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Hi Howard, thanks for the nice post. I have been doing things like this with
Equity() for several years now, but I see one major problem ( bug? ) when
doing it and I wonder if you might be able to comment or perhaps confirm the
problem?
It seems that, when we generate an equity line based on EOD trading it will
calculate our equity based on the Close price, and when we generate the
equity line based on NDO trading it calculates our equity based on the Open
price. This is fine, except that ( only ) when trading NDO, the last value
of the Equity array is apparently *not* calculated on the Open price like
all the other bars, and so when today's data is downloaded, and the last bar
becomes the next-to-last bar, the equity value for that bar will *change*.
So if you are using the last value of Equity() as a condition for doing
something, say for example generating your signals, you run into a *very
real* problem of signals disappearing the next day, or signals coming a day
late. As a practical matter, it seems that when trading NDO, the equity line
really can't be used for anything other than just looking at it because it
is not *reliable*. Would you agree that this is the case? I have mentioned
this to TJ several times in the past but I don't think anything was ever
done to correct it, I guess I will take this opportunity to bring it up it
one more time and perhaps if you agree we could try to muster up some
support for getting it fixed. What do you think? My apologies to TJ if
there is something that I am not understanding correctly...
Steve
----- Original Message -----
From: "Howard Bandy" <howardbandy@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, February 01, 2009 1:05 PM
Subject: [amibroker] Using the Equity Curve to control trading logic
> Greetings all --
>
> I have received a couple of inquiries about using the equity curve to
> control the logic of a trading system. Pasted into this posting is a
> trading system that includes two examples. There are a lot of other
> ways the equity curve can be used.
>
> Thanks,
> Howard
>
>
> // EquityCurveLogicSwitcher.afl
> //
> // Howard Bandy
> // February 2009
> //
> // In response to an inquiry from the forums --
> //
> // This is an example of using the daily equity
> // to control the logic of a trading system.
> //
> // Code two trading systems -- System 1 and System 2
> // For this example, they are the reverse of each other.
> //
> // Compute a moving average of daily equity of System 1.
> // Refer to either today's value, or yesterday's,
> // depending on when you want to measure and when you
> // want to act and are able to act.
> // When the moving average of the equity curve of System 1 is
> // higher than it was the previous day, trade System 1.
> // When the moving average is lower, trade System 2.
> //
> // An alternative is to use only System 1.
> // Take signals in the original direction
> // when the equity curve is rising,
> // take signals in the opposite
> // direction when the equity curve is falling.
> //
> // ==========================================================
> // Disclaimer
> //
> // This is only an EXAMPLE, it is NOT A FINISHED TRADING SYSTEM.
> // There are a lot of subtleties to consider when coding
> // and potentially trading this.
> //
> // For example:
> // When do you enter and exit trades
> // When do you calcaulate the original equity curve
> // When do you measure the slope of the original equity curve
> // Making certain that a signal to go Short causes a Long position to exit
> // And so forth
> //
> //
> // I have probably forgotten to do something important,
> // and this code is probably incorrect in exactly the way that
> // will cause you problems.
> // ==========================================================
> //
> // System 1 is a moving average crossover -- replace this
> // with whatever you want to use.
>
> // Code the two trading systems.
>
> MA1Len = Optimize("MA1Len",4,1,25,1);
> MA2Len = Optimize("MA2Len",5,1,25,1);
>
> MA1 = MA(C,MA1Len);
> MA2 = MA(C,MA2Len);
>
> System1Buy = Cross(MA1,MA2);
> System1Sell = Cross(MA2,MA1);
>
> System2Buy = Cross(MA2,MA1);
> System2Sell = Cross(MA1,MA2);
>
> // Compute the equity curve resulting from trading System 1.
>
> Buy = System1Buy;
> Sell = System1Sell;
>
> eSystem1 = Equity();
>
> EquitySmoothLen = 252;
> SmoothedEquity = EMA(eSystem1,EquitySmoothLen);
> SmoothedEquityRising = SmoothedEquity > Ref(SmoothedEquity,-1);
>
> // The two options --
> // TRUE == trade two systems
> // FALSE == trade System 1 in the opposite direction
>
> LogicOption = False;
>
> if (LogicOption)
> {
> // Use the slope of the equity curve of System 1 to
> // decide whether to trade System 1 or System 2.
>
> Buy = IIf(SmoothedEquityRising,System1Buy,System2Buy);
> Sell = IIf(SmoothedEquityRising,System1Sell,System2Sell);
> }
> else
> {
> // Use the slope of the equity curve of System 1 to
> // decide whether or Buy or Short when the System1Buy signal appears
>
> Buy = IIf(SmoothedEquityRising,System1Buy,0);
> Sell = IIf(SmoothedEquityRising,System1Sell,0);
> Short = IIf(NOT(SmoothedEquityRising),System1Buy,0);
> Cover = IIf(NOT(SmoothedEquityRising),System1Sell,0);
> Sell = Sell OR Short;
> Cover = Cover OR Buy;
> }
>
> e = Equity();
>
> // Plot
>
> Plot(C,"C",colorBlack,styleCandle);
> Plot(MA1,"MA1",colorRed,styleLine);
> Plot(MA2,"MA2",colorBlue,styleLine);
>
> Plot(SmoothedEquity,"SmoothedEquity",colorRed,styleLine|styleLeftAxisScale);
> Plot(eSystem1,"eSystem1",colorBlue,styleLine|styleLeftAxisScale);
> Plot(e,"eUsingSwitch",colorGreen,styleLine|styleLeftAxisScale);
>
> // The End
> // ----------------------------------------------
>
>
> ------------------------------------
>
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>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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