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Another version with an example of Portfolio Emulation that uses
rebalancing.
The signals used are not significant and are only there to produce a
trade factor matrix to test the later code.
For practical use, with rebalancing, the trade factor series would
need to be changed to include open equity.
The example is just to show that, potentially, inline Portfolio
Emulation can model portfolio's without needing a lot of code.
I probably won't demo any more Portfolio Emulation examples because I
am going down a different track and also there would be so many
different opinions about what type of emulation is needed to model
a 'real' portfolio.
It is still limited to one trade at a time per symbol - the only
significant affect this has on the end result is that it uses up more
data to obtain a statistically valid dataset.
Multiplying the intitial equity by the PortfolioEquityFactor produces
the Portfolio Equity Curve for a portfolio with bar by bar
rebalancing.
I don't know anything about code prettification/conventions OR
measuring if the code is efficient with processor time... it does
work.
//P_InLineMetricsI_v3.1
/*
v3 Adds referencing of multiple symbols from a watchlist
Portfolio emulation uses bar by bar rebalancing
Changes EquityFactor from looping to log
Example signal changed to a more realistic version
note from AB User's Guide:
Use StrExtract function to extract individual symbols from the list.
if given watch list contains lots of symbols
performance may be poor
AVOID SUCH CODES IN REAL-TIME MODE !
NOMENCLATURE
B = Buy
S = Sell
BP = BuyPrice
SP = SellPrice
TF = TradeFactor == win OR loss as % (expressed as GrowthFactor)
TFO = TradeFactor array reconfigured for tradeNot = zero
GF = GrowthFactor e.g. 3% win == 1.03
EF = EquityFactor = progressive product of bar by bar GF (array)
PEF = PortfolioEquityFactor = matrix (arrays) of individual stock EF
OR system EF mathematically conditioned to emulate different
Portfolios that use MM methods
PTF = PortfolioTradeFactor
CB = ConfirmedBuy
CS = ConfirmedSell
*/
//PART IA - TRADE SERIES MODULE - CLOSED TRADE EQUITY - (ONLY ONE
TRADE PER SYMBOL OPEN AT A TIME)
Filter = 1;//allows to run as an Exploration
PTFSum = 0;
Count = 0;//counts symbols in watchlist
list = CategoryGetSymbols( categoryWatchlist, 0 );
for( i = 0; ( symbol = StrExtract(list, i ) ) != ""; i++ )
{
SetForeign(symbol);
B = Cross( C,MA(C,10));
S = Cross( MA(C,10),C);
B = Flip(B,S);//not essential with the above signals - kept in to
maintain continuity with previous code,
BP = SP = C;
CS = B == 0 AND Ref(B,-1) == 1;
CB = B == 1 AND Ref(B,-1) == 0;
TF = IIf(CS,SP/ValueWhen(CB, BP,1),0);//reconfigure trade series to
zero,
TFFlag = IIf(CS,1,0);
PTFSum = PTFSum + TF;
Count = Count + TFFlag;
Plot(TF,"TradeFactor" + "-" + symbol,i + 1,1);
AddColumn(TF,"TradeFactor" + "-" + symbol,1.9);
RestorePriceArrays();
}
interimPTF = PTFSum/Count;
PTF = IIf(Count == 0,1,interimPTF);
//non-looping EF calculation
PEF = 1;
PEF = exp(Cum(log(PTF)));
//Plot(PEF,"PortfolioEF",5,1);
Plot(PTF,"PorfolioTF",colorBlue,1);
//Plot(Count,"Count",colorBlue,1);
AddColumn(Count,"Count",1.2);
AddColumn(PTFSum,"PorfolioTFSum",1.9);
AddColumn(PTF,"PorfolioTF",1.9);
AddColumn(PEF,"PorfolioEF",1.9);
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Here is an elective period StDevP for a non-continuous dataset
>
> //PART 1B - Elective Period StandardDeviation Of The Trade Series
>
>
> Trades = IIf(CS,TSFactor,0);//reconfigures trade series so that
> tradesNOT == 0,
>
> TradeFlag = IIf(CS,1,0);//returns 1 for every trade
>
> Period = Param("Periods",20,1,100,1);
>
> ST = Sum(Trades,Period);//Sums Trades
> STS = Sum(Trades^2,Period);//Sums the TradesSquared
> CT = Sum(TradeFlag,Period);//Counts the Trades
>
> StandardDevP = sqrt( STS/CT - (ST/CT)^2 );//uses Ken Closes
> restated StDev equation,
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > I added progressive StDevP,of the trade series, to the code.
