> I'm back testing someone's basic SMA system. I jsut want to see > returns of his system over a longer period of time.
O.K But that's not buy & hold - that is a system test. Do you want the B&H as well as a comparison? brian_z --- In [email protected], "Walter Lepore" <[EMAIL PROTECTED]> wrote: > > > > Hi Brian > > >>Q1. Where do you want to use the answer? > > I'm back testing someone's basic SMA system. I jsut want to see > returns of his system over a longer period of time. > > >> Q2. How much money have you got to spend i.e. what is your initial > equity? > > Start with $100,000. > > >> Q3. The first bar has a lot of points on it - everything equal to > and between the high and the low. Which data point do you mean - Open, > Close, High, Low or something else? > > I understand the data points but not sure of your question. I simply > would like to buy at the open on the first bar or even on the close or > anywhere on the first bar. Its really not that important(I think). > Not sure about the exit. This is where it gets fuzzy. I assume the > exit would be to sell on the most recent bar (last bar in the data) to > close out the position. > > Thus I guess its not called buy and hold because if we sell it we > close the position. However we did actually Buy and Hold it from 1962 > to 2007. Whatever....I'm confused. > > I'm just trying to test a system I was presented with that has 3 SMA's > for example, let's just call them the following (40 day SMA, 80 day > SMA and 200 day SMA). The system only buys (enters long)on the next > morning when the stock closes the previous day above all three SMA's > and sells the next morning (exits long) when the stock closes the > previous day below all three SMA's. If we are long the stock and it is > trading within the three moving averages then it is simply a HOLD (no > action). > > I'm testing it on all the data available on HPQ (Hewlitt Packard) > downloaded from yahoo. > > >>> If you can answer them I'll see if I can give you a quick answer > to get you going while you take your time to take in the full AA picture. > > Okay Brian. Sounds good. > > Thanks for all your time. > Walter > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > --- In [email protected], "Walter Lepore" > > <electricwally77@> wrote: > > > > > > Hi Brian > > > > > > I appreciate all the help. I guess -at this point- my specific > > > question would be how and what are the correct settings in the AA > > > "settings" window under the tabs called; > > > General,Trades,Stops,Report,Portfolio > > > > > > The help file tells me to set the min. shares to 1 yet I believe you > > > said to set it to 0.0001. I'm confused. Sorry 'bout that. > > > > > > I really need to sit down and dig into the help files and figure how > > > and why to set the parameters in the "settings" window. > > > > > > All I'm trying to accomplish (please bear with me) is to create a > > simple > > > "buy on first bar" and "sell on last bar". > > > > Q1. Where do you want to use the answer? > > > > Do you just want to plot it or what (to start with)? > > > > > > Q2. How much money have you got to spend i.e. what is your initial > > equity? > > > > Q3. The first bar has a lot of points on it - everything equal to and > > between the high and the low. Which data point do you mean - Open, > > Close, High, Low or something else? > > > > AA needs to know the answer to questions like this before it can > > proceed. > > > > If you can answer them I'll see if I can give you a quick answer to > > get you going while you take your time to take in the full AA picture. > > > > > > brian_z > > > > > > > > > > > > > > I did not know it would be > > > this intricate to accomplish. Intricate as defined by a newbie such > > as > > > myself. > > > > > > I'm using only one stock (HPQ) using daily data from 1962 to > > present. > > > The total daily bars are 11,561. > > > > > > Let me keep digging. I'll nail it down eventually. I know back > > testing > > > involves a rather high learning curve but the payoff is well worth > > it > > > once I understand and begin to maneuver around and actually see > > > systems work. > > > > > > Thanks Brian > > > Walter > > > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > > > > > If you get stuck come back with a specific question. > > > > > > > > You should be able to replicate the outcomes of the code below > > > > (understanding it's principles is the basis of B&H). > > > > If you can't let me know. > > > > > > > > The only real difference between it and my PDF is that you only > > want > > > > to B&H one stock whereas in the PDF I used three (from memory). > > > > > > > > > > > > I'm not necessarily around every day but I will check back on > > this > > > > topic at some stage. > > > > > > > > > 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 > > > > > > > > > > > > > > > > > > > > --- In [email protected], "Walter Lepore" > > > > <electricwally77@> wrote: > > > > > > > > > > Hi Brian > > > > > > > > > > I appreciate all your help. I'm slowly reading and trying to > > > > > understand all that you have presented. Please give me some > > time to > > > > > figure all this out. I went into my settings in the AA window > > and I > > > > am > > > > > making some changes. > > > > > > > > > > First thing I noticed was that "min. shares" was set to .01 > > > > > I changed it to 1. > > > > > > > > > > I'm reading through some help files as well (in regards to the > > AA > > > > > window "settings" button.) > > > > > > > > > > I just wanted to send you this quick note to let you know I'm > > > > working > > > > > on it. > > > > > > > > > > Thank you again > > > > > Walter > > > > > > > > > > --- In [email protected], "brian_z111" <brian_z111@> > > wrote: > > > > > > > > > > > > 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" > > > > > > <electricwally77@> 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 > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
