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Hey Ed,
Thank you so much for the code on the Amibroker Yahoo group board! It
seems to be working from what I've seen so far. I'm doing an
optimization on that particular code (your first code) right now.
The second code (the one from your email) didn't work. That is, there
were sales of one stock and buy of another stock on the same day. Not
sure what your code was doing but it gave a lot bigger profits using the
backtester. Could you comment on this please?
Mind you that this is my first attempt to writing code for any stock
type software. I'm still using the 30 day free trial of the Amibroker
software but I think that I'm getting closer as I'm chugging along.
My agenda is to use this on a basket of ETF's. Perhaps 10 to 20 or
so. Not sure how many I need since the 30 day trail backtests up to a
basket of 5 stocks. My idea is to place the possible stock trades
using the whole basket of ETF stocks at night for the next trading
session. I have an IB account so I figure I could use an OCA limit
order. Basically whenever a trade gets hit first (meets the limit price
level), it trades. The other possible trades all get canceled right
away. So one trade actually goes through for the day.
BTW, I like ETF's because the drawdowns are not as scary.... okay,
usually not as scary. Ha! I've been backtesting with:
QQQQ, DIA, SPY, MDY, IWM
Thank you again!
Andy
Edward Pottasch wrote:
>
> Andy,
>
> I have sent an alternative solution to your private Email. Let me know
> if you received it.
>
> Ed
>
>
>
> ----- Original Message -----
> *From:* Andy <mailto:senft@xxxxxxxxxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> *Sent:* Thursday, January 29, 2009 12:40 PM
> *Subject:* [amibroker] Re: Sell and Buy on different days
>
> This is got to be a very simple task but unfortunately AmiBroker told
> me that I would have to write Backtester Interface code for this. I'm
> sure this has been done a million times. Anyone have sample code?
> I'm using EOD data to trade one stock at a time from a basket of
> stocks. The problem is that a selling of a stock can occur on the
> same day as a buy of *another* stock. Of course the problem is that
> the sell trade can occur after the buy trade.
>
> --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com>, "Andy" <senft@xxx> wrote:
> >
> > How do I fix the below code so it doesn't buy a different stock on a
> > sell day?
> >
> > --------------------------------------------------------
> > // Backtester Options
> > SetOption("MaxOpenPositions", 1 );
> > SetOption("AllowSameBarExit", False);
> >
> > // Optimization numbers
> > BuyPeriod = Optimize("BuyPeriod",16,10,20,2);
> > BuyFactor = Optimize("BuyFactor",1.2,0.5,1.5,.1);
> > SellPeriod = Optimize("SellPeriod",20,10,20,2);
> > SellFactor = Optimize("SellFactor",0.8,0.5,1.5,.1);
> >
> > // ATR formulas
> > TodaysBuyTarget = High - BuyFactor * ATR(BuyPeriod);
> > YesterdaysBuyTarget = Ref(High,-1) - BuyFactor *
> Ref(ATR(BuyPeriod),-1);
> > YesterdaysSellTarget = Ref(Low,-1) + SellFactor *
> Ref(ATR(SellPeriod),-1);
> >
> > // Buy/Sell signals and prices
> > Buy = YesterdaysBuyTarget > Low;
> > BuyPrice = IIf(YesterdaysBuyTarget > Open, Open,
> YesterdaysBuyTarget);
> > Sell = YesterdaysSellTarget < High;
> > SellPrice = IIf(YesterdaysSellTarget < Open, Open,
> YesterdaysSellTarget);
> > Buy = ExRem(Buy,Sell);
> > Sell = ExRem(Sell,Buy);
> >
>
>
> ------------------------------------------------------------------------
>
>
> No virus found in this incoming message.
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> Version: 8.0.176 / Virus Database: 270.10.15/1921 - Release Date: 1/28/2009 6:37 AM
>
>
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