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Re: [amibroker] Benchmarking



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Thanks gentlemen. Your support is very much appreciated, will give it a try later at home.



André Huwyler
Private Banking Investment Services
Lombard Odier Darier Hentsch Private Bank Limited
Suite 921 Europort
P.O. Box 407 - Gibraltar
T:+350 200 59380
andre.huwyler@xxxxxxxx
www.lodh.com





"Joe Landry" <jelandry@xxxxxxxxxxxxx>
Sent by: amibroker@xxxxxxxxxxxxxxx      

 

22/07/2008 16:20
                                               

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Re: [amibroker] Benchmarking






T.J.

Thanks, that makes a difference.
 
Best regards
Joe

 
----- Original Message -----
From: Tomasz Janeczko
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 22, 2008 9:04 AM
Subject: Re: [amibroker] Benchmarking

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@xxxxxxxx
To: amibroker@xxxxxxxxxxxxxxx
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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************************ DISCLAIMER ************************
This message is intended only for use by the person
to whom it is addressed. It may contain information
that is privileged and confidential. Its content does
not constitute a formal commitment by Lombard
Odier Darier Hentsch Group and any of its affiliates.
If you are not the intended recipient of this message,
kindly notify the sender immediately and destroy this
message. Thank You.
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