExitHigh", 1.3 );
> >>
> >> AddColumn( EntryVolume, "EntryVolume", 0.0);
> >>
> >>
> >>
> >> Unfortunately, this code seems to work for LONG trades only.
> >> Consequently, does anyone know how I can modify it to include
SHORT
> >> trades?
> >>
> >> I have tried to modify it myself but have run into all kinds of
> > problems
> >> such as incorrect price data, missing price data, etc, etc.
> >>
> >> So far I have made the following changes (which may or may not be
> >> right):
> >>
> >> Cover = Ref(Cover , -1); Short = Ref(Short,-1); (2nd line
of
> > code)
> >>
> >> Filter = Sell OR Cover ; (5th line of code)
> >>
> >> In addition, does anyone know how I can incorporate TWO Initial
> > Stops
> >> into the same system (1 Stop for LONG Trades and 1Stop for SHORT
> > Trades)
> >> so that AB & TradeSim know which stop to use depending on
whether
> > the
> >> trade is LONG or SHORT??
> >>
> >> For the system above, the initial stop for Short trades would
> > be:
> >> TradeStop = HHV(High,10);
> >>
> >>
> >>
> >> Any help much appreciated as I'm not sure how to proceed,
> >>
> >>
> >>
> >> Thanks
> >>
> >> Chorlton
> >>
> >
> >
> >
> >
> > 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
> >
> >
> >
>
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:
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For other support material please check also:
http://www.amibroker.com/support.html
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