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mike,
what you are saying makes alot of sense. Can you do the same with sigscale out and showing arrows. Meaning to show a trade arrow when a sigscaleout takes place ( part of the trade is exited). Either by using turn trade arrows on, or by using the addtocomposite??
thanks
zeek
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-- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
>
> The problem with what you are trying to do is that it is entirely
> dependent upon the date range.
>
> For example; In one date range the Buy might occur first meaning that
> any subsequent Short would have to be ignored until the Sell. Whereas
> using a different date range a Short might occur first meaning that any
> subsequent Buy would have to be ignored until the Cover.
>
> The other problem is that it ignores portfolio limitations. Presumably
> you are doing this because you want to see actual positions. Charting
> alone can not do this for you (technically you could, but it would be a
> mamoth amount of code and excruciatingly slow).
>
> So, if you just want to see an accurate chart (as opposed to trying to
> use the logic for signal generation), then the most reliable thing to do
> would be to remove the PlotSymbols code from your AFL entirely, then run
> a backtest (showing list of trades), then right click on the list of
> trades and select the "Show arrows for actual trades" menu item. This
> will show the *actual* trade arrows for you, including all portfolio
> limitations such as max number of positions, lack of capital, etc. Every
> time you run the backtest you would have to regenerate the trade arrows
> this way. You may have to alter your chart parameters to allow showing
> chart arrows.
>
> Alternatively, you can include the same arrow generation code directly
> in your AFL via composite symbols and just run the backtest to update
> the composite. The trade arrows will automatically update on the chart
> without any need to generate from the trade list. See the code below for
> an example.
>
> In the example I'm using smaller offsets and blue/orange instead of
> green/red for my shapes so as to allow you to still use the trade list
> to apply actual trades and confirm that the results are identical.
>
> The trade logic is dummy logic that just shorts on every bar index that
> is evenly divisible by 2 and covers on every bar index that is evenly
> divisible by 5. Equally simple, the buy logic buys the 1st day of the
> week and sells the 5th day of the week. This logic will cause overlaps
> with each other thereby demonstrating the removal of unwanted arrows.
> You can use the "Show arrows for all raw signals" menu from the trade
> list to see where signals have been ignored.
>
> Note that the code below will produce a composite symbol, of the form
> ~symbol for each symbol for which a trade is taken by the backtester
> e.g. ~AA if a long or short position was taken for symbol AA, etc. As
> with all composites, the composites will show up in Group 253 in your
> Symbols tree. You may delete them from there when no longer wanted. I
> would not recommend running this code against a large watchlist since it
> could result in many many composites.
>
> bars = BarIndex();
> Short = bars % 2 == 0;
> Cover = bars % 5 == 0;
>
> days = DayOfWeek();
> Buy = days == 1;
> Sell = days == 5;
>
> SetCustomBacktestProc("");
>
> if (Status("action") == ActionPortfolio) {
> bo = GetBacktesterObject();
> bo.BackTest();
>
> dates = DateTime();
>
> for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) {
> SetForeign(trade.Symbol);
> bars = BarIndex();
> entryBar = LastValue(ValueWhen(trade.EntryDateTime == dates,
> bars));
> exitBar = LastValue(ValueWhen(trade.ExitDateTime == dates, bars));
> temp = 0;
>
> if (trade.IsLong) {
> temp[entryBar] = 1;
> temp[exitBar] = 2;
> } else {
> temp[entryBar] = 4;
> temp[exitBar] = 8;
> }
>
> AddToComposite(temp, "~" + trade.Symbol, "X", atcFlagDefaults |
> atcFlagEnableInPortfolio);
> RestorePriceArrays();
> }
> }
>
> _SECTION_BEGIN("Price1");
> SetChartOptions(0,chartShowArrows|chartShowDates);
> _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g,
> Lo %g, Close %g BarIndex %g {{VALUES}}", O, H, L, C, BarIndex() ));
> Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle |
> ParamStyle("Style") | GetPriceStyle() );
> _SECTION_END();
>
> trades = Foreign("~" + Name(), "X");
>
> PlotShapes(((trades & 1) == 1) * shapeUpArrow, colorBlue, 0, Low, -5);
> // Buy arrows
> PlotShapes(((trades & 2) == 2) * shapeDownArrow, colorOrange, 0, High,
> -5); // Sell arrows
> PlotShapes(((trades & 4) == 4) * shapeHollowDownArrow, colorOrange, 0,
> High, -15); // Short arrows
> PlotShapes(((trades & 8) == 8) * shapeHollowUpArrow, colorBlue, 0, Low,
> -15); // Cover arrows
>
>
> Mike
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gregg55554" <zeeking57@> wrote:
> >
> > I am using staticvars to tell the buy or sell not to put a 1 in the
> buy if a short trade is currently in process. It is messing up all my
> charting arrows. there are short arrows while still in the middle of
> long trades.
