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Wow,
this is really great although I have my doughts if this will work in the MS EOD
version. This opens a whole new can of worms with tons of possibilities if
this works ok. One more thing, your entry is the CLOSE but by doing it
this way I believe you could use stop entry and exit orders, no ?
Something like buy at yesterday high + one tick, and how would I have to code
this ? I've been looking for testing capabilities like this for
years.
Also
is their a way to implement stops into this ?
<FONT face=Arial color=#0000ff
size=2>
I
thank you very much
<FONT face=Arial color=#0000ff
size=2>Mickey
<BLOCKQUOTE dir=ltr
style="PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #0000ff 2px solid; MARGIN-RIGHT: 0px">
<FONT face=Tahoma
size=2>-----Original Message-----From:
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Dave NadeauSent: dinsdag 22 mei 2001
4:40To: metastock@xxxxxxxxxxxxxCc: lambertb1@xxxxxxxxx;
psytek@xxxxxxxxSubject: RE: System Tester Equity
Line
Herman and
Bob,
Below is a posting from
the [MetastockUsers] group in Yahoo!Groups. I was writing this in
response to someone's question/assertion that you couldn't test a system
across a porfolio of stocks (I do agree that you can't do it in the Metastock
System Tester...).
Notice the
EQTY:= variable that I'm using. You can plot this
separately as FmlVar("IndicatorName","EQTY") in any chart and it will give you
an Equity line. You can also apply a Moving Average to it, or write it
into the formula itself.
<FONT face="Century Gothic" color=#000080
size=2>-------------------------------------------------<FONT
face="Century Gothic" color=#000080 size=2>
> > --- In
Metastockusers@xxxx, "John R" <jrdrp@xxxx> wrote:
> > >
K,
> >
>
> > > 1. You can use the Metastock Explorer to scan
multiple selected stock files<FONT
color=#000000>
> > > for those which satisfy a specified set of
conditions e.g. 10 day EMA
> > > crossed
above 10 day EMA and volume surge in last 2 days.<FONT face=Arial
color=#000080>
I beg to differ on this thread. Given certain
limitations, there's a lot of systems that can be tested in Metastock, as
is--Version 6.52 on up as far as I know....
You can create your system within an indicator,
calculate whatever system statistics you'd like, and run those in an
Exploration.
Here's an example. I will use John's suggestion above.
This is a Long only system which enters when the Close crosses above the 10
period simple MA and volume is 10 percent greater each time on two successive
bars.
ExampleIndicator<FONT face=Arial
color=#000080 size=2>
DelayOnEntry:=1;<FONT face=Arial
color=#ff0000 size=2>
{This corresponds to the Options Button on the System
Tester}
Periods:=10;<FONT face=Arial
color=#ff0000 size=2>
{Moving Average Length}<FONT
face=Arial color=#000080 size=2>
EntryPoint:=CLOSE;<FONT face=Arial
color=#ff0000 size=2>
{DITTO: This corresponds to the Options Button on the
System Tester}
<P
align=left>EnterLong:=If(Cum(1)=Periods+3,1,Cross(C,Mov(C,Periods,S))
AND (V>1.1*Ref(V,-1) AND Ref(V,-1)>1.1*Ref(V,-2)));
<P
align=left>ExitLong:=If(Cum(1)=Periods+4,1,Cross(Mov(C,Periods,S),C));
<P
align=left>POSN:=If(Ref(BarsSince(EnterLong)<=BarsSince(ExitLong),-1*DelayOnEntry),1,0);
<P
align=left>EQTY:=Cum(If(Ref(POSN,-1)=1,EntryPoint-Ref(EntryPoint,-1),0));
TotTrades:=Cum(Cross(POSN,0.5));
<P
align=left>WinTrade:=(ValueWhen(1,Ref(Cross(POSN,0.5),-1),EntryPoint)<ValueWhen(1,Ref(Cross(0.5,POSN),-1),EntryPoint));
Winners:=Cum(Cross(WinTrade,0.5));
Notice that I've put in three different calculations in
this "indicator". I have Equity, total trades, and winning
trades.
