Greetings --
See if this helps:
/////////////////////////////////////////////
// EquityCurveFilter.afl
//
// Howard Bandy
// October 2008
MALength = Param("MALength",5,1,100,1);
Buy = Cross(C,MA(C,MALength));
Sell = BarsSince(Buy) >= 5;
e = Equity();
EquityFilter = ROC(e,5)>0;
Buy = Buy AND EquityFilter;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
ef = Equity();
Plot(C,"C",colorBlack,styleCandle);
Plot(e,"e",colorGreen,styleLine|styleLeftAxisScale);
Plot(ef,"ef",colorBlue,styleLine|styleLeftAxisScale);
//////////////////////////////////////////
Trading the equity curve is essentially the same as trading a price series. Apply any indicator you want to the daily equity.
With a little more complexity, you can wait for trades to exit normally, then use the equity curve filter to allow or block the next signaled trade. Keep track of the "shadow equity" to determine when to resume trading.
Thanks,
Howard
On Sun, Oct 5, 2008 at 7:43 AM, droskill
<droskill@xxxxxxxxx> wrote:
I'm trying to create a system that uses the equity curve to make
determinations of what trades to take. I understand I need to use the
custom backtester - but I could really use an example if anyone has
one lying around. Any help greatly appreciated!
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