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Thats how I would try to do it with TS......
1. What about creating a normal equity curve.
2. Write it in an ASCII file.
3. Import that file as Data2.
4. And then start the system again with the Data2 filter.
Just an idea....
Volker Knapp
++-----Ursprungliche Nachricht-----
++Von: Gary Fritz [mailto:fritz@xxxxxxxx]
++Gesendet: Montag, 10. Juni 2002 22:24
++An: jtess
++Cc: omega-list@xxxxxxxxxx
++Betreff: Re: trading the equity
++
++
++> is there anyway some ressources you can point to me please
++> im searching a way to activate in real time trading a system
++> only when the equity is above (for example ) his moving average
++> x period and let him run whith no real trade in the opposite
++
++It's extremely messy to do in TS, because you have to simulate system
++execution (so you can determine what the equity WOULD have been if
++you took every trade) in addition to your actual system code.
++
++Also, in my opinion, it doesn't work. Here's something I posted to
++another list several years ago.
++
++I'll post the ELA separately so this message doesn't get too large.
++Gary
++
++
++From: "Gary Fritz" <fritz@xxxxxxxx>
++To: Code List <code-list@xxxxxxxxxxxxx>
++Date sent: Fri, 10 Dec 1999 16:29:26 -0700
++Subject: Re: CL_Money management & system trading
++
++Bob4367123@xxxxxxx wrote:
++> It seems to me, in my limited experience backtesting systems, that
++> all systems work, some of the time. So the question is, when do
++> you trade the system?
++
++Only when it's going to make money. :-)
++
++> why can't you trade the system only when the equity curve is going
++> up, and not trade when the system is in drawdown? My limited
++> research into this looks promising.
++
++This strategy gets recommended in a number of places. I recently saw
++it in Mark Jurik's book and wished I could try it out in TS. But it
++would be really nasty to do this, since you'd have to simulate all
++the system trades to track the "phantom" equity, and use that PE and
++the MA of the PE to determine when your system could really trade.
++
++Then it occurred to me that it would be *easy* to write an indicator
++to do this. It doesn't trade the system for you, but it gives you an
++idea for how well the strategy works. I'd been meaning to post it,
++so this is a good excuse. :-)
++
++I took my "Equity Curve" indicator and modified it to only "count" a
++trade if the system equity was above the equity MA. The green bars &
++white line show the unmodified equity as reported by the system, the
++red line is the XMA of the equity, and the yellow line is the
++modified equity. See the attached GIF for an example.
++
++The indicator takes several arguments: the same "period" input that
++the regular Equity Curve indicator takes, the length of the XMA, and
++two inputs to tell what to do when the equity is above & below the
++MA. With the defaults (0.0 and 1.0) it has the effect of trading
++only when the equity is above the MA. If you set BelowMA to 0.5 it's
++as though you cut your position size in half when you're below the
++MA. If BelowMA is -1 it calculates a bad approximation of what would
++happen if you took the *opposite* of your system's position when the
++equity is below the MA. (It just negates the result of the trade.
++Obviously you would get different results if you went long instead of
++short, etc.)
++
++Note: the indicator only takes the MA of the equity at the end of
++each Period you specify. If you want it to compute the MA on a trade-
++ by-trade basis, specify "T" as your Period.
++
++Results: I found that it did almost nothing to really good systems
++(systems that have a steadily increasing equity), as you would
++expect. But few systems have a steadily-increasing equity,
++especially on a trade-by-trade basis, and most systems I looked at
++got HURT much more than helped by this strategy.
++
++In order for the equity to go below the MA, you need a series of
++losses. To dig out from the low-equity state, you need some wins.
++But many of the digging-out wins are discarded, since the equity is
++still below the MA. So you don't get all those wins. If your system
++often alternates between wins and losses, you get murdered -- the
++system ignores the wins that get the equity above the MA, and takes
++the losses that drive it below the MA again.
++
++The only time I saw a real benefit from the strategy was in systems
++that had horrific extended drawdowns. And even then it was often
++only a short-term help, since once the system finally turned around
++and started winning again, the basic strategy got ahead of the
++modified one.
++
++I suspect that trading with a strategy like this would result in a
++higher Sharpe ratio. It might even increase the win% -- my indicator
++doesn't compute that. But it knocks hell out of your profits, and it
++only seems to help really bad systems. I wouldn't want to trade any
++system that benefits from this.
++
++In fact it works so badly that I don't understand why so many books
++recommend it. Does anyone see a flaw in my code?
++
++Gary
++
++
++{
++ Equity Curve MA MM
++ Version 1.01 9/6/2000
++
++ This indicator plots bars of closed equity on a periodic basis
++ on the last 200 bars of a chart. If your system test contains more
++ than 200 trades or periods, it only plots the last 200.
