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--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx> wrote:
>
> 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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6/3/2008 7:31 PM
>
Wave, thanks for the reference. I think I understand the backtesting
process, not so clear on how to find the "Lastx" just so it changes as
I backtest. If I use Lastx = SelectedValue(x) it works in interactive
mode but I want it to be backtested.
Thanks.
------------------------------------
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