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Howard - thank you so much for this example. A great base to work off
of....
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Greetings all --
>
> Here is an afl to trade the equity curve --
>
> ///////////////////////////////////////////
> // EquityCurveFeedback.afl
> //
> // There are many ways to use the equity
> // in the trading account, and its variation,
> // to act as a filter to allow or block trades.
> //
> // This code shows one example of applying
> // trading system logic to the equity curve
> // created by another trading system.
> //
> // The first system is a simple moving
> // average crossover -- it could be any system.
> //
> MALength1 = 14; //Optimize("MALength1",14,2,50,2);
> MALength2 = 13; //Optimize("MALength2",13,1,51,2);
> Buy = Cross(MA(C,MALength1),MA(C,MALength2));
> Sell = BarsSince(Buy)>=5;
>
> Buy = ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
>
> e = Equity();
>
> Plot(C,"C",colorBlack,styleCandle);
> PlotShapes(Buy*shapeUpArrow+Sell*shapeDownArrow,
> IIf(Buy,colorGreen,colorRed));
>
> Plot(e,"equity",colorGreen,styleLine|styleLeftAxisScale,15000,18000);
>
> // The equity curve is choppy.
> // If there are positive serial correlations
> // between daily equity values, then we expect
> // up days to be followed generally by more up days,
> // and down days by more down days.
> // So we might try applying a trend following system
> // to the equity curve.
> // When the equity curve is above its moving average,
> // the system is working, and we should take trades.
> // When the equity curve is below its moving average,
> // the system is out-of-sync, and we should block trades.
>
> // EquityMALength is the lookback period for the equity
> // curve moving average.
> // We will set Pass to either 0 or 1.
> // Pass==0 blocks trades, Pass==1 allows trades.
>
> EquityMALength = Optimize("EquityMALength",12,1,20,1);
>
> EquityMA = DEMA(e,EquityMALength);
>
>
Plot(EquityMA,"equityMA",colorBrightGreen,styleLine|styleLeftAxisScale,15000,18000);
>
>
> Pass = IIf(e>=EquityMA,1,0);
>
> Buy = Buy AND Pass;
> Buy = ExRem(Buy,Sell);
> Sell = ExRem(Sell,Buy);
>
> e1 = Equity();
>
Plot(e1,"FilteredEquity",colorBlue,styleLine|styleLeftAxisScale,15000,18000);
>
> /////////////////////////
>
> When using the equity curve as a filter, you are applying a trading
system
> to a series. If the series has a tendency to trend, then a
trend-following
> equity curve system will work. If the series has a tendency to be mean
> reverting, then a mean reversion equity curve system will work.
>
> The equity curve technique can be applied to either the daily
> marked-to-market equity, as in this example, or to the curve
resulting from
> treating each closed trade as a "bar."
>
> The equity curve filter is usually set up to act as a filter to prevent
> entry when the system has not been performing well lately. That is, it
> allows or prohibits entry, as in this example.
>
> If the equity curve is monitored daily (or even intra-day), it can
act as an
> exit signal, causing an exit based on equity performance before the
other
> exit signals in the code. Or, as in this example, it can just wait
for the
> exit logic in the base code to cause the exit.
>
> So --- there are several options to try. When you find something
useful,
> please post it back to this forum.
>
> Thanks,
> Howard
> www.quantitativetradingsystems.com
>
>
>
>
>
> On Mon, Apr 28, 2008 at 7:34 PM, droskill <droskill@xxx> wrote:
>
> > That's great - appreciate the references. Here's some code I came up
> > with - it doesn't work and I'm not sure why:
> >
> > ecurve = Foreign("~~~Equity","C");
> > ecurvema = MA(ecurve,50);
> > IIf(Ref(ecurve,-1)<Ref(ecurvema,-1),PosQty=10,PosQty=2);
> >
> > The basic idea here is to just change the number of positions based on
> > the whether or not the system equity is above or below a 50 day moving
> > average. However, in my testing, I can see that it never takes 10
> > positions. Now the system I'm trading easily goes above a 50 day
> > average - but clearly something isn't working. Is my approach totally
> > incorrect?
> >
> >
> >
>
------------------------------------
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