Hi, this is an idea, don´t know if it works... BuyProfit=IIf(Sell,(SellPrice-ValueWhen(Buy,BuyPrice)),0); ShortProfit=IIf(Cover,(ValueWhen(Short,ShortPrice)-CoverPrice),0); Profit=Cum(BuyProfit+ShortProfit); Plot( Profit, "Profit", colorBlack, 65537);
Regards T.O. --- In [email protected], Thomas Ludwig <[EMAIL PROTECTED]> wrote: > > After Herman's remark some time ago that it's much faster to do a visual > optimization by running the system as an indicator and plotting the equity > curve, I've searched for a convenient way to achieve this. > > I'm doing it right now by using Daniel LaLiberte's TradeVisualizer.afl which > he published in this list (Dan was so kind to send me his newest version - > thanks again!) - see the code at the end of this posting. I saved it in my > Include folder and add it with #include <TradeVisualizer.afl> to the > appropriate system. I added some code to Dan's formula from Amibroker's > Portfolio.afl which I modified a bit in order to plot the Equity curve, Cash > and Drawdown. > > So far it works well - but not always! There is a phenomenon that really > puzzles me: Yesterday the formula worked well. Today I started Amibroker and > doubleclicked a formula (with #include <TradeVisualizer.afl>). The Equity > curve was plotted - but only as a horizontal straight line equivalent to the > initial equity amount. Changing the variables via the Param slider didn't > have any effect. The same was true for other formulas I tried. Then I > performed a backtest of a formula - now all of a sudden the equity curve as > an indicator plotted as expected! In order to evaluate this I restarted > Amibroker but this time everything worked as it should - funny. Do you have > any idea what's going on here? If that's called a consistent behavior of > Amibroker then I simply don't understand it. > > A second problem is that the equity curve plotted by TradeVisualizer is *very* > similar to the equity curve plotted by the Backtester but not completely > identical. The end values are identical, but in some situations the values > for equity and drawdown differ a bit from the ones of the Backtester, in > other situations they are identical. To give you an impression of the > magnitude: If I select 50000 as initial equity, the differences in the equity > and drawdown figures are not higher than a few hundred bucks. No big deal, > but nevertheless I would like to understand why. > > Any help would be highly appreciated. > > Regards, Thomas > > Here's Dan' code which I modified as mentined above: > > // TradeVisualizer.afl -- Indicate trades and change in equity. > // Daniel LaLiberte [EMAIL PROTECTED] > > /* > Features: > Show realized and unrealized net profit > Show trade signals. > Show trade arrows. > > Bugs, assumptions, limitations, and side effects: > Assumes GraphZOrder == 0 which is the default. > Assume only one open position. > Assumes Short and Cover are defined - at least do this: Short = Cover = false > Assumes order delay is 1. (It should never be 0.) > Calls Equity(0, 0), which should not have side effects. > This visualizer should not affect your actual signals. > The unrealized net profit is moved back one bar, which is easier to > understand. > > Instructions: > Save TradeVisualizer.afl in your Include folder. > Add the following at the end of your scripts, after your final Buy, Sell, > Short, Cover assignments: > // #include <TradeVisualizer.afl> > (It does not work to add this as an Overlay) > Remove your ExRem() calls to see regions of raw Buy, Sell, Short, Cover > signals > > More ideas: > Show stops/limits. > Deal with order delays - it assumes 1 bar delay. > Show pyramid trades, number of shares per trade. > Display text of profit/loss. > Optionally compute equity across stocks. > Parameterize all this. > > Please send improvements or suggestions. > */ > > _SECTION_BEGIN("TradeVisualizer"); > > //======================================== > > backgroundColor = colorWhite; > > // Colors of signal bars > buyColor = colorPaleGreen; // ColorRGB(230, 255, 230); // very pale > sellColor = colorRose; > shortColor = colorLavender; > coverColor = colorSkyblue; > > // Colors of arrows > buyArrowColor = colorLime; > sellArrowColor = colorRed; > shortArrowColor = colorViolet; > coverArrowColor = colorBlue; > > // Colors of net profit > gainColor = colorLime; // unrealized gain relative to last trade > lossColor = colorOrange; // unrealized loss relative to last trade > netPositiveColor = colorGreen; // overall realized net profit is positive > netNegativeColor = colorRed; // overall realized net profit is negative > > > //======================================== > // Only show stuff if this is running as an indicator > GraphXSpace = 5; // adds 5% extra space above AND below. > > isIndicator = Status("action") == actionIndicator; > if (isIndicator) > { > > rawBuy = Buy; > rawSell = Sell; > rawShort = Short; > rawCover = Cover; > > // Assume only one open position. > buyExRem = ExRem(Buy, Sell); > sellExRem = ExRem(Sell, Buy); > shortExRem = ExRem(Short, Cover); > coverExRem = ExRem(Cover, Short); > > sinceBuy = BarsSince (buyExRem); > sincesell = BarsSince(Sellexrem); > sinceshort = BarsSince(ShortExRem); > sincecover = BarsSince(CoverExRem); > incash=sincesell<sincebuy OR sincecover<sinceshort; > > > eq=Equity(); > dr = eq - Highest(eq); > bslh = HighestBars(eq); > Cash=ValueWhen( incash, eq); > GraphZOrder=1; > Plot(eq, "Portfolio Equity", IIf(incash,colorGreen,colorLightBlue), > styleArea ); > //if( ParamToggle("Show Cash", "No|Yes", 1 ) ) Plot(cash, "Cash", colorGreen, > styleArea ); > if( ParamToggle("Show Drawdown", "No|Yes", 1 ) ) Plot (dr, "Drawdown", > colorDarkRed, styleArea ); > if( ParamToggle("Show #bars since last high", "No|Yes", 0 ) ) > Plot(bslh, "#bars since last high", colorDarkYellow, styleLine | > styleOwnScale, 0, 10 * LastValue( Highest( bslh ) ) ); > islastbar = Status("lastbarintest"); > isfirstbar = Status("firstbarintest"); > bar = BarIndex(); > firstbar = LastValue( ValueWhen( isfirstbar, bar ) ); > lastbar = LastValue( ValueWhen( islastbar, bar ) ); > al = LastValue( ValueWhen( islastbar, LinRegSlope( eq, Lastbar - firstbar + > 1 ) ) ); > bl = LastValue( ValueWhen( islastbar, LinRegIntercept( eq, Lastbar - firstbar > + 1 ) ) ); > Lr = al * ( BarIndex() - firstbar ) + bl; > Lr = IIf( bar >= firstbar AND bar <= lastbar , Lr, Null ); > if( ParamToggle("Show lin. reg.", "No|Yes", 0 ) )Plot( Lr , "Linear Reg", > colorRed, styleThick ); > RelPerf=eq/C; > if(ParamToggle("Show Rel.Perf Equity", "No|Yes",0)) Plot (RelPerf, "Rel.Perf.", > colorBlack,styleThick|styleOwnScale); > > if( ParamToggle("Show Buy-and-Hold?", "No|Yes", 1 ) ) > { > /* now buy and hold simulation */ > Short=Cover=0; > Buy=Status("firstbarintest"); > Sell=Status("lastbarintest"); > SetTradeDelays(0,0,0,0); PositionSize = -100; > ApplyStop(0,0,0,0); > ApplyStop(1,0,0,0); > ApplyStop(2,0,0,0); > Plot( Equity( 0, -2 ), "Buy&Hold", -9 ); > } > > > > // Show realized and unrealized gain or loss relative to last buy or short > trade. > > > if (ParamToggle("Show net profit", "no|yes", 0)) > { > > // Last trade event: buy, sell, short or cover. > //lastTrade = buyExRem + shortExRem + sellExRem + coverExRem; > closeTrade = sellExRem + coverExRem; > > > // Calculate equity change since initial equity, i.e. the unrealized net > profit. > // Equity is what we might have at the beginning of each bar, if we were to > sell all assets. > // Avoid calling Equity(1) which has side effects on trades. > netProfit = Nz( Equity(0, 0) - GetOption("InitialEquity")); > > // Calculate realized net profit at beginning of last close trade event. > // Since trade happens at the beginning of the bar after the signal (i.e. a > delay of 1), > // then we check whether there was a close trade in the previous bar. > realP = Nz( ValueWhen( Ref(closeTrade, -1), netProfit) ); > > //realP = Ref(realizedNetProfit, 0); > > > // Move the unrealized profit back to when it was generated by looking > forward 1 bar. > unrealP = Ref(netProfit, 1); // try 0 to see if you like it better. > > PlotOHLC( realP , realP , unrealP , unrealP , "net profit", > IIf (unrealP > realP , gainColor, > IIf (unrealP < realP , lossColor, > // no change, so height is zero. Use realized net profit color instead. > IIf (realP > 0, netPositiveColor, netNegativeColor))), > styleCandle | styleOwnScale ); // Use styleLeftAxisScale if also showing > realP above. > > > } > > //======================================== > // Show buy, sell, short, or cover signals > > if (ParamToggle("Show trade signals", "no|yes", 0)) > { > > > Plot(IIf(buyExRem OR sellExRem, 95, 3), "", > IIf(rawBuy, buyColor, IIf(rawSell, sellColor, backgroundColor)), > styleHistogram | styleThick | styleOwnScale | styleNoLabel, 0, 100); > Plot(IIf(shortExRem OR coverExRem, -95, -3), "", > IIf(rawShort, shortColor, IIf(rawCover, coverColor, backgroundColor)), > styleHistogram | styleThick | styleOwnScale | styleNoLabel, -100, 0); > > } > > //======================================== > // Add up and down arrows. The vertical position will be your first plot, if > any. > // Too noisy with many trades. > > if (ParamToggle("Show trade arrows", "no|yes", 0)) > { > PlotShapes(shapeUpArrow * buyExRem, buyArrowColor); > PlotShapes(shapeDownArrow * sellExRem, sellArrowColor); > // Bump the short and cover arrows out one if there is a sell or buy arrow > PlotShapes(shapeHollowDownArrow * shortExRem, shortArrowColor, 0, > IIf(sellExRem, -26, -15)); > PlotShapes(shapeHollowUpArrow * coverExRem, coverArrowColor, 0, > IIf(buyExRem, -26, -15)); > } > > > > /* > sinceBuy = BarsSince (buyExRem); > sinceSell = BarsSince (sellExRem); > sinceShort = BarsSince (shortExRem); > sinceCover = BarsSince (coverExRem); > > inLong = ref(sinceSell, -1) > sinceBuy; > inShort = ref(sinceCover, -1) > sinceShort; > > lastBuyPrice = ref ( BuyPrice, - sinceBuy); > lastShortPrice = ref ( ShortPrice, - sinceShort); > percentBuy = inLong * 100 * (SellPrice - lastBuyPrice) / lastBuyPrice; > percentShort = inShort * 100 * (CoverPrice - lastShortPrice) / lastShortPrice; > */ > > } // end if indicator > > _SECTION_END(); >
