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As usual Howard - thanks for the detailed explanation - I'm really
looking forward to your advanced AB book.
So, if we want to compute the daily returns of a given equity, we
should be able to just use the Ref function on the variable that
equity is assigned to - meaning store the daily difference.
Now, my only dream is that the equity function in AB worked on a
portfolio rather than having to go into the Custom Backtester.
But again, thanks for you continued terrific contributions on board -
I'll be the first buyer of the advanced book!
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi Damian --
>
> Yes, the Equity() function returns an array. When that result is
assigned
> to a variable (which must also be an array, and which it will be
unless you
> go to lengths to define it as something other than an array), whatever
> values were assigned to the variable remain in that variable as long
as they
> are not overwritten. So you can, both in concept and in practice, run a
> trading system and capture its equity curve by assigning it to a
variable,
> then use the values stored in that variable to control the program
flow of
> subsequent AFL code. AFL code is processed sequentially. As each
line is
> processed, all elements of any array being assigned a new value are
assigned
> their new values as that one statement is processed. The Buy and Sell
> variables that were used (at the top of the code) to accept signals and
> compute the first equity curve are arrays that have special meaning to
> AmiBroker. But they are variables, and can be overwritten (assigned new
> values) as often as you wish during the execution of an AFL program
further
> down in the code. Every time the Equity() function is called, it
uses the
> values that are in the Buy and Sell variables at that point in the
program
> execution to compute the equity. Most programs assign values to Buy and
> Sell only once, but nothing prevents assigning them new values several
> times. As they are overwritten with new values, whatever values are
stored
> in them at the end of the program execution are the ones that you
will see
> as The Buy and Sell signals that create The backtest results.
>
> ATC is very powerful, and I use it a lot, but it is not necessary
for the
> example posted.
>
> To plot a graph, there are several methods. I use this one when
developing
> systems --
> Open the file (using the Formula Editor) containing the code with
the Plot
> statement.
> Click the Apply Indicator icon in the Formula Editor's toolbar (the
little
> graph near the top of the window).
>
> Depending on what you are plotting, and what you are backtesting,
the plot
> may update automatically when backtests are run. For example, once
you have
> plotted the equity, when you select a new symbol to be analyzed, even
> without clicking the Backtest button, the equity for that new symbol
will be
> plotted in its window pane as the price series is plotted in its window
> pane.
>
> Try it.
> Copy the code in the posting.
> Open Formula Editor.
> Paste the code into Formula Editor.
> Save it.
> Within Formula Editor, Click Apply Indicator. A new window pane
will open
> and the plots will appear.
> Expand the Symbols menu and select an issue to be the active issue.
> Within Formula Editor, Click Analysis > Backtest (click the "!"
Icon, then
> pull down its menu).
> Look at the pane that has the plot from this code in it.
> Click the Down Arrow key. If you have not done anything else in
between,
> this will select the next issue in the list. If necessary, click on the
> symbol in the Symbols menu again, then click the Down Arrow key.
Note that
> the equity lines will change. (The equity line plotted from this
AFL, not
> the equity plotted from the Automatic Analysis Equity button)
AmiBroker has
> recalculated the equity that would have been achieved by trading
that same
> system on the new symbol and plotted it automatically.
>
> You can use this procedure to test one issue in a Watchlist, then
step down
> through all the members of the watchlist with the Down Arrow key,
noting the
> shape of the equity curve and the value of the final equity.
>
> Thanks,
> Howard
>
> On Sun, Feb 1, 2009 at 12:03 PM, droskill <droskill@xxx> wrote:
>
> > Interesting example Howard - thanks for sharing.
> >
> > I'll admit I don't understand why this would work as a piece of code -
> > how can you have Amibroker compute a buy and sell for a system and
> > then run it again in the same piece of code - my understanding was
> > that you had to use AddToComposite to achieve this.
> >
> > Two small follow-up questions:
> > - Is Equity an array? I'm assuming it is - so if I wanted to,
> > instead, compute daily returns I could calculate this via
> > Ref(eSystem1,-1)?
> > - Second - and this is really basic but I've never understood how to
> > do it so pardon the stupid question. When you've got a plot command
> > within a backtest, how do you have the plots show up?
> >
> > Thanks, as always, for your contributions to this forum Howard!
> >
> > Best,
> >
> > Damian
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
"Howard
> > Bandy" <howardbandy@> wrote:
> > >
> > > 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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