|
PureBytes Links
Trading Reference Links
|
At 10:13 PM 10/25/01 +0200, you wrote:
>This looks really great if it works. I haven't tried it yet.
>But what about this Metastock add-on which also looks really great.
>http://www.compuvision.com.au/index.htm
>
I inquired about this product; the development of trading systems in
TradeSim appears to be limited in the same manner they are limited in MS:
by the formula language. I do not know if they use their own interpreter (I
doubt it), if they don't you'll encounter the same bugs and limitations
that MS has.
To my understanding TradeSim specializes in the statistical analysis of
back tests, not in providing additional programming power or options. Hmmm,
the statistical analysis of trading systems... this opens up a whole new
can of worms :-) anybody care to start a thread?
You can download the product and the manual for further information
http://www.compuvision.com.au/DownloadDemo.htm
Happy trading,
Herman.
>Greetings and thanks
>M.
>
>-----Original Message-----
>From: owner-metastock@xxxxxxxxxxxxx
>[mailto:owner-metastock@xxxxxxxxxxxxx] On Behalf Of Roy Larsen
>Sent: donderdag 25 oktober 2001 20:33
>To: metastock@xxxxxxxxxxxxx
>Subject: Re: Multi Stop Indicator
>
>
>Tom
>
>> Roy, did you ever find and correct the bug in the Multi Stop indicator
>
>> you talked about? Sure looks interesting!
>
>Regrettably, no. Each time I think I have a solution I find another flaw
>in the logic. It seems that using a PREV is the only way to go without
>resorting to a dll. Since I have neither the MDK nor the programming
>skills to use it effectively I am unable to produce the result I had
>hoped for. For what it's worth here is my current PREV version. Take
>care if trying to match trades and stops to the MS System Tester as this
>indicator is intended for use with a fixed position size (as opposed to
>compounding), as used by the enabled code of Trade Equity LE, also
>included.
>
>Just for good measure I'm also including 1 exploration to give the fixed
>equity code of Trade Equity LE basic multi-stock testing capability.
>Unfortunately when Trade Stop LE (with PREV) is used with Trade Equity
>LE the exploration across multiple stocks is intolerably slow. If you
>have a FAST computer then speed may not be such an issue.
>
>Roy
>
> {Trade Stop LE}
>No:=Input("Enter 1=O 2=C 3=Stop",1,3,2);
>Xo:=Input("Close 1=O 2=C 3=Stop",1,3,2);
>Nd:=Input("Entry Delay",0,3,0);
>Xd:=Input("Close Delay",0,3,0);
>Pt:=Input("Profit Target %",1,99,25)/100;
>Ls:=Input("Maximum Loss % ",1,99,10)/100;
>Cm:=25; {Trade commision}
>Cp:=5000; {Trade capital}
>N:=Fml("Your Entry"); {Entry formula}
>X:=Fml("Your Exit"); {Close formula}
>N:=If(No=3,N,Ref(N,-Nd));
>X:=If(Xo=3,X,Ref(X,-Xd));
>Np:=If(No=1,O,If(No=2,C,N)); {Entry price}
>Xp:=If(Xo=1,O,If(Xo=2,C,X)); {Close price}
>Pf:=(Cp*(1+Pt)+Cm)/(Cp-Cm); {Profit factor}
>Lf:=(Cp*(1-Ls)+Cm)/(Cp-Cm); {Loss factor}
> {+Cm for exit, -Cm for entry}
