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Hi Howard,
here's what i've done with the code at this stage
re Symbols in the watchlist ASX
,Equity's.
re settings daily,long,
i appreciate your interest and help but i'm really
not sure this idea is going to work and i could be wasting your time which is a
concern for me.
I
read a post recently that you've written a new book,,i learnt about ma cross
overs and optimizing from your first so it may be best that i have a look at
your second book rather than trying to think something up on my
own,
i've waived the white flag many hours ago regarding
me learning programing but the desire to have something mechanical on EOD is
still there.
sincere regards
Paul
// radge1.afl
//Day Trade
InitEquity = 10000;
SetOption ("InitialEquity",InitEquity);
SetTradeDelays (1,1,0,0); // Explore today trade
tomorrow
// Number of positions to hold
MaxQty = 1;
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
myroc1= 1;//Optimize("myroc1",3,1,10,1);
myroc2= 10;//Optimize("myroc2",20,1,30,1);
froc= ROC(C,myroc1);
sroc= ROC(C,myroc2);
PositionScore = froc / sroc; //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 AND RSI(15)>30;
// 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
----- Original Message -----
Sent: Monday, September 29, 2008 9:33
PM
Subject: Re: [amibroker]
backtesting
Hi Paul -- Can you post the code your are using, along
with the symbols in the watchlist, and the settings you are
using? Thanks, Howard
On Sun, Sep 28, 2008 at 5:53 PM, Paul Radge <paulradge@xxxxxxxxxcom.au>
wrote:
Hi Howard,
i'm wondering if you know what this means,,
when i run the exploration one day and then
backtest for the following day to see if it selects the same stock
....
i'm finding that the program is just about
always selecting the first stock that has a positionscore value of 1.#J or
-1.#J instead of selecting the stock that has the highest positionscore
value.
I'm assuming it's some computer language
but wondering why it's mixing in with typical counting,,,well not actually
wondering why but wondering how to fix it please ???
regards
Paul
-----
Original Message -----
Sent:
Saturday, September 27, 2008 10:25 PM
Subject:
Re: [amibroker] backtesting
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 -----
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");
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