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I am a new AB user and new to message groups so if I violate any
protocols, pls excuse the transgression.
I have been trying to code both approaches suggested in this thread.
the first one creates a synthetic price and the second one suggested
by TJ which uses an inverted signals. I prefer to do the first since
i trade a basket of stocks and use 1 ticker as a hedge stock to
counterbalance my longs/shorts. IOW, I might be long IBM short QQQQ,
THEN short WMT long QQQQ,etc. By creating the synthetic price, it is
much cleaner for performance tracking,etc and pnl since the entire
pnl (stock + hedge stock) is embedded in the entry/exit price of the
stock. I am listing my code below with the hopes of getting help from
the knowlegable users here. The code works IF there is a single
signal for each ticker per day. So if IBM has a buy signal Oct 10,
another stock gets bought oct 11,etc the synthetic buy/sell prices
gets calcualted perfectly. The problem is if there are 2 or more buy
signals for that day. The code calculates the correct entry/exit
prices for the 1st ticker but uses regular close prices for entry
exit on the 2nd , 3rd....stocks. I don't understand why the inner for
loop ignores the other symbols after the first and goes to the next
bar. I am not sure how the advanced portfolio tester works ,but i
assume if you have a 10 ticker watchlist, it goes to bar 1 for the
1st ticker, bar 1 for the 2nd ticker, bar 1 for the 3rd ticker, etc
and once it finishes that bar for that day on ALL the tickers, it
then and ONLY then goes to the 2nd day for ALL the tickers,etc
Here is the code. PLease help. Thanks.
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio) //main IF
{
bo = GetBacktesterObject(); // Get backtester object
bo.PreProcess(); // Do pre-processing (always required)
SPYLastRA=Foreign("SPY","C");
for (i = 1; i < BarCount; i++) // i Loop OPEN
{
for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
{
if (sig.type==1) //sig loop OPEN
{
SPYLast=SPYLastRA[i];
HedgeQty= SPYLast/sig.price;
sig.price=(sig.price*HedgeQty)-(.99*SPYLast);
foundX=0;
Currtickr=sig.symbol;
for (x=i+1;x < BarCount; x++) //inner loop 2 find close trade
{
for (sig2 = bo.GetFirstSignal(x); sig2; sig2 =
bo.GetNextSignal(x))
{
if ( sig2.type==2 AND CurrTickr==sig2.symbol)
{
SPYLast=SPYLastRA[x];
foundX=1;
sig2.price=(sig2.price*HedgeQty)-(.99*SPYLast);
}
} //close sig 2 close
if (foundX==1)
{
x=BarCount;
}
}
} //sig loop CLOSE
} // sig signal CLOSE
bo.ProcessTradeSignals(i);
} // i Loop CLOSE
bo.PostProcess();
} //main IF close
SetPositionSize(100,spsShares);
Buy=RSI(15)<30;
bi = BarIndex();
Sell = bi == LastValue(bi);
Short=0;
Cover=0;
--- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@> wrote:
> >
> > Hi Angelo --
> >
> > Your wrote:
> > "for more clarification, please see a JPEG of an AA results of a
pair
> > trading strategy, stored in
http://www.savefile.com/files/1989358.";
> >
> > That link seems to be broken.
> >
> > Thanks,
> > Howard
> >
> >
>
>
> Hi Howard,
>
> glad you jumped in, eagerly awaiting your new book :).
> Try this link: http://www.filedropper.com/ambpairtrading_1
>
> In short: I created a very basic pair system based on TJ code posted
> in this list: UC_5 and BIN_5 are the two legs of the pair and are
> enclosed in a watchlist.
>
> On 2009/01/30, first trade is opened at 10:05 and closed at 12:50.
> Amibroker treat this as two distinct trades, and so
>
> - all statistics based on number/outcome of trades are misleading (
%
> winners, avg profit%, avgloss % etc... );
>
> - it is really difficult (at least for myself) to correctly manage
the
> position.... for example as of today I'm not able to test a simple
> "Exit target if there's a 1% profit from the combined position
> (example: 2% prof on long leg, and 1% loss on short leg)".
>
> Let me know if you need further details, resolving this issue should
> put Amibroker well ahead of competition in testing pair trading
systems.
>
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