Re: [amibroker] A BACKTESTING HURDLE, AmiBroker Email List Archive

On Sun, Feb 7, 2010 at 1:49 PM, Joseph Occhipinti <joseph_occhipinti@xxxxxxxxx> wrote:

say i run backtest, and on any given month, the scanner generates 4 ASX stocks, is there something in the Settings menu that will allow me to take all of those trades? instead of just the one - which the backtest seems to be doing. Specifically, it defaults to taking the first one in the list generated

The reason I ask is that when I generated a trade list i noticed there was quite a large number of ASX stocks starting with the letter A. Out of 1,200 odd trades over the 10 year period, about 500 were starting with A.

I found this to be a little peculiar.

Anyway, upon looking further into this, I realized that if the scanner generated say 4 ASX stocks to go long on then it would pick the first one:

ie.

ALL
BHP
NAB (lets say NAB has the best set up)
WOW

The system would pick ALL, becuase its first on list. And if in the next month the same list was generated only this time, there was no ALL, then BHP would be picked. And so on.

Thanks for your help on this

From: Anthony Faragasso <ajf1111@xxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sat, 26 December, 2009 2:05:18 AM
Subject: Re: [amibroker] Re: Code for AFL on a reversal day. Help required

Buy,Sell,Short, Cover added..

gapclosingfromupope n =Open > Ref(H,-1) AND C > Ref(L,-1) AND C < Ref(H,-1);

gapclosingfromdowno pen=Open < Ref(L,-1) AND C > Ref(L,-1) AND C < Ref(H,-1);

Color= IIf(gapclosingfromupop en,colorYellow,IIf(gapclosingfromdown open,colorOrange,ParamColor("color",colorBlack)));

PlotShapes(gapclosingfromupop en*shapeDownArrow,colorRed,0,High,-15);

PlotShapes(gapclosingfromdown open*shapeUpArrow,colorGreen,0,Low,-15);

_SECTION_BEGIN("Price");

SetChartOptions(0,chartShowArrows|chartShowDates);

_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));

Plot( C, "Close", color , styleNoTitle | ParamStyle("Style") | GetPriceStyle() );

_SECTION_END();

//Buy,Sell,Short, cover

//Note: In AA settings ** General > Positions ** set to long and short

SetTradeDelays( 0, 0, 0, 0 );//overrides delay setting in AA window

Buy=Ref(gapclosingfromdowno pen,-1);

BuyPrice=Open;

Sell=Ref(gapclosingfromdown open,-1);

SellPrice=Close;

Short=Ref(gapclosingfromupope n,-1);

ShortPrice=Open;

Cover=Ref(gapclosingfromupop en,-1);

CoverPrice=Close;

//////////// ///////// ///////// ////////

Filter= gapclosingfromupope n OR gapclosingfromdowno pen;

AddColumn(C,"");

AddColumn(gapclosingfromupop en,"up");

AddColumn(gapclosingfromdown Open,"down");

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