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Some parts of the formula don't make sense. I rewrote the formula and
it is blow and made comments on some lines. For some reason using
positionsize causes the back test to fail but then I was running it
on TFZ8, R200 futures contract. And I don't try to set back test
parameters in my code. Anyway the BT ran hourly gave a 430% / year on
this contracts. But don't believe everything a BT tells you and you
will be far ahead of the game.
To run back test on a watchlist config the Auto Analysis window Apply
to, to the watch list you want and run back test. Then set the Range
from and to to some period. Don't use all quotations. You want to
develop your system and test it on various periods to see how it
works in different sample sets. I ran this on a WL with the DOW 30.
The BT results will be added to the report.
Barry
Updated formula:
pFast = Param("Fast MA", 8, 1, 20, 1);
pSlow = Param("Slow MA", 13, 1, 50, 1);
pFast = Optimize("Fast MA", pFast, 2, 50, 1);
pSlow = Optimize("Slow MA", pSlow, 1, 50, 1);
fma = MA(C, pFast ); //MA(C,MA1length); ## I don't know what this is
but I expect you want to optimize the MAs in this formula
sma = MA(C, pSlow ); //MA(C,MA2length); ## ditto
PositionScore = RSI(15);
MAup = Cross(FMA, SMA) AND C > 0.1;
MAdn = Cross(SMA, FMA) AND C > 0.1;
// buy if condition true on last bar close
Buy = Cover = Ref(MAup, -1) ;
BuyPrice=Open;
// sell if condition true on last bar close
Sell = Short = Ref(MAdn, -1);
SellPrice = Open; // since you are examining the last bar you want to
trade on the next open not the next close
SetTradeDelays(0,0,0,0);
// PositionSize=50000; // for some reason when I use this the back
test fails
Plot(Close, "Price", colorBlack, styleBar);
Plot(fma, "Fast MA(" + NumToStr(pFast, 1.0) + ")", colorBlue,
styleLine);
Plot(sma, "Slow MA(" + NumToStr(pSlow, 1.0) + ")",
colorRed,styleLine);
PlotShapes(shapeUpArrow * Buy,colorBrightGreen);//
PlotShapes(shapeDownArrow * Sell,colorRed);
Filter = Buy OR Sell;
AddColumn(V,"volume");
AddColumn(RSI(15),"rsi");
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Radge" <paulradge@xxx> wrote:
>
> Hi ,
> Looking for some help again please ,
> re the code below and explorations/backtest reports,
> r=8;
>
> t=13;
>
> Plot(Close, "Price", colorBlack, styleBar);
>
> Plot(MA(Close,r),"r-MA",colorBlue,styleLine);
>
> Plot(MA(Close,t),"t-MA",colorRed,styleLine);
>
>
>
> MA1length=Optimize("ma1length",3,2,50,1);
>
> MA2length=Optimize("MA2length",20,50,100,2);
>
> fma=MA(C,r);//MA(C,MA1length);////
>
> sma=MA(C,t);//MA(C,MA2length);////
>
> PositionScore=RSI(15);
>
> Filter=Cross(FMA,SMA) AND C>.1 ;
>
>
>
> Buy=Ref(Filter,-1);
>
> BuyPrice=Open;
>
> Sell=Buy;
>
> SellPrice=Close;
>
> SetTradeDelays(0,0,0,0);
>
> PositionSize=5000;
>
> PlotShapes(shapeUpArrow*Buy,colorBrightGreen);//
>
> PlotShapes(shapeDownArrow*Sell,colorRed);
>
>
>
> AddColumn(V,"volume");
>
> AddColumn(RSI(15),"rsi");
>
>
>
> I'm finding that if i explore a particular date ie 6/10/2008 and
then backtest on the 7/10/2008 i'm not always backtesting the same
stock that was found the day before,i say not always as sometimes the
backtest is correct but not 100% of the time.This worries me because
when i optimize the system i may be getting a false report.
>
> Within AA i'm using the function "use filter" and
selecting "define" ,,market=asx,,group=equity's.
>
> Also ,sometimes the stock that is backtested is not even in the
exploration results list from the day before,,,,,,,,,,puzzled again.
>
>
>
> I've also tried scanning the entire asx for stocks with a close
above 0.1 and created a new watchlist and then defined that watchlist
via AA with similar problems,,,
>
>
>
> Wondering if anyone can see an error in the code (?) or do you
think i've got a watchlist population problem or maybe i need to
include a "get watchlist" in the code,,i have tried looking through
the help file on get watchlist but i'm getting a little lost there.
>
>
>
> Any advise would be appreciated as i'm concerned any optimization
or backtest may include some errors and i need to be confident i've
got a true report of the system
>
> regards
>
> Paul
>
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