Currently I design systems with basic AFL, modify it to allow it
to drive auto trading and then design it again for analysis using
BarReplay. I am trying to design one system that can be used in all
three environments.
In the auto trading program I use states to keep track of what is going
on and I use numPositions to verify the states since the trading
program can cancel an order if it is not filled by the time the trend
changes. That blows AFLs mind. I also use states to eliminate multiple
signals due to indicator flopping around and causing multiple, unwanted
trades during a bar. That blows AFLs mind too since ALF never sees this
with static data.
Also, my trading program does not perform anywhere near a back test of
the system. A number of my programs back test over 20,000% / year based
on trading about 50 times a day and a 1 minute chart. I read about IO
and wanted to try to use the intelligent optimizer to develop a more
robust system. I assume that since I have such a high back test result
that the system is over optimized, even though I did not use optimize.
When I run the formula with live data it barely makes money. It can
gain $4000 one day and down that much the next. Another reason to use
IO.
So I was trying to figure out how to write my trading program so that
it was compatible with auto analysis, set my program up in AFL so that
I could define the states and keep track of the positions in an attempt
to use AA and IO for analysis. The more I try the more
incompatibilities I find in AFL. I guess AFL was designed as a charting
and analysis program using static data, intraday or EOD and loses its
mind when someone tries to analyze a live trading program.
I am not new at this. I have been coding AFL since 2003 and live
trading programs for over a year. In all that time I have not tried to
use AA because I knew it would not help with live trading programming.
But I was intrigued with the ability of IO.
The code I appended to the last post works and keeps the states in an
array. But for some inexplicable reason AFL will not back test and the
chart will only shows the active state. That probably has something to
do with using static variables to save the state from scan to scan. I
really don't understand why AFL will not allow an array built from a
static variables to be used by AA. It could be that AFL is building the
arrays during every scan and only plots the values from the current
state. That seems to be what is happening. Coming from C++ I don't
understand why I can't put data in array cells and have it stay there
and be used.
So that is where I am coming from and what I am trying to do.
Thanks for the help,
Barry
--- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@...> wrote:
>
> Yeah, Flip is a tricky one to understand. But, the end result is
that you have an array alternating between all 1's and all 0's
>
> e.g.
> AmLong = Flip(Buy, Sell); might give the following:
>
> 1111111111000111110000000001111111
>
> indicating that you were long 10 days, then flat for 3, then long
for 5, then...
>
> What is it that you are trying to do? If this exercise is for
anything more than display purposes, then you may be begging for
trouble. What you are asking for is to implement the AmiBroker
backtester in a few lines of AFL. This has been discussed a few times
in the forum. To my knowledge, it's never been done.
>
> One thing that did come out of a prior discussion was the
following article by Tomasz. Perhaps you can modify it to iterate
through the trades (either open trades bar by bar, or closed trades
after all is completed), and construct a status composite for each
symbol in which you have taken a position. I haven't tried this. But it
may be do-able.
>
> http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backtest-metrics/
>
> What that reiterates is that until you have actually run the
backtester, you won't know for sure whether a position was/is/will be
held.
>
> Mike
>
> --- In amibroker@xxxxxxxxxps.com,
"Barry Scarborough" <razzbarry@> wrote:
> >
> > I will have to digest what you are saying. I don't understand
flip yet.
> >
> > While I was waiting for an answer to my post I tried
something else. It keeps track of the states but will not back test and
the shape arrows are not displayed correctly. If I am in long state the
sell and short arrows are shown. If I am short the buy and cover arrows
are shown. I have seen this before but I do not know why Ami does not
back test and show the arrows correctly. Any ideas why?
