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Hi,
Do you have an idea why the below code does not work? I would
appreciate any help as I am stucked. I would like to insert the
condition into the buy condition
MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C") i.e. if the equity
grows, the non liquid stocks will be ignored. Obviously, it does not
work as above so I wanted to use the following custom backtester
procedure.
Buy=Cross(RSI(),20);
Sell=Cross(20,RSI());
SetOption("UseCustomBacktestProc", True );
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject();
bo.PreProcess();
for (bar = 0; bar < BarCount; bar++) {
for (sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar))
{
if (sig.IsEntry())
{
SetForeign(sig.Symbol);
Liquidity = MA(C,5)*MA(V,5)*50;
RestorePriceArrays();
if (Liquidity[bar] < bo.Equity)
{
sig.PosSize = 0;
}
}
}
bo.ProcessTradeSignals(bar);
}
bo.PostProcess();
}
--- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@xxx> wrote:
>
> Thank you, Mike. I managed to solve the trace. I inserted the
> _TRACE(sig.symbol+" PosSize="+sig.PosSize+" Equity="+bo.Equity+"
> Type="+sig.type+" reason="+sig.reason+" PosScore="+sig.PosScore);
> and it outputted the properties, altough I don't know how to trace
> trade properties since it is a mid-level interface code but I will
> play with it a bit more.
>
> Looking at the trace, I couldn't figure out why your code does not
> work. It gives the same result whether I paste the code or delete
it.
> It doesn't change anything.
>
> May I ask you to try the code you mentioned below, just add any
> buy,sell rules. Does it make any difference for you?
>
> Thank you,
> Zozu
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > If you haven't already, you will need to add a call to your AFL
to
> > indicate that you want your custom backtester code to run:
> >
> > SetOption("UseCustomBacktestProc", True );
> >
> > For the trace statements, simplify your life first, then build
from
> > there. Start with a simple _TRACE("Did this work?"); If you are
> using
> > one of the more recent versions of AmiBroker, you can see the
> output
> > in the Log window (may need to right click in the log to enable
> > internal/external output - don't remember which).
> >
> > I seem to recall running into issues when trying some formats in
my
> > _TRACE output with DebugView. It might have had to start with a
> hard
> > coded string rather than the direct result of StrFormat, but I
> really
> > don't remember, so don't quote me on that.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > >
> > > Thanks, Mike. I copied the code you wrote below and it does not
> make
> > > any difference when I insert it or remove it into my system. I
> also
> > > wanted to debugview it inserting this line into various places
in
> > the
> > > code and I couldn't get the debugview work.
> > > _TRACE(StrFormat("Buying " + sig.Symbol + ", price = %1.3f",
> > > sig.Price));
> > >
> > > What's wrong with the code and why the debugview doesn't get
the
> > > stuff.
> > >
> > > Thanks for you help. I appreciate any comment.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > > >
> > > > Documentation for custom backtester can be found here:
> > > > http://www.amibroker.com/guide/a_custombacktest.html
> > > >
> > > > You cannot reference ~~~Equity during the formulation of your
> > > > Buy/Sell trade rules since the value of ~~~Equity is not
> > calculated
> > > > until after the trade rules have been applied (i.e. chicken
and
> > egg
> > > > problem).
> > > >
> > > > For the scenario you describe, you could probably do your
> > > calculation
> > > > and compare it to bo.Equity. In the sample below, bo.Equity
is
> the
> > > > equity of your account on a bar by bar basis. If you don't
like
> > the
> > > > result, set sig.PosSize property to 0 and the trade will be
> > skipped.
> > > >
> > > > I don't have AmiBroker on this machine, so I cannot verify
the
> > > > following syntax, and cannot attest to its efficiency. But,
the
> > > idea
> > > > would be something along the lines of:
> > > >
> > > > if (Status("action") == actionPortfolio) {
> > > > bo = GetBacktesterObject();
> > > > bo.PreProcess();
> > > >
> > > > for (bar = 0; bar < BarCount; bar++) {
> > > > for (sig = bo.GetFirstSignal(bar); sig; sig =
> bo.GetNextSignal
> > > > (bar)) {
> > > > if (sig.IsEntry()) {
> > > > SetForeign(sig.Symbol);
> > > > Liquidity = MA(C,5)*MA(V,5)*50;
> > > > RestorePriceArrays();
> > > >
> > > > if (Liquidity[bar] < bo.Equity) {
> > > > sig.PosSize = 0;
> > > > }
> > > > }
> > > > }
> > > >
> > > > bo.ProcessTradeSignals(bar);
> > > > }
> > > >
> > > > bo.PostProcess();
> > > > }
> > > >
> > > >
> > > > Mike
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > > > >
> > > > > Thanks, Mike. The "Allow position size shrinking" trick
> > basically
> > > > > does what I need. Although, I don't understand the 2nd part
> > about
> > > > the
> > > > > custom backtester code. Is there any documentation about
the
> > > > advanced
> > > > > backtest code?
