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Thanks for the response Howard. I'm going to figure out how the
exploration and your code works.
Thanks!
BB
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> 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@xxx>
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 <amibroker%
40yahoogroups.com>, "Howard B"
> > <howardbandy@> 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@>
> > 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
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
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