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Note that this is the raw trade signals.
It can be used to produce the key evaluation metrics (my term):
Win/Loss ratio
PayOffRatio
The GrowthFactor can be used for MoneyManagement applications e.g.
the default eq curve is compounding but you could produce one for
fixed eq investing as well.
If you want to calculate open equity then I think it can be done as
well (probably you would use a latch to flag that you are in the
trade and recalc the value).
As I said, the fun part is if you want to do sophisticated trade
analysis and MM (you need to able 'write' the trade series to a
persistant array without all the zeroes so that min/max and frequency
dists can be applied).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Herman,
>
> IBM PartI
>
> I am not sure if this is along the lines that you are investigating.
> It might be a starting point.
> Sophisticated functions can be built from the concept.
>
> Example of using single symbol equity function to back calculate
the
> trade series.
>
> I used buy Tues(C) and sell Thurs(C) with one month of data to test
> the code as I went along (this gave me unambiguous signals with
only
> one signal at a time - I believe you can use an eq flag to dump
dual
> signals for real life use).
>
> Note: some weeks don't have Mons or Fris so I wanted to avoid no
> signals, caused by short weeks, during testing
>
> I used barindex() > 4 to cut out the first week in the month so
that
> I started with no signals for a few bars before the first buy.
>
> I left the plot code in there but commented out (I plotted each
line
> to test the veracity of the code).
>
> Note that when the trade series is used to recreate the eq curve
(as
> a cross check) it only matches on the exit bars for each trade.
> I tried it on 10 years of Yahoo data and the final eqs matched to 2
> decimal places (rounded off).
>
> //P_InLineEquity
> //code to reverse engineer the trade series from the equity curve
> //it is reversed at the end to check the accuracy of the method
>
> InitialEq = 10000;//input required
>
> SetOption("InitialEquity", InitialEq );
>
> Buy = BarIndex() > 4 AND DayOfWeek() == 2;//use your own
> Sell = BarIndex() > 4 AND DayOfWeek() == 4;//use your own
>
> BuyPrice = C;//use your own
> SellPrice = C;//use your own
>
> Plot(Equity(),"Equity",5,1);
>
> Entry = IIf(Equity() == Ref(Equity(),-1) AND Equity() != Ref(Equity
> (),1),1,0);
>
> //Plot(Entry,"Entry",1,1);
>
> Exit = IIf(Equity() != Ref(Equity(),-1) AND Equity() == Ref(Equity
> (),1),1,0);
>
> //Plot(Exit,"Exit",2,1);
>
> TradeSeries = IIf(Exit ==1,ValueWhen(Exit == 1,
SellPrice,1)/ValueWhen
> (Entry == 1, BuyPrice,1),1);
>
> //Plot(TradeSeries,"TradeSeries",1,1);
>
> GF = 1;//GrowthFactor
>
> for (i = 1; i < BarCount; i++)
> {
> GF[i] = GF[i-1] * TradeSeries[i];
> }
>
> //codesters might be able to make the above loop better/prettier?
> //Plot(GF,"GrowthFactor",5,1);
>
>
> Plot(InitialEq * GF,"CalculatedEquity",1,1);
>
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