> >
> > The shorton , longon vaiables i want to use will tell the buy/short
> not to put a 1 in the buy/short array. BUt by definition they get set
> after after the buy and short array are initiliazed in the code. so the
> buy code will always look at the initialized value at 0, before it reads
> the the variables.So I thought to use static variable but I am messing
> up the code and not sure why. Then I thought to use the flip function
> but that is also not working bc it gets set after the buy and sell code.
> it is like a catch 22.
> >
> > For example:
> >
> > shorton=0;
> > longon=0;
> >
> > Buy= (H>highsignal)AND Shorton==0 ;
> > BuyPrice = Max(O,Highsignal+.05);
> > Short = (Signallow>L) AND Longon==0;
> > ShortPrice = Min(Open,Signallow-.05);
> > Shorton = Flip( Short, Cover );
> > Longon = Flip( Buy, Sell );
> >
> > This is not working.
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > >
> > > Zeek,
> > >
> > > My first question would be: Why are you using static variables?
> AmiBroker will not allow you to enter a Buy if you are already Short,
> unless you override that behavior. So, I don't see a need for any of
> what you are trying to do.
> > >
> > > Have you changed the default backtester mode? Or, perhaps you have
> selected the checkbox "Reverse entry signal forces exit" in the AA
> Settings. Leave the backtester mode at its default and unselect the
> "Reverse ..." checkbox from the settings window. Then, just write your
> vanilla Buy/Sell and Short/Cover code without any concern for what the
> other is doing. AmiBroker will sort it out based on which signals occur
> first.
> > >
> > > As an example, run a backtest on the following; Once with the
> "Reverse ..." checkbox selected and again with it unselected:
> > >
> > > WeekDay = DayOfWeek();
> > > Short = WeekDay == 1;
> > > Cover = 0;
> > > Buy = WeekDay == 3;
> > > Sell = 0;
> > >
> > > Notice that in one case you get both buys and shorts. In the other
> you get only a single signal (whichever occurred first).
> > >
> > > As for what is being done "wrong". It's not so much wrong as
> pointless. Making a call to StaticVarGet without storing the resulting
> value has no purpose (that I'm aware of), yet your code is doing that
> twice.
> > >
> > > Also, given that the value being stored is just the value of readily
> available arrays, I don't see why you need to store anything at all. Why
> not just use Flip() as in my previous post, or BarsSince(), or Ref()?
> > >
> > > Finally, if you are using the same AFL over multiple symbols, a
> short position in one symbol will affect the logic of the remaining
> symbols since you are not discriminating between statics among the
> different symbols (i.e. you are using a single static variable rather
> than one per symbol).
> > >
> > > Based on what I've read so far in your previous posts, I'm guessing
> that unselecting the "Reverse ..." checkbox will solve all your
> problems.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "gregg55554" <zeeking57@> wrote:
> > > >
> > > > thanks Mike for your reply,
> > > >
> > > > a) can you tell me what is wrong with the code, so I don't make
> the same mistake again in the future. I tried to replicate code I had
> seen for staticvars.
> > > >
> > > > b) In terms of what I am trying to do. I am trying to write a
> staticvar that detects when there is a short trade. and then set it in
> my buy condition not to have a buy if "onshort" == 1. so when staticvar
> "onshort" equals 1 then no buys will occur.
> > > > I would use the exrem function but as I understand it, it is not
> very good in the backtester?? So Marcin suggested I use a staticvar.
> > > >
> > > > Can you help please
> > > > zeek
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, zeek ing <zeeking57@> wrote:
> > > > >
> > > > > I think I am having a little problem with my static var code. I
> expected to
> > > > > see in an exploration with the variable "onshort" a value of 1
> when a short
> > > > > trade is on. Instead all I see is zeros in the exploration. I am
> not sure
> > > > > why. there are two parts to the code. If anyone can tell me what
> is wrong
> > > > > with this code it would be appreciated. thanks
> > > > >
> > > > > ///part a--
> > > > > StaticVarGet("onshort");
> > > > >
> > > > >
> > > > >
> > > > > if( IsNull( StaticVarGet("onshort"))) StaticVarSet("onshort",0);
> > > > >
> > > > > Onshort= StaticVarGet("onshort");
> > > > >
> > > > >
> > > > >
> > > > > //part b---
> > > > >
> > > > > if (LastValue(Short))
> > > > >
> > > > >
> > > > >
> > > > > {StaticVarSet("onshort",1);}
> > > > >
> > > > > if (LastValue(Cover))
> > > > >
> > > > >
> > > > >
> > > > > {StaticVarSet("onshort",0);}
> > > > >
> > > > >
> > > > >
> > > > > StaticVarGet("onshort");
> > > > >
> > > >
> > >
> >
>
------------------------------------
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