> > > > >
> > > > > There is one issue I cannot solve. I would like to have in
> the
> > > Buy
> > > > > condition the following.
> > > > >
> > > > > MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C")
> > > > >
> > > > > i.e. if the equity grows, the non liquid stocks will be
> ignored.
> > > > >
> > > > > How is it possible code this? The above example does not
work.
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@>
wrote:
> > > > > >
> > > > > > Hi,
> > > > > >
> > > > > > If I understand your scenario correctly. You don't have
to
> > > worry
> > > > > > about it, because AmiBroker will not allow you to place
an
> > > order
> > > > > for
> > > > > > a value greater than you actually have available in your
> > > account.
> > > > > > Just select the "Allow position size shrinking" checkbox
> from
> > > the
> > > > > AA
> > > > > > settings window, then set your position size based on
your
> > > volume
> > > > > > calculations. AmiBroker will scale down as necessary when
> your
> > > > > > calculations exceed your equity.
> > > > > >
> > > > > > Otherwise, as explained by Graham, if you are backtesting
> over
> > > > more
> > > > > > than a single symbol, then you can access the equity from
> > > within
> > > > > > custom backtester code.
> > > > > >
> > > > > > e.g.
> > > > > >
> > > > > > SetBacktestMode(backtestRegularRaw);
> > > > > > SetCustomBacktestProc("");
> > > > > >
> > > > > > if (Status("action") == actionPortfolio) {
> > > > > > bo = GetBacktesterObject();
> > > > > > bo.PreProcess();
> > > > > >
> > > > > > for (bar = 0; bar < BarCount; bar++) {
> > > > > > for (sig = bo.GetFirstSignal(bar); sig; sig =
> > > bo.GetNextSignal
> > > > > > (bar)) {
> > > > > > ... // Make any adjustment to sig.PosSize that you
> want
> > > > using
> > > > > > bo.Equity in your calculations.
> > > > > > ... // If you need access to the symbol for Volume,
> etc.
> > > > use
> > > > > > Foreign(sig.Symbol, "V").
> > > > > > }
> > > > > >
> > > > > > bo.ProcessTradeSignals(bar);
> > > > > > }
> > > > > >
> > > > > > bo.PostProcess();
> > > > > > }
> > > > > >
> > > > > > Mike
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@>
> wrote:
> > > > > > >
> > > > > > > I tried this but doesn't work.
> > > > > > > PositionSize = Min(Foreign("~~~EQUITY", "C"),MA(C,5)*MA
> > > > (V,5)/50);
> > > > > > > It is a portfolio backtest.
> > > > > > > The question remains. How is it possible for the
> > positionsize
> > > > to
> > > > > > > follow the equity AND also limit the positionsize by
the
> > > volume?
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, Graham
<kavemanperth@>
> > > wrote:
> > > > > > > >
> > > > > > > > For a portfolio backtest the only place is in the
> > > > > positionsizing
> > > > > > as
> > > > > > > > that is only used during the portfolio backtest pass
> > > > > > > > If it is a single symbol backtest then you can use
> > Equity().
> > > > > > > > If you need to determine trade entries or exits based
> on
> > > > > portfolio
> > > > > > > > equity value then you need to use the advanced
backtest
> > > code
> > > > to
> > > > > > > change
> > > > > > > > the trade values.
> > > > > > > >
> > > > > > > > --
> > > > > > > > Cheers
> > > > > > > > Graham Kav
> > > > > > > > AFL Writing Service
> > > > > > > > http://www.aflwriting.com
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > 2008/5/30 zozuzoza <zozuka@>:
> > > > > > > > > Is there any way to reference the portfolio equity
> > > > > > > > > Foreign("~~~EQUITY", "C") in the buy formula itself?
> > > > > > > > >
> > > > > > > > > I guess that the portfolio equity is available
after
> > > > running
> > > > > the
> > > > > > > > > backtest so it cannot be referenced in the buy
> formula
> > > > itself.
> > > > > > > > >
> > > > > > > > > I've checked the AddToComposite stuff but it is not
> > clear
> > > > how
> > > > > > it
> > > > > > > can
> > > > > > > > > be done.
> > > > > > > > >
> > > > > > > > > Is there a simple solution for this? Thank you.
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > ------------------------------------
> > > > > > > > >
> > > > > > > > > Please note that this group is for discussion
between
> > > users
> > > > > > only.
> > > > > > > > >
> > > > > > > > > To get support from AmiBroker please send an e-mail
> > > > directly
> > > > > to
> > > > > > > > > SUPPORT {at} amibroker.com
> > > > > > > > >
> > > > > > > > > For NEW RELEASE ANNOUNCEMENTS and other news always
> > check
> > > > > > DEVLOG:
> > > > > > > > > http://www.amibroker.com/devlog/
> > > > > > > > >
> > > > > > > > > For other support material please check also:
> > > > > > > > > http://www.amibroker.com/support.html
> > > > > > > > > Yahoo! Groups Links
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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