Re: [amibroker] Re: Why do I get "missing buy/sell variable assignmets" error?, AmiBroker Email List Archive

On Sat, Apr 19, 2008 at 7:38 PM, Steve Dugas <sjdugas@xxxxxxxxxxx> wrote:

Hi - You seem to be confusing the Explorer with the Backtester. "Filter" keyword is required for Exploration mode but is not recognized as anything special by the backtester, so you might want to assign your trade rules directly to Buy/Sell/Short/Cover and not use the Filter for that. Also, you need to use the Custom Backtest Interface to add columns to a backtest report.

OTOH, the Explorer requires the Filter keyword to filter which results it will show you, and you will also need to use AddColumn() and/or AddTextColumn() to add columns to an exploration report.

But anyway, something like this should get you into your trades..

HigherHigh = High > ref( High, -1 );

LowerLow = Low < ref( Low, -1 );

Buy = NR4Day AND InsideDay AND HigherHigh;

Short = NR4Day AND InsideDay AND LowerLow;

To close out the short positions, you should also define the Cover variable.

Steve

----- Original Message -----

From: alta hob

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, April 19, 2008 1:58 PM

Subject: Re: [amibroker] Re: Why do I get "missing buy/sell variable assignmets" error?

Thanks again

I now have the buy order working in backtest mode with the code below and instead of using "Applystop" have used Sell = L < Ref(LLV(L,2),-1); to close the position but can't work out how to do the following

Buy order is currently opening as soon as the "Filter" criteria is met. I actually want it to open a buy only when "Filter" is true AND the next bar creates a higher high or to open a short when "Filter is true and next bar creates a lower low.

I have tried quite a few ways of doing this but am not sure how to make AB straddle a bar and open a trade when it is broken in either direction.

--------------
NR4Day = (H - L) < Ref(LLV(H-L,3),-1);
Column1 = NR4Day;
Column1Name = "Nr4Day";

InsideDay = H < Ref(High,-1) AND Low > Ref(Low,-1);
Column2 = InsideDay;
Column2Name = "Inside Day";

Column3 = High + 0.125;
Column3Name = "Buy Stop";

Column4 = Low - 0.125;
Column4Name = "Sell Stop";

Filter = NR4Day == 1 AND InsideDay == 1;

Buy = Filter

Sell = L < Ref(LLV(L,2),-1);

On Sat, Apr 19, 2008 at 4:48 PM, Steve Dugas <sjdugas@xxxxxxxxxxx> wrote:

Hi - In AA settings, you probably have Positions set to "Long and Short" so AB is expecting to see Short and Cover defined. You could either change settings to Long only or add this to your code...

Short = Cover = 0;

Steve

----- Original Message -----

From: alta hob

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, April 19, 2008 6:05 AM

Subject: Re: [amibroker] Re: Why do I get "missing buy/sell variable assignmets" error?

Thanks for your help.

I now get "missing short/cover variable assignment" after adding the Sell = 0; string

Going throught the amibroker documentation but appreciate any help while I am new to this.

On Sat, Apr 19, 2008 at 9:40 AM, jamesfarrow2003 <jamesfarrow2003@xxxxxxxxx> wrote:

I wouls just enter the line:

Sell = 0;

Then set your stops using the GUI or via code, whichever is desired.

--- In amibroker@xxxxxxxxxxxxxxx, "alta hob" <altahob@xxx> wrote:
>
> I`m trying to run this code as a simple backtest but get "missing
buy/sell
> variable assignmets" error. Have tried adding
>
> ApplyStop( stopTypeNBar, stopModeBars, 5 );
>
> but still get error. Can someone please advise what I need to do
to run
> as a simple backtest with a trailing bar stop?
>
> thanks
>
> altahob
> ----------
> /* Connors and Raschke Historical Volatility System
> For further explanation, refer to "Street Smarts"
> from Connors and Raschke.
> Ported from Metastock code by Daniel Ervi */
>
> numcolumns = 5;
>
> VolRatio = StDev(Log(C/Ref(C,-1)),5) / StDev(Log(C/Ref(C,-1)),99);
> column0 = VolRatio;
> column0name = "VolRatio";
>
> NR4Day = (H - L) < Ref(LLV(H-L,3),-1);
> column1 = NR4Day;
> column1name = "Nr4Day";
>
> InsideDay = H < Ref(High,-1) AND Low > Ref(Low,-1);
> column2 = InsideDay;
> column2name = "Inside Day";
>
> column3 = High + 0.125;
> column3name = "Buy Stop";
>
> column4 = Low - 0.125;
> column4name = "Sell Stop";
>
> filter = VolRatio < 0.5 AND (NR4Day == 1 AND InsideDay == 1);
>
> buy = filter;
>