> >
> > //P_InLineMetricsI_v2
> >
> > /*
> >
> > v2 renames some variables (to clarify nomenclature and prepare
for
> > later code),
> >
> > confirms Buy/Sell signals to allow trade counting AND accounting
> for
> > BreakEven trades,
> >
> > adds cumulative Standard Deviation of the trade series.
> >
> > Monday is used as the Buy example because it is unambiguous.
> > Typically most markets have Mon OR Fri public holidays so it
allows
> > for checking code response to non-paireds buys AND sells (Signal
> > errors).
> > BarIndex() == 0 is added as an initial Buy condition to
workaround
> > the propogating of {empty} values that can arise in the first few
> > bars.
> > A Buy latch is used so that only one trade can be entered at a
time
> > AND every Sell must have a corresponding Buy.
> > Plots the TradeSeriesFactor, as GrowthFactor, which is equivalent
> to
> > % (tradesNOT are recorded as GF == 1).
> > Since commissions aren't considered the Equity outcome for break
> even
> > trades (GF also == 1) is correct.
> > The progressive product of the GF is equivalent to the compounded
> > Equity Curve for an initial fixed capital investment
> > (this assumes the trades are sequential).
> > If the Initial Equity is 1 the EqCurve is the standardised Equity
> > Factor (EF),
> > (this assumes that no capital addition or rebalancing occurs
after
> > the initial allocation).
> > Equity == Initial Equity * EF
> >
> >
> > */
> >
> >
> > //PART IA TRADE SERIES MODULE (CLOSED TRADE EQUITY - ONLY ONE
TRADE
> > PER SYMBOL OPEN AT A TIME)
> >
> > Filter = 1;//allows code to run as an exploration for code testing
> >
> > M = DayOfWeek() == 1;
> > F = DayOfWeek() == 5;
> > BI = BarIndex()== 0;
> >
> >
> > B = M;//Buy on Monday
> > S = F OR BI;//first bar set to sell and then sell on Friday's
> > thereafter
> >
> > B = Flip(B,S);//latches the Buy signal to prevent concurrent buys
> >
> > BP = SP = C;//BuyPrice, SellPrice
> >
> > CS = B == 0 AND Ref(B,-1) == 1;//Confirms the sell (it has exited
> > from a latched buy)
> > CB = B == 1 AND Ref(B,-1) == 0;//Confirms buy (it enters a
latched
> > buy)
> >
> >
> > //Plot(B,"Buy",5,1);
> > //Plot(S,"Sell",2,1);
> >
> > //Plot(CB,"Buy",5,1);
> > //Plot(CS,"Sell",2,1);
> >
> >
> > //Plot(BP,"BuyPrice",5,1);
> > //Plot(SP,"SellPrice",2,1);
> >
> > TSFactor = IIf(CS,SP/ValueWhen(CB, BP,1),1);//TradeSeriesFactor
as
> > GrowthFactor
> >
> > // next section to be changed to log/antilog to avoid need for
> looping
> >
> > EF = 1;//initialises EquityFactor to 1
> >
> > for (i = 1; i < BarCount; i++)
> > {
> > EF[i] = EF[i-1] * TSFactor[i];
> > }
> >
> > //Plot(EF,"EquityFactor",5,1);
> >
> >
> >
> > //PART 1B - Progressive StandardDeviation Of The Trade Series
> >
> >
> > Trades = IIf(CS,TSFactor,0);//reconfigures trade series so that
> > tradesNOT == 0,
> >
> > TradeFlag = IIf(CS,1,0);//returns 1 for every trade
> > ST = Cum(Trades);//Sums Trades
> > STS = Cum(Trades^2);//Sums the TradesSquared
> > CT = Cum(TradeFlag);//Counts the Trades
> >
> > StandardDevP = sqrt( STS/CT - (ST/CT)^2 );//uses Ken Closes
> > restated StDev equation,
> >
> > //Plot(,"",1,1); plot template for copy and paste
> >
> > //Plot(Trades,"Trades",1,1);
> > //Plot(TradeFlag,"TradeFlag",1,1);
> > //Plot(ST,"SumTrades",2,1);
> > //Plot(CT,"CountTrades",3,1);
> > //Plot(STS,"SumTradesSquared",2,1);
> >
> > Plot(StandardDevP,"Cumulative StDevP",6,1);
> >
> >
> > //Exploration report columns for code testing via manual export
to
> > spreadhsheet,
> >
> > // tested OK with a sample of 48 closed trades (3 were breakeven
> > trades) - StDevP agreed with Excel StDevP calculations to 4 or 5
> > decimal places
> >
> >
> > AddColumn(Trades,"Trades",1.9);
> > AddColumn(ST,"SumTrades",1.9);
> > AddColumn(CT,"TradesCount",1.0);
> > AddColumn(STS,"SumTradesSquared",1.9);
> >
> > AddColumn(StandardDevP,"StandardDevTrades",1.9);
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
wrote:
> > >
> > > Herman and Al,
> > >
> > > I took the scissors to my first effort.