> >
> > Thanks,
> > Barry
> >
> > The code:
> > r1 = Param( "Fast avg", 3, 2, 20, 1 );
> > r2 = Param( "Slow avg", 9, 2, 50, 1 );
> > r3 = Param( "Signal avg", 2, 2, 20, 1 );
> >
> > fMacd = MACD(r1, r2);
> > fSig = Signal(r1,r2,r3);
> > Up = fMacd > fSig;
> > Dn = fMacd < fSig;
> >
> > pStoch = Param("Stoch period", 10, 1, 30, 1 );
> > pKavg = Param("%K avg", 3, 1, 20, 1 );
> > Line = Param("Line", 15, 5, 40, 1);
> > fStoch = StochK(pStoch, pKavg);
> > stoUp = fStoch > Ref(fStoch, -1);
> > stoDn = fStoch < Ref(fStoch, -1);
> >
> > state = Nz(StaticVarGet("State"));
> > Buy = (state == 0 OR state == 4) AND fMACD > fSig AND
stoUp;
> > state = IIf(Buy, 1, state); // set long state
> > Sell = state == 1 AND fSig > fMACD;
> > state = IIf(Sell, 2, state); // flat after long state
> > Short = (state == 2 OR state == 0) AND fSig > fMACD AND
stoDn;
> > state = IIf(Short, 3, state); // set short state
> > Cover = state == 3 AND fMACD > fSig;
> > state = IIf(Cover, 4, state); // flat after short state
> > printf("\nState1=" + NumToStr(state, 1) + " State2=" +
NumToStr(Ref(state, -1), 1) + " State3=" + NumToStr(Ref(state,
-2), 1));
> > StaticVarSet("state", LastValue(state));
> >
> > printf("\nbuy=" + NumToStr(Buy, 1) + " sell=" +
NumToStr(Sell, 1) + " short=" + NumToStr(Short, 1) + " Cover=" +
NumToStr(Cover, 1));
> >
> > Plot(fMacd, StrFormat(_SECTION_NAME()+ "(%g,%g)", r1,
r2), ParamColor("MACD color", colorRed ), ParamStyle("MACD
style") );
> > Plot(fSig, "Signal" + _PARAM_VALUES(), ParamColor("Signal
color", colorBlue ), ParamStyle("Signal style") );
> > Plot( fMacd - fSig, "MACD Histogram", ParamColor("Histogram
color", colorBlack ), styleNoTitle | ParamStyle("Histogram style",
styleHistogram | styleNoLabel, maskHistogram ) );
> > Plot(0,"",colorBlack);
> > Plot(state, "State", colorGreen, styleOwnScale) |
styleStaircase;
> >
> > PlotShapes(Buy * shapeUpArrow, colorGreen, 0, fMACD, 5 );
> > PlotShapes(Sell * shapeDownArrow, colorRed, 0, fMACD, 20 );
> > PlotShapes(Short * shapeHollowDownArrow,colorRed, 0,
fMACD, -5 );
> > PlotShapes(Cover * shapeHollowUpArrow, colorGreen, 0, fMACD,
-20 );
> >
> >
> > --- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@> wrote:
> > >
> > > A quick follow up to prevent (hopefully) any
misinterpretation of what I was trying to say.
> > >
> > > 1. The ExRem is only there for the plotting. You
generally shouldn't use it for the Buy/Sell/Short/Cover arrays
since the backtester does it better.
> > >
> > > 2. I did not attempt to prevent a Short if already in a
Buy or vice versa because you cannot know which takes precedence
without looping bar by bar through the range under analysis (to see
which would have occurred first). These are the decisions that the
backtester makes with full information.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@> wrote:
> > > >
> > > >
> > > > Barry,
> > > >
> > > > You cannot reliably do what you are attempting. The
only way to truely
> > > > know whether or not you are in a position is via
iterating through the
> > > > open position list within custom backtester code.
The backtester employs
> > > > numerous rules that affect whether or not a
position is actually taken,
> > > > despite the signals given (e.g. availability of
funds, max positions,
> > > > limits on number of positions per symbol, etc.).