++
++ The indicator then computes an Exponential Moving Average
++of the system
++ equity, and determines the resulting equity if you change your
++ position size when the system equity falls below the MA. When the
++ system equity is above the MA, trade AboveMA * your normal
++position,
++ and BelowMA * your normal position when the MA is below the equity.
++
++ Unmodified system equity plots with green bars. Equity MA plots
++ as a red line, and modified system equity (taking the MA into
++ account) plots as a yellow line.
++
++ The number of periods plotted is determined by the
++variable "Size,"
++ which may be changed. If you increase it, set the size of
++the array
++ "EQ" and the "MaxBarsBack" value larger than or equal to the value
++ of "Size".
++
++ Inputs:
++ Period: Sampling period
++ ("T"=per trade, "Y"=yearly, "Q"=quarterly, "M"=monthly,
++ "W"=weekly, "D"=daily)
++ MAlen: Length of simple moving average
++ BelowMA: Position size when equity is below the MA
++ AboveMA: Position size when equity is above the MA
++ (1.0 = normal position size, 0.0 = no position)
++
++ The green histogram with the white line on top is the equity of
++ the original system. The red line is the EMA of the equity curve.
++ The yellow line is the hypothetical equity of the modified system.
++
++ Gary Fritz
++}
++
++Inputs: Period("W"), MAlen(10), BelowMA(0.0), AboveMA(1.0);
++
++Vars: Equity(0), EndEq(0), LastEq(0);
++Vars: Mo(0), Countr(0), J(0), K(0), CE(0), Size(200), Last(0);
++Vars: Per(0), P1(0), P2(0), P3(0), P4(0);
++Vars: Factor(0), MA(0), LastModEq(0), LastMA(0), TakeNextTrade(True);
++Array: EQ[200](0), EQMA[200](0), ModifiedEQ[200](0);
++
++{ Determine the desired period, print the proper header, and
++ set Per to the appropriate value. Why use Per? Because if I
++ compare Period to "T", "Y", etc on every bar, the indicator runs
++ TWICE as slowly! EL string operators are sloooowwww... }
++
++if (BarNumber = 1) then begin
++ if Period = "T" then begin print("Per-trade profit:"); Per = 0; end;
++ if Period = "Y" then begin print("Yearly profit:"); Per = 1; end;
++ if Period = "Q" then begin print("Quarterly profit:"); Per = 2; end;
++ if Period = "M" then begin print("Monthly profit:"); Per = 3; end;
++ if Period = "W" then begin print("Weekly profit:"); Per = 4; end;
++ if Period = "D" then begin print("Daily profit:"); Per = 5; end;
++ Factor = 2/(MAlen+1);
++ end;
++
++Mo = Month(Date);
++Equity = I_ClosedEquity;
++
++{ If our chosen period has expired, record the end-of-period equity }
++
++if ((Per = 0) and (Equity <> Equity[1]))
++ or ((Per = 1) and (Year(Date) <> Year(Date[1])))
++ or ((Per = 2) and (Mo <> Mo[1]) and (Mo=1 or Mo=4 or Mo=7 or Mo=10))
++ or ((Per = 3) and (Mo <> Mo[1]))
++ or ((Per = 4) and (DayOfWeek(Date) < DayOfWeek(Date[1])))
++ or ((Per = 5) and (Date <> Date[1]))
++then begin
++ if Per = 0 then EndEq = Equity
++ else EndEq = Equity[1];
++ if (LastBarOnChart = False) then
++ print(Date[1]:6:0,",",EndEq:7:2,",",EndEq-LastEq:7:2);
++
++ { Compute XMA of recent equity values }
++ if (MA = 0) then MA = EndEq
++ else MA = Factor*EndEq + (1-Factor)*MA;
++
++ EQ[Countr] = EndEq;
++ EQMA[Countr] = MA;
++ if TakeNextTrade
++ then ModifiedEQ[Countr] = LastModEq + AboveMA*(EndEq - LastEq)
++ else ModifiedEQ[Countr] = LastModEq + BelowMA*(EndEq - LastEq);
++ TakeNextTrade = (EndEq >= MA);
++ LastEq = EndEq;
++ LastModEq = ModifiedEQ[Countr];
++ Countr = Mod(Countr + 1, Size); { Move pointer in
++buffer }
++ end;
++
++{ On last bar, plot the last Size periods of equity }
++
++if LastBarOnChart then
++ for J = 0 to Size - 1 begin { Loop to plot bars
++ }
++ K = Mod(Countr + J, Size); { Calc pointer into
++buffer }
++ Plot1[Size - 1 - J](EQ[K],"ClosedEq");
++ Plot2[Size - 1 - J](EQMA[K],"EqMA");
++ Plot3[Size - 1 - J](ModifiedEQ[K],"ModEQ");
++ Plot4[Size - 1 - J](EQ[K], ""); { Plot white line at
++top of histogram }
++ end;
++
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