Re: [amibroker] How to backtest linear regression?

["wavemechanic" <timesarrow@xxxxxxxxxxxxx>]

http://www.amibroker.com/guide/h_backtest.html

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

From: tradinghumble

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, June 03, 2008 7:43 PM

Subject: [amibroker] How to backtest linear regression?

All, I know linear regression has been discussed multiple times here
and I have this piece of code:
================================
P = ParamField("Price field",-1);
Daysback = Param("Period for Liner Regression Line",21,1,240,1);
shift = Param("Look back period",0,0,240,1);
//  Math Formula
x = Cum(1);
lastx = LastValue( x ) - shift;
aa = LastValue( Ref(LinRegIntercept( p, Daysback), -shift) );
bb = LastValue( Ref(LinRegSlope( p, Daysback ), -shift) );
y = Aa + bb * ( x - (Lastx - DaysBack +1 ) );

This works fine for "plotting" but I would like to develop a system to
backtest some of these conditions... the problem seems to be on the:
x= Cum(1); ... I'm not an expert coder but this only considers the
last bar...

What should I use in order to have this working in backtest mode? or,
for the last bar to be the current bar being backtested..

Sorry, very confused here.

Thanks.




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