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Mike, thanks for the CBT code for position-sizing based on the equity curve. That was very helpful.
I have a question for you. What if we wanted the system to system to go short once the equity curve goes beneath the moving average?
What I am trying to accomplish (at this point, more to learn how to code it than for any real promise as a system) is a system that buys the top 10 negative ROC5 stocks, and sells them 5 days later.
PositionScore=100-(ROC5)
Then, if the equity curve falls beneath the moving average,
Buy=0
Short=1
PositionScore=ROC5
So now the system is shorting instead of buying, and shorting the top ten highest ROC5 stocks.
Anyway, this may be terrible complicated. I know that when I try to work through it in the CBT, I just walk away scratching my head.
Thanks for any help or ideas!
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
>
> Hi,
>
> You must write custom backtester code to do what you are asking. Your
> final ~~~Equity is simply an array of the bar by bar values of the
> backtester's Equity property (verify that Plots overlap). As such, you
> can build up an equivalent equity array as you iterate through the bars
> in a custom backtest, calculate a MA using that array, and reduce your
> postion size accordingly.
>
> I have not done any extensive testing on the following code. But, I
> believe that it will give you what you are asking for. The logic is
> simply to refer to the equity of the previous bar compared to the MA of
> equity for that same bar, and reduce position size of the current bar
> when the relation is not favorable.
>
> Double check the trades to make sure that the timing is right.
>
> Mike
>
> optimistic = Param("Optimistic", 20, 1, 100, 1);
> pessimistic = Param("Pessimistic", 10, 1, 100, 1);
> period = Param("Period", 20, 1, 50, 1);
>
> SetTradeDelays(0, 0, 0, 0);
> PositionSize = -1 * optimistic;
>
> weekDay = DayOfWeek();
>
> Buy = weekDay == 1;
> BuyPrice = Open;
>
> Sell = weekDay == 5;
> SellPrice = Close;
>
> SetCustomBacktestProc("");
>
> if (Status("action") == actionPortfolio) {
> bo = GetBacktesterObject();
> bo.PreProcess();
>
> eq[0] = 0;
>
> for (bar = 0; bar < BarCount; bar++) {
> reduceSize = false;
>
> if (bar > period) {
> eqMA = MA(eq, period);
>
> if (eq[bar - 1] <= eqMA[bar - 1]) {
> reduceSize = true;
> }
> }
>
> if (reduceSize) {
> for (sig = bo.GetFirstSignal(bar); sig; sig =
> bo.getNextSignal(bar)) {
> sig.PosSize = -1 * pessimistic;
> }
> }
>
> bo.ProcessTradeSignals(bar);
> eq[bar] = bo.Equity;
> }
>
> bo.PostProcess();
>
> AddToComposite(eq, "~~~EQ", "X", atcFlagDefaults |
> atcFlagEnableInPortfolio);
> }
>
> eq = Foreign("~~~EQ", "C");
> Plot(eq, "EQ", colorGreen, styleLine);
> Plot(Foreign("~~~Equity", "C"), "Equity", colorBlue, styleLine);
> Plot(MA(eq, period), "MA20-EQ", colorRed, styleLine);
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Wolfgang Hader <faked@> wrote:
> >
> > Hi all,
> >
> > how can I code some like this in Amibroker
> > (I know the following code is wrong, but how can I do it correctly in
> > Amiboker)?
> >
> > iif(equity() > ma(equity(),20), positionsize=-20, positionsize=-10);
> >
> > Thank you,
> > BR
> >
>
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