You can use this in an exploration as
follows:
Col A: {System Equity}
FmlVar("ExampleIndicator","EQTY");
ColB: {Total Trades}
FmlVar("ExampleIndicator","TotTrades");
ColC: {Winning Trades}
FmlVar("ExampleIndicator","Winners");
ColD: {Winning Percentage}
<P
align=left>FmlVar("ExampleIndicator","Winners")/FmlVar("ExampleIndicator","TotTrades");
ColE: {Equity per Trade}
<P
align=left>FmlVar("ExampleIndicator","Eqty")/FmlVar("ExampleIndicator","TotTrades");
You'll get results something like the screen capture
below. This was a test over a portfolio of 381 stocks. You can sort the
results by any column you'd like, export this to Excel for portfolio summary
analysis, etc.<FONT face="Century Gothic" color=#ff0000
size=2>
<<<<<
Screen capture is
in the message that follows>>>><FONT color=#000080
size=2>
So, really you can do anything you like. You are limited only by
the Formula Language (which remains a limiter in the System Tester as well)
and by the total number of columns you can use in an Exploration.
I provide the previous system just as an example of what you can
do currently in Metastock. Mine is V.03 Professional, but any version will
work.
By the way John.....nice system! Overall, as a portfolio, on my
381 high volume stocks, using 1300 bars of EOD data (approx. 4 years), the
overall results were 263 points net with a winning percentage of 46%. Perhaps
you should contact Equis with your idea for the next release -- 7.3???
Dave Nadeau
Fort Collins, CO
> -----Original Message-----> From:
owner-metastock@xxxxxxxxxxxxx> [<A
href="mailto:owner-metastock@xxxxxxxxxxxxx";><FONT
size=2>mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf
Of Herman van den Bergen> Sent: Monday, May 21, 2001 12:45 PM>
To: metastock@xxxxxxxxxxxxx> Subject: Re: System Tester Equity
Line>>> At 12:25 PM 5/18/01 -0700, you wrote:>
>To List & MS Support:> >> >Is there any way to
gain access to the Equity Line> >in System Tester, as either an
indicator or data> >field?>> Hi John, I have been
trying to work this out also. The only way, I am told> by MS Support
and private programmers, is by writing a custom DLL. However> it would
not allow you to change your trading formulas on the fly while> running
your system tester - so if you change your rule you would have to>
change your DLL.>> I assume you are trying to get Equity
feedback to modify your stops and> trading rules - this is what i am
working on. What you can do is write two> trading systems and run first
the one without Equity feedback> then "select"> the displayed
equity curve and run your second trading system which> accesses the
selected equity curve by using the P variable. It is a bit of> a work
around and troublesome as always you have to run two systems to get>
your results.>> I can't find the post someone referred to
however I have emailed> the person> who was suppossed to have
posted it. If you email me your email address we> can exchange info on
this topic - you can reach me at psytek@xxxxxxxx MS> support also
emailed me a partial solution - I don't like copying others'> email to
the net but can email it to you privately.>> I have simulated
Equity feedback in Excel and to me it seems to work very> well. You can
perform TA on the equity line, to tell you when to reverse> your
position (without changing rules) or go into cash.>> Well, email
me if you are interested in exchanging ideas on this project.> We could
even form a small group to work on this.>> Happy
trading,> Herman.>> >> >Let's say I wished
to apply a moving average to the> >Equity Line, and decided I wanted
my system> >to automatically exit,if the Equity Line>
>crossed its moving average.Is it possible to> >specify such a
condition within the System tester> >Entry/Exit conditions?>
>> >> >By the way, I'm referring to MS 7 EOD.>
>> >Bob> >> >Thanks.> >>
>> >>
>__________________________________________________> >Do You
Yahoo!?> >Yahoo! Auctions - buy the things you want at great
prices> ><A target=_blank
href="http://auctions.yahoo.com/";><FONT
size=2>http://auctions.yahoo.com/> >>
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