Re: [amibroker] Re: AFL getting started., AmiBroker Email List Archive

Hi BB --

You might consider using an Exploration instead of a Backtest to generate the statistics you are looking for.

In the Exploration, look ahead to see what the conditions will be. You can't do that in a trading system, but you can in an exploration.

For example:

///////////////////////////////////////////////////////
//    SampleExploration.afl
//
//    Howard Bandy
//    September 2008

SetTradeDelays(0,0,0,0);

//    Set up the conditions you are interested in.

RSILevel = Optimize("RSILevel",20,1,100,1);

//    If the RSI rose through the indicated level yesterday,
//    Buy this morning's Open
Buy = Ref(Cross(RSI(),RSILevel),-1);
BuyPrice = Open;

//    Look ahead to see what the profit potential is
HHVAhead = Ref(HHV(H,5),5);
ProfitPotential = (HHVAhead - BuyPrice) / BuyPrice;

//    Keep track of when the Buy occurred.
//    If you have multiple Buys before the first Sell,
//    this will pick up the most recent Buy, which is incorrect.
//    In that case, you might want to write a loop
//    to control the prices more exactly.
BuyAgo = BarsSince(Buy);

//    Sell at the ideal time and price
Sell = H == Ref(HHVAhead,-BuyAgo);
SellPrice = H;

//    Show only those days with the Buy signal
Filter = Buy;

//    Display figures of interest
AddColumn(Buy,"Buy",4.0);
AddColumn(BuyPrice,"BuyPrice",10.4);
AddColumn(Close, "Close", 10.4);
AddColumn(ProfitPotential,"Profit P",10.4);
AddColumn(HHVAhead,"HHVAhead",10.4);
AddColumn(Ref(RSI(),-2),"RSI 2 ago",1.4);
AddColumn(Ref(RSI(),-1),"RSI Yest",1.4);
AddColumn(RSI(),"RSI",1.4);

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

Thanks,
Howard

On Mon, Sep 29, 2008 at 5:30 AM, bimbo2blond <bimbo2blond@xxxxxxxxx> wrote:

Hello Howard,

Thanks for your reply.
The daily buying is clear. The other answer makes at least clear
that what I want is a bit more complicated as I thought.

Basicly I want to test entry and exit strategies independently. To
see only the effects of the exit strategy I need a 'random' entry.
By buying on every open I have a random entry and a lot of data to
give the results of the exit strategy statistical relevance. If the
entries generated when already in the market are ignored certain
types of markets will be filtered out. Consequently the results may
become skewed.

I need a way to compound on every entry signal generated and then
link every entry signal with it's own exit price generated by the
exit algorithm. As long as the exit strategy is no function of the
entryprice fifo will lead to correct trade reports. I guess this
shouldn't be to hard to accomplish? However when entryprice effects
the exitstrategy (e.g. you pull up the stopprice asap to break even)
fifo will give incorrect trade reports as later entries may exit
earlier. The stop is pulled up to breakeven and gives the position
less freedom to move before hitting the stop.

Thanks
BB

--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Hi Bimbo --
>
> You want to buy on the open every day? If you are using end-of-
day data:
>
> Buy = 1;
> BuyPrice = Open;
>
>
> If you are using the ordinary capabilities of AmiBroker (which I
assume you
> are since you are just starting), you will have only one position
open for a
> given symbol. Until you exit the first trade, all succeeding Buy
signals
> for that symbol will be ignored. If you are running a portfolio,
AmiBroker
> keeps track of the Buy and Sell according to the symbol, so there
is no
> confusion in the report.
>
> Thanks,
> Howard
>
>
> On Sat, Sep 27, 2008 at 3:59 PM, bimbo2blond <bimbo2blond@xxx>
wrote:
>
> > Hello,
> >
> > I'm just starting with amibroker and have two questions.
> >
> > - How do I program that every day on the open a position is
opened?
> > Will 'Buy = Open' do the job?
> >
> > - How do I link a buying signal with a sell signal? E.g. I use an
> > exitstrategy that is a function of the entryprice. Then it is
possible
> > that the exit signals appear in a different order then the
> > entrysignals. How do I make sure that the entry and exit signal
are
> > linked so that the report produces correct trade to trade
results? (If
> > entry and exit are not linked correctly I may get an incorrect
> > assesment of the stability of the system)
> >
> > Thanks
> > BB
> >
> >
> >
>