Walter,
Backtesting in the AA window is a simulation of real trading
conditions - the trade requires an intitial equity and a setting for
the minimum size allowed (one share or part of a share) plus other
settings.
In my example PDF file I show where and when I accepted the defaults
or changed them (the file is not exact or the be all and end all - it
only attempts to convey the main principles involved).
Using a small training database I selected a symbol that had an
opening close price of 28.01.
The I ran the following in AA - with the symbol selected as the
current symbol in the All Symbols list.
The AB defaults are accepted except for PositionSize and MinShares
and Intitial Equity i.e. buy is on the Close.
Equity itself will be a compounded % of the ROC for 1 period on the
close.
Multiplying it by the starting close price adjusts equity so that it
is relative to the starting close.
Note: Intitial Eq does not allow decimal places so I chose 1 dollar.
Then I allowed shares to be purchased in 1/10000th parcels so that
the 1 dollar equity could be apportioned by up to 4 decimal places
with accuracy.
Filter = 1;
//In AA settings Initial Equity = 1
//Min shares = 0.0001
//Run on all quotations
PositionSize = -100;
Buy =1;
Sell = 0;
e = Equity();
AddColumn(e,"equity",1.6,1);
Plot(e * 28.01,"Equity",1,1);//manually enter the starting close for
your symbol
Since the plot simulates buying 1 * the opening close price it
exactly equals the price chart (which is what I would get if I bought
1 share at the close of the first bar).
The number of bars doesn't matter since it is never sold in a buy and
hold (a little poetry there).
The same thing can be done other ways:
for example someone else provides this method ( I won't explain it
because it is not mine but I don't see any reason why that type of
approach wouldn't work).
/* 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 );
}
brian_z
--- In [email protected], "Walter Lepore"
<[EMAIL PROTECTED]> wrote:
>
> Hi Brian
>
> I thank you for helping.
>
> Based on your advice, here is the code I entered...
>
> _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %
g,
> Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC
(
> C, 1 ) ) ));
> Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle |
> ParamStyle("Style") | GetPriceStyle() );
> _SECTION_END();
>
>
> Buy = 1;
> Sell = 0;
>
> I clicked "apply indicator" in the formula window and completed a
back
> test but received some strange results. My trade list in the AA
window
> shows 5 trades total. Under the trade column, the first trade says
> "OUT". 2nd trade says "Long", 3rd trade says "Out", 4th trade says
> "Long" and the 5th trade says "Out".
>
> I clicked "show actual trades" and it shows a red arrow on bar 1
and a
> green and red arrow on bar 11,560 and a green and red arrow on bar
> 11,561.
>
> There are 11,561 bars total (daily data from 1962 to 2007)
>
> Hope you can help please
>
> Thanks Brian
> Walter
>
>
> --- In [email protected], "brian_z111" <brian_z111@> wrote:
> >
> > Walter,
> >
> > There' more than one way - here's a simple one.
> >
> > buy = 1;
> > sell = 0;
> >
> > There's an extended example in the files section of this message
> > board.
> >
> > Files > CompareIndexToPortfolio
> >
> > brian_z
> >
> > --- In [email protected], "Walter Lepore"
> > <electricwally77@> wrote:
> > >
> > > Hi Members
> > >
> > > Please bear with me. I am trying to write a simply Buy and Hold
> > system
> > > using only one stock (HPQ-Hewlitt Packard). I'm using End of
Day
> > data
> > > and programming using the AFL Wizard . I've been at it for
about two
> > > hours but can't generate the results of a simple buy & Hold.
> > >
> > > Obviously I'm doing something wrong. There are a total of
11,561
> > > Daily bars in the data I downloaded from Yahoo.
> > >
> > > I've built several different formulas and none of them result
in a
> > > simple Buy and Hold when I backtest and run a report.
> > >
> > > Can someone please tell me what the code is for a simple buy
and
> > hold
> > > please?
> > >
> > > I assume there will only be an "Enter Long" but NO "Exit Long"
since
> > > I'm still holding. Correct?
> > >
> > > Thank you very much
> > > Walter
> > >
> >
>
