|
PureBytes Links
Trading Reference Links
|
Mark Johnson <janitor@xxxxxxxxxxxx>
> Since the Fixed Ratio algorithm needs to know
> *EQUITY* *HISTORY* (rather than merely knowing
> the account equity on the day of the entry signal),
> it's very hard to program into standard trading
> packages. They just don't give you access to
> equity history. For example, you can't do it in
> Omega TradeStation without resorting to writing
> your own DLL's.
EL doesn't give you equity history, but why can't you build it
yourself? Just do something like this:
Vars: HistIdx(0), NowEq(0);
Arrays: EqHist[100](0);
NowEq = NetProfit;
if (NowEq <> NowEq[1]) then begin
HistIdx = HistIdx + 1;
EqHist[HistIdx] = NowEq;
end;
...etc. Then you could access the history in the EqHist array.
You'd have to handle shifting or wrapping the EqHist entries if you
expect more than 100 trades, but you get the idea.
I don't know how much history the FR algorithm requires, but it's
probably less than 100 trades. I suspect you could use a much
shorter array, indexed as a circular buffer.
Gary
|