> > > >
> > > > In answer to your other questions, BarsSince is
entirely dependent upon
> > > > the state of the arrays at the time that you call
it. So, of course, it
> > > > matters a great deal where you place the call in
your code.
> > > >
> > > > To illustrate the problem, here is code that will
do what you want. But,
> > > > you will notice that it is wrong since it allows
simultaneous positions
> > > > of both long and short, does not take into
consideration availability of
> > > > funds, etc. all of which only the custom backtester
would be able to
> > > > filter reliably.
> > > >
> > > > MA1 = MA(Close, 5);
> > > > MA2 = MA(Close, 25);
> > > > MA3 = MA(Close, 7);
> > > > MA4 = MA(Close, 35);
> > > >
> > > > Buy = Cross(MA1, MA2);
> > > > Sell = Cross(MA2, MA1);
> > > > AmLong = Flip(Buy, Sell);
> > > >
> > > > Short = Cross(MA4, MA3);
> > > > Cover = Cross(MA3, MA4);
> > > > AmShort = Flip(Short, Cover);
> > > >
> > > > State = IIF(AmLong, 1, IIF(AmShort, 2, 0));
> > > >
> > > > Buy = ExRem(Buy, Sell);
> > > > Sell = ExRem(Sell, Buy);
> > > > Short = ExRem(Short, Cover);
> > > > Cover = ExRem(Cover, Short);
> > > >
> > > > Plot(Close, "Close", colorLightGrey, styleBar);
> > > > Plot(State, "State", colorRed, styleStairCase |
styleOwnScale);
> > > > PlotShapes(Buy * shapeUpArrow, colorGreen);
> > > > PlotShapes(Sell * shapeDownArrow, colorRed);
> > > > PlotShapes(Short * shapeHollowDownArrow,
colorRed);
> > > > PlotShapes(Cover * shapeHollowUpArrow, colorGreen);
> > > >
> > > > Mike
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxps.com,
"Barry Scarborough" <razzbarry@>
> > > > wrote:
> > > > >
> > > > > I am trying to set states based on whether I
have a position and the
> > > > position type. If AFL has a getPositions function I
can't find it. I
> > > > tried to create states using the following code but
barssince does not
> > > > return a valid value.
> > > > >
> > > > > // buy control
> > > > > BarsSB = Nz(BarsSince(Buy), 0);
> > > > > BarsSSl = Nz(BarsSince(Sell), 0);
> > > > > BarsSSh = Nz(BarsSince(Short), 0);
> > > > > BarsSC = Nz(BarsSince(Cover), 0);
> > > > >
> > > > > state = 0;
> > > > > // 0 = no position, 1 = buy last, 2 = short
last;
> > > > > state = IIf(BarsSB == BarsSSh, 0, IIf(BarsSB
< BarsSSh, 1, 2));
> > > > > // if sell after buy we are flat
> > > > > state = IIf(state == 1 AND BarsSSl <
BarsSB, 0, state);
> > > > > // if cover after short we are flat
> > > > > state = IIf(state == 2 AND BarsSC <
BarsSSh, 0, state);
> > > > >
> > > > > If I don't use NZ then BarsSince returns Empty.
> > > > > When I use NZ then I can see trades using plot
shapes. But all the
> > > > barsSince returns 0 so state is always 0. What am I
doing wrong?
> > > > >
> > > > > The really interesting thing is that I can put
the barsince lines
> > > > below the logic where I set buy, sell, short and
cover, then I get
> > > > correct values returned. Why does the position
matter?
> > > > >
> > > > > I can use static vars to keep the state but
when I do that
> > > > AutoAnalysis will not work and the shapes don't
show properly. So I am
> > > > tryng to find a way that allows auto analysis to
work. I tried to use
> > > > switch and found it only works with numbers and not
arrays.
> > > > >
> > > > > Thanks,
> > > > > Barry
> > > > >
> > > >
> > >
> >
>