Re: [amibroker] backtesting, AmiBroker Email List Archive

Hi Howard,

I just returned from the Alpine region of Victoria and downloaded the mass's of Amibroker emails ,i was lucky enough to spot your reply amongst them,thank you.

I'll now make a cup of tea and have a play with the new code,

warm regards

Paul

(ps thanks for fixing my Christian name up too, from my unfamilar cousin's.)

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

From: Howard B

To: amibroker@xxxxxxxxxps.com

Sent: Thursday, September 25, 2008 8:22 AM

Subject: Re: [amibroker] backtesting

Paul -- I meant Paul.

On Wed, Sep 24, 2008 at 3:21 PM, Howard B <howardbandy@gmail.com> 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@xxxxxxxxxcom.au> 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");