Re: [amibroker] Benchmarking

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

Hello,

 

Correct, but SetForeign should be called with tradeprices parameter set to True.

Best regards,
Tomasz Janeczko
amibroker.com

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

From: Joe Landry

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, July 22, 2008 3:40 PM

Subject: Re: [amibroker] Benchmarking

The equity function applied to the composite might be useful as well, if you want an array to plot.  Here's a clip I use in an indicator chart.

JOE

// Dev the buy and hold equity for Long Fund.

SetForeign(fund2ticker);

Buy = 1;

Sell = 0;

bhldeq = Equity( 1, 3, startdatenum , enddatenum );

bhldeq = bhldeq/1000;

RestorePriceArrays();

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

From: Tomasz Janeczko

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, July 22, 2008 8:16 AM

Subject: Re: [amibroker] Benchmarking

Hello,

 

Two steps:

1. Create a benchmark (index) symbol using AddToComposite. Check "Introduction to ATC" doc for instructions.

2. Run benchmark buy and hold backtest using:

 

Buy = Status("firstbarintest");

Sell = Status("lastbarintest");

 

Best regards,
Tomasz Janeczko
amibroker.com

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

From: andre.huwyler@lodh.com

To: amibroker@xxxxxxxxxps.com

Sent: Tuesday, July 22, 2008 1:26 PM

Subject: [amibroker] Benchmarking

Dear All,

I am trying to test an active asset allocation strategy versus a passive benchmark. This benchmark would be static and include various asset classes (e.g. 40% equities, 40% bonds, 10 % commodities, etc.).

Is it possbile to create such a benchmark in Amibroker? I saw in the archives a discussion back in 2006, where Tomasz was thinking about implementing something down these lines. Has such a function been added meanwhile? Or is there a work around to this?

Any input highly appreciated

Best regards,
André




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