> > >
> > > It isn't an inline backtester, rather an inline
RootCauseMetrics
> > > indicator (possibly it could be used for calculating the common
> > > Performance Metrics 'on the fly', including with lookback
> periods).
> > >
> > >
> > >
> > > This is the basic starting module.
> > >
> > > It should be possible to modify it to allow for concurrent
> signals,
> > > open trade interest, although it gets a bit harder from here
for
> me
> > > (maybe not for others).
> > >
> > > I have checked it over a few charts and so far it stands up O.K
> > > I haven't used in the line of fire though.
> > >
> > > Any potential in it for you guys?
> > >
> > >
> > >
> > > FTR
> > >
> > > This is a continuation of discussion at topic:
> > >
> > > "How To Save Metrics In Composite For Indidual BT's"
> > >
> > > A little background discussion about the idea behind the code
is
> at
> > >
> > > message # 127383 and # 127420 in the above thread.
> > >
> > > //P_InLineMetrics
> > >
> > > //Monday is used as the example because it is an unambiguous Buy
> > > //Typically most markets have Mon or Fri public holidays so it
> > allows
> > > for checking code response to duplicate buys and sells (signal
> > errors)
> > > //BarIndex() is added as a buy condition to workaround the
> > > propogating of {empty} values that can arise in the first few
bars
> > > //A latch is used so that only one trade can be entered at a
time
> > and
> > > every Sell must have a corresponding Buy
> > > //Plots the trade series, as GrowthFactor, which is equivalent
to
> %
> > > //No trades are accounted for and recorded as GF 1
> > > //The code doesn't identify break even trades i.e. GF == 1 but
it
> > can
> > > be modified to do so
> > > //since commissions aren't considered the Eq outcome for break
> even
> > > trades is correct
> > > //the progressive product of the GF is equivalent to the Equity
> > Curve
> > > for a fixed capital investment
> > > //if the intitial Equity is 1 the EQ is the standardised Equity
> > Factor
> > > //Equity == Initial Equity * EF
> > > //the product of individual GF's, sumbol by symbol, is the
> > Portfolio
> > > Growth Factor the progessive product of which produces the
> > Portfolio
> > > Equity Factor
> > > //same bar entry/exits are not allowed but the code can be
> modified
> > > for that if required
> > >
> > >
> > >
> > >
> > > //PART IA TRADE SERIES MODULE (CLOSED TRADES - ONLY ONE TRADE
PER
> > > SYMBOL OPEN AT A TIME)
> > >
> > > M = DayOfWeek() == 1;
> > > F = DayOfWeek() == 5;
> > > BI = BarIndex()== 0;
> > >
> > >
> > > B = M;//Buy on Monday
> > > S = F OR BI;//first bar set to sell and then sell on Friday's
> > > thereafter
> > >
> > > B = Flip(B,S);//latches the Buy signal to prevent concurrent
buys
> > >
> > > BP = SP = C;//BuyPrice, SellPrice
> > >
> > >
> > > //Plot(B,"Buy",5,1);//FFP - fault finding plot used when
writing
> > the
> > > code
> > > //Plot(S,"Sell",2,1);//FFP
> > >
> > > //Plot(BP,"BuyPrice",5,1);//FFP
> > > //Plot(SP,"SellPrice",2,1);//FFP
> > >
> > > TradeSeries = IIf(S ==1 AND Ref(B,-1) == 1,SP/ValueWhen(B == 1
> AND
> > Ref
> > > (B,-1) == 0, BP,1),1);//
> > >
> > > Plot(TradeSeries,"TradeSeries",1,1);//as GrowthFactor
> > >
> > >
> > > EF = 1;//initialises EquityFactor to 1
> > >
> > > for (i = 1; i < BarCount; i++)
> > > {
> > > EF[i] = EF[i-1] * TradeSeries[i];
> > > }
> > >
> > > Plot(EF,"EquityFactor",5,1);
> > >
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
> 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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