>Tr:=If(PREV=0,If(N>0,Np,0),
>If(X>0 OR If(Xo<3,Xp,H)>=PREV*Pf OR If(Xo<3,Xp,L)<=PREV*Lf,0,PREV));
>Xb:=Tr=0 AND Alert(Tr>0,2); {Exit bar}
>Ev:=ValueWhen(1,(Cum(N>-1 AND X>-1)=1) OR Tr>0,Tr); {Entry value}
>Sp:=If(Xb,If(Xo<3,If(Xp>=Ev*Pf,Xp,0),
>If(O>=Ev*Pf,O,If(H>=Ev*Pf,Ev*Pf,0))),0);
>Sl:=If(Xb,If(Xo<3,If(Xp<=Ev*Lf,Xp,0),
>If(O<=Ev*Lf,O,If(L<=Ev*Lf,Ev*Lf,0))),0);
>Tr; Tr*Pf; Tr*Lf; {Entry amt, Target, Stoploss}
>If(Xb,If(Xo<3,1,If(Sp>0,Sp,If(Sl>0,Sl,X))),0);
>
> {Trade Equity LE}
>No:=Input("Enter 1=O 2=C 3=Stop",1,3,3);
>Xo:=Input("Close 1=O 2=C 3=Stop",1,3,1);
>Nd:=Input("Entry Delay",0,3,0);
>Xd:=Input("Close Delay",0,3,0);
>Cm:=Input("Trade Commission $",0,999,25);
>Cp:=Input("Trade Capital $",1000,100000,5000);
>N:= 0;
>Ns:=Fml("Your Entry");
>X:= Fml("Your Exit"); {Or Fml("Trade Stop LE")}
>Xs:=0;
> {*** Do not change code below this line ***} Ns:=If(No=3,Ns,0);
>Np:=If(No=1,O,If(No=2,C,Ns)); N:=N AND Alert(N=0,2);
>N:=If(Nd=0,N,Alert(N,Nd+1) AND Alert(N,Nd)=0);
>N:=If(No=3 AND Np>0,1,If(No<3,N,0));
>Xs:=If(Xo=3,Xs,0);
>Xp:=If(Xo=3 AND Xs>0,Min(O,Xs),If(Xo=1,O,C));
>X:=X AND Alert(X=0,2);
>X:=If(Xd=0,X,Alert(X,Xd+1) AND Alert(X,Xd)=0); X:=If(Xo=3,If(Xp>=L AND
>Xs>0,1,0),X); Xp:=If(Xo<3 AND No=3 AND X=0,C,Xp); Xp:=If(Xo=3 AND Xs>0
>AND N AND X,Xs,Xp); Xp:=If(Ref(Xo=3 AND N AND X,-1),Ref(Xp,-1),Xp);
>I:=Cum(N<>-1 AND X<>-1)=1; Tr:=If(BarsSince(I OR N)>= BarsSince(I OR
>X),0,1); Tr:=If(N AND X AND (No=3 OR Xo=3),1,Tr); Np:=If(I AND
>N=0,C,Np); En:=(Tr AND Alert(Tr=0,2)) OR I; Ex:=Tr=0 AND Alert(Tr,2);
>Lb:=(Tr OR Alert(Tr,2)) AND LastValue(Cum(1)-0)=Cum(1);
>Ea:=ValueWhen(1,En,If(No=3 AND N AND X,Np,Max(O,Np)));
>Ea:=If(No<3,ValueWhen(1,En,Np),Ea);
>En:=Tr AND Alert(Tr=0,2);
> {*** Use Cs & Pf for compound equity ***}
>{Cs:=Cum(If(I,Cp,0)- If(En,Cm,0)- If(Ex,Cm,0));
>Pf:=Cum(If(Alert(Tr,2) AND If(No=3,1,En=0),
>(PREV+If(No=3 AND En,Cs,Ref(Cs,-1)))*
>If((No=3 AND En) OR (No<3 AND En=0 AND Alert(En,2)),
>(Xp-Ea)/Ea,(Xp-Ref(Xp,-1))/Ref(Xp,-1)),0));
>Pf+Cs;}
> {*** Use Gn & Tl for fixed Equity ***}
>Gn:=If(Ex OR Lb,(Cp-Cm)*(Xp/Ea)-Cp-Cm,0);
>Tl:=Cum(Gn)+If(Tr AND Lb=0,(Cp-Cm)*(Xp/Ea),Cp)+ If(Tr AND Lb,Cm,0); Tl;
>
> {Trade Equity LE Exploration}
>Periodicity: Daily
>COLUMN FORMULAS
>ColumnA: $ Profit
> {Net profit}
>Cum(FmlVar("Trade Equity LE","Gn"));
>ColumnB: $ Win
> {Amount of winning trades}
>Gain:=FmlVar("Trade Equity LE","Gn");
>Cum(If(Gain>0,Gain,0));
>ColumnC: $ Loss
> {Amount of losing trades}
>Gain:=FmlVar("Trade Equity LE","Gn");
>Cum(If(Gain<0,Gain,0));
>ColumnD: # Win
> {Number of winning long trades}
>Gain:=FmlVar("Trade Equity LE","Gn");
>Cum(If(Gain>0,1,0));
>ColumnE: # Loss
> {Number of losing long trades}
>Gain:=FmlVar("Trade Equity LE","Gn");
>Cum(If(Gain<0,1,0));
>ColumnF: # BarsIn
> {Total bars in all trades}
>Trade:=FmlVar("Trade Equity LE","Tr"); Cum(If(Alert(Trade<>0,2),1,0));
>FILTER SOURCE Filter Enabled: No Recommended minimum bars to test: 250
>
>
>
>
>
|