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The download file has been overwritten with a new, slightly tidier, version.
I find the key concepts, demonstrated in the file, very helpful indeed.
Arithmetic Mean, Geometric Mean and StdDev are a beautiful things (and I am not even a mathematician).
My teacher taught me that "an apple doesn't ripen overnight" ... he used it in a different context but Tomaasz said the same about AB when he said "it takes time to sink in" ... this is a fundamental truth of learning.
There are some hints in the file for new programmers:
- understand the logic first
- lay the logic out
- start at the top and work sequentially, line by line, (this rules covers the majority of basic situations)
- test the veracity of your logic/code line by line (in AB I do that by plotting everything I can ... one line at at time if I am stuck ... as I get better I can skip more and more blocks of lines because experience tells me they are correct if the syntax and logic are correct.
In this case:
- focus on method one
- start at the top of the worksheet and find a way to express each line in AFL
- leverage could be a Param function or optimizeable or a static variable or a variable that you change manually in your code.
- you have the price series e.g. Close
- you have the begin value of the Close
- use the functions to create the rows as arrays
- substitute the numerical factor, in the manual OHLC example, for the ShiftFactor array.
That is easy enough.
The most important thing is to steep yourself in the logic.
--- In amibroker@xxxxxxxxxxxxxxx, "longarm61" <norm1@xxx> wrote:
>
> Thanks for the replies, Brian. I'm very much inept when it comes to AFL so I'll have to try to make sense of it all. In answer to your previous post, my plan was to use it for charting, but backtesting capability might come in handy too. Charting would be the priority though.
>
> Thanks again,
>
> Grant
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > Grant,
> >
> > I found your idea interesting so I did a little bit more.
> >
> > > 1) make separate arrays for ROC(X,1) where X = O,H,L,C,Ave etc (as >required)
> > >
> > > factorO = ROC(O,1);//as GrowthFactor e.g. 2% = 1.02, -2% = 0.98
> > > etc
> >
> > I missed a couple of steps out ... you probably figured that already but just in case here is an excel file that demos the logic ... I show two methods to produce a simulated leveraged price series from a base price series; log/antilog and relativeGeometricMean.
> >
> > Scroll down to section 2 Miscellaneous Files >> LeveragedPriceSeries.xls
> >
> > http://zboard.wordpress.com/downloads/
> >
> >
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > To toggle your thinking:
> > >
> > > (I am just imagining a chart to start with ... not sure what your final objective is ... if PLOTOHLC helps you could work it towards a backtesting array version ... versions might be different depending on whether you want it for chart reading, backtesting or both)
> > >
> > > 1) make separate arrays for ROC(X,1) where X = O,H,L,C,Ave etc (as required)
> > >
> > > factorO = ROC(O,1);//as GrothFactor e.g. 2% = 1.02, -2% = 0.98
> > > etc
> > >
> > > 2) substitute factorO, factorH etc in PLOTOHLC example
> > > - when you want to go back to 'Price', instead of leveraged Price, use factor == 1, which is ROC neutral.
> > >
> > > 3) if you get something going there and you like it maybe ParamToggle will let you switch from Price to Leveraged Price in live chart mode
> > >
> > > - ParamToggle is boolean so toggle P or LP yes or no?
> > > - conditional statement (if toggle is yes use leveraged price array)
> > >
> > > There would be other ways so comeback if you want options.
> > >
> > > I think ATC can store conditioned arrays so you could also use that and save leveraged Price arrays as pseudo tickers (if you aren't up to speed on ATC reference Hermans PDF tutorial at the UKB).
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "longarm61" <norm1@> wrote:
> > > >
> > > > Thanks much, Brian, I will look into that.
> > > >
> > > > Grant
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > > > >
> > > > > What about 211. (indexed from AFL by name) PLOTOHLC (Exploration / Indicators) - plot custom OHLC chart (AFL 2.2)
> > > > >
> > > > > Will that do the job?
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "longarm61" <norm1@> wrote:
> > > > > >
> > > > > > Hi, I'm guessing that this is a simple thing, but of course, it's not for me. I'm trying to simulate the performance of leveraged ETFs going back farther than they go back themselves, hence the following:
> > > > > >
> > > > > > I would like to plot a line which moves 2x percentage-wise the gain/loss of a particular stock PER DAY (bar). E.g., if I have SPY up, and SPY moves up 1% on Monday, the line moves up 2%. If SPY moves down .5% on Tuesday, the line moves down 1%. And so on. It'd be nice to have an option to switch between PRICE and PERCENTAGE on the current value (from the first bar showing to the last), but if it's a choice between one or the other, I'd prefer price.
> > > > > >
> > > > > > Thanks so much for any assistance on this.
> > > > > >
> > > > > > Grant
> > > > > >
> > > > >
> > > >
> > >
> >
>
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