[amibroker] Re: Trading the equity curve

["markhoff" <markhoff@xxxxxx>]

Hi,

I just started also to investigate "Equity-Curve Trading" (ECT). I
would like to bring the discussion in a different direction: How can
ECT be implemented in AmiBroker AFL? 

The initial thing is clear, I calculate the RAW buy/sell signals from
my portfolio. But now comes the tricky point: True ECT this requires
the sequential calculation of two equity curves.

1st, the "System Equity Curve" (SEQ). The system is always in the
market with the same algorithm and all buy/sell signals
are traded. The resulting SEQ will show how good the system behaves at
different market conditions, e.g. a falling  SEQ is caused by drawdown.

2nd, the "Real Equity Curve" (REQ). The decision if a trade is done is
based on the SEQ, for instance the trading might be paused if the
moving average of the SEQ indicates a weak period (system has drawdown
because it cannot handle the current market situation well). Finally,
the REQ will show the real performance of my system.

My question to the AFL gurus here: How can I maintain two equity
curves? How can this be implemented with the Custom Backtester Interface?

Thanks for your hints and best regards,
Markus

--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> I was wondering if anyone has any experience with trading the equity
> curve itself as part of a system.  In particular, I was looking for
> feedback on approaches to being above or below the curve - did you
> reduce/increase position sizes or the number of positions?  What have
> you found to be affective?
> 
> Any feedback greatly appreciated - obviously I don't want or expect
> anyone to give away a great system, but I thought it might be an
> interesting topic for a general discussion.
>



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