|
PureBytes Links
Trading Reference Links
|
Thanks Mike,
CBT .. one of my projects to come
A
----- Original Message -----
From: "Mike" <sfclimbers@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, September 03, 2008 9:06 PM
Subject: [amibroker] Re: Portfolio Equity - AB version 5.16
> Ara,
>
> The Equity() function is a single symbol "backtester in a box",
> meaning that it will figure out all your positions (for the current
> symbol only, ignoring all other symbols) at the point that it appears
> in your code.
>
> The ~~~Equity symbol is a pseudo symbol generated as a result of a
> backtest and includes the positions for the entire portfolio as
> specified by the settings of the AA window.
>
> If you want to make reference to ~~~Equity in your code, you need to
> generate it first. As such, your strategy logic cannot depend on
> ~~~Equity or you end up with a chicken/egg problem.
>
> To achieve what you are trying to accomplish, you must write custom
> backtester code in which you can, on a bar by bar basis, refer to the
> Equity property of the backtester object to find the portfolio equity
> at each bar. You would then use that value to calculate your position
> size, on a bar by bar basis, and apply it to each of the signals for
> that bar (i.e. set the PosSize property of each Signal object).
>
> Refer to "AmiBroker Custom Backtester Interface.pdf" in the Files
> section of this group to learn how to write your own backtester code.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>>
>> Having trouble with Portfolio Equity function
>>
>> The code below works OK if I use Equity(0,0);
>>
>> It does not work if I use Foreign("~~~Equity",C"); No trades are
> detected.
>>
>>
>> StartEquity = 100000;
>>
>> SetOption("InitialEquity", 100000);
>>
>> SetOption("MinShares",100);
>>
>> Max_Pos = 30;
>>
>> SetOption("MaxOpenPositions",Max_Pos);
>>
>> RoundLotSize = 10;
>>
>> PointValue = 1;
>>
>> //
>>
>>
>>
>> //Compute Positions and position size
>>
>> Port_Equity = Equity(0,0); // <<<< ====
> This works OK
>>
>> Port_Equity = Foreign("~~~EQUITY()","C"); // <<<< ====
> This does not work
>>
>> Positions_ = Port_Equity / 10000;
>>
>> Positions = IIf(Positions_ > Max_pos,Max_pos,Positions_);
>>
>> SetPositionSize(Port_Equity/Positions,spsValue);
>>
>>
>>
>> Thanks
>>
>>
>>
>> Ara
>>
>
>
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|