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Re: [amibroker] backtesting



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Paul -- I meant Paul.



On Wed, Sep 24, 2008 at 3:21 PM, Howard B <howardbandy@xxxxxxxxx> wrote:
Hi Nick --

I've taken the liberty of starting with your first code segment, adding some comments, and making
some changes.  I may not have gotten all of your preferences correct, but try this
and see if it helps.

Thanks,
Howard

////////////////////////////////////////////////////

// radge1.afl

//Day Trade

InitEquity = 100000;
SetOption("InitialEquity",InitEquity);

SetTradeDelays (1,1,0,0); // Explore today trade tomorrow


// Number of positions to hold
MaxQty = 10;
SetOption("maxopenpositions",MaxQty);


//    Uncomment the way you want to set position size

// $5000 for each trade
// PositionSize = 5000;

// positionsize is proportional to maximum number held
PositionSize = -100 / MaxQty;



// PositionScore is the ratio of 1 day rate of change to 10 day rate of change
// unless the 1 day rate of change is zero, PositionScore will always be non-zero
// that is, PositionScore will always be True
PositionScore = ROC(C,1) / ROC(C,10); //looking for a big move compared to the last 2 weeks


//  Since PositionScore is always True,
//    Filter is True when Close > Open.
// Filter = PositionScore AND Close > Open; //looking for the biggest move on an up day.
Filter = Close > Open;

// Set a buy signal
BuySignal = Filter;


// Buy whenever today's close is greater than
//    today's open.
// But not two days in a row.
Buy = BuySignal AND NOT(Ref(BuySignal,-1));

// BuyPrice is tomorrow's Open
BuyPrice = Open;
 

// As it stands, the original statement says Sell whenever Close is not Zero.
// You want to sell on the same day you bought.
Sell = Buy;


// You might mean SellPrice = Close?
SellPrice = Close;
 
AddColumn(PositionScore,"score"); //lets me see the score values in an exploration
 

// if anyone could advise on the above idea i would appreciate the help,,,


 


//////////////////////////////////////////////////////


On Mon, Sep 22, 2008 at 4:04 AM, Paul Radge <paulradge@xxxxxxxxxxxxxxx> wrote:

Hi all,
         i recently read a few posts here in the forum and learnt about the function "positionscore".As a non programer i find the forum very usefull.
 
 From those posts i've tried to follow a similar line and test a day trading system,,,like many of my ideas and notions though it may bare no cash flow.
 
What i tried to do was look for a break out and then buy the open next day and sell the close as a true day trade no money down.Here's what i attempted
 
//Day Trade
positionscore = ROC(c,1) / ROC(C,10); //looking for a big move compared to the last 2 weeks
 
Filter = Positionscore and Close > Open; //looking for the biggest move on an up day.
 
Buy = Filter;
Buyprice = Open;
 
Sell = close;
 
settradedelays = (1,0,0,0); // Explore today trade tomorrow (?)
positionsize = 5000;
 
addcolumn(positionscore,"score"); //lets me see the score values in an exploration
 
//I've got maxtrades set to 1 within settings
 
When i explore from 18/9/08 to 18/9/08 i get stock abc.asx for example but when i backtest from 19/9/08 to 19/9/08 i'm not getting the same ticker that i expected to see traded with the Buy delay set to 1.
 
 If anyone could advise on the above idea i would appreciate the help,,,
 
i also tried this with no luck,,,,,,,,,,,
 
positionscore = ROC(C,1) / ROC(C,10);
 
cond1 = c > o;
 
longsetup = postionscore and cond1;
 
filter = ref(longsetup,-1);
 
buy = filter ;
buyprice = open;
sell = close;
 
settradedelays = (0,0,0,0);
positionsize = 5000;
 
addcolumn(positionscore,"score");


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