Hi Howard,
I just returned from the Alpine region of Victoria and
downloaded the mass's of Amibroker emails ,i was lucky enough to spot your
reply amongst them,thank you.
I'll now make a cup of tea and have a play with the new code,
warm regards
Paul
(ps thanks for fixing my Christian name up too, from my unfamilar
cousin's.)
----- Original Message -----
From: Howard B
To: [email protected]
Sent: Thursday, September 25, 2008 8:22 AM
Subject: Re: [amibroker] backtesting
Paul -- I meant Paul.
On Wed, Sep 24, 2008 at 3:21 PM, Howard B <[EMAIL PROTECTED]> wrote:
Hi Nick --
I've taken the liberty of starting with your first code segment, adding
some comments, and making
some changes. I may not have gotten all of your preferences correct, but
try this
and see if it helps.
Thanks,
Howard
////////////////////////////////////////////////////
// radge1.afl
//Day Trade
InitEquity = 100000;
SetOption("InitialEquity",InitEquity);
SetTradeDelays (1,1,0,0); // Explore today trade tomorrow
// Number of positions to hold
MaxQty = 10;
SetOption("maxopenpositions",MaxQty);
// Uncomment the way you want to set position size
// $5000 for each trade
// PositionSize = 5000;
// positionsize is proportional to maximum number held
PositionSize = -100 / MaxQty;
// PositionScore is the ratio of 1 day rate of change to 10 day rate of
change
// unless the 1 day rate of change is zero, PositionScore will always be
non-zero
// that is, PositionScore will always be True
PositionScore = ROC(C,1) / ROC(C,10); //looking for a big move compared to
the last 2 weeks
// Since PositionScore is always True,
// Filter is True when Close > Open.
// Filter = PositionScore AND Close > Open; //looking for the biggest move
on an up day.
Filter = Close > Open;
// Set a buy signal
BuySignal = Filter;
// Buy whenever today's close is greater than
// today's open.
// But not two days in a row.
Buy = BuySignal AND NOT(Ref(BuySignal,-1));
// BuyPrice is tomorrow's Open
BuyPrice = Open;
// As it stands, the original statement says Sell whenever Close is not
Zero.
// You want to sell on the same day you bought.
Sell = Buy;
// You might mean SellPrice = Close?
SellPrice = Close;
AddColumn(PositionScore,"score"); //lets me see the score values in an
exploration
// if anyone could advise on the above idea i would appreciate the help,,,
//////////////////////////////////////////////////////
On Mon, Sep 22, 2008 at 4:04 AM, Paul Radge <[EMAIL PROTECTED]> wrote:
Hi all,
i recently read a few posts here in the forum and learnt about
the function "positionscore".As a non programer i find the forum very usefull.
From those posts i've tried to follow a similar line and test a day
trading system,,,like many of my ideas and notions though it may bare no cash
flow.
What i tried to do was look for a break out and then buy the open next
day and sell the close as a true day trade no money down.Here's what i attempted
//Day Trade
positionscore = ROC(c,1) / ROC(C,10); //looking for a big move compared
to the last 2 weeks
Filter = Positionscore and Close > Open; //looking for the biggest move
on an up day.
Buy = Filter;
Buyprice = Open;
Sell = close;
settradedelays = (1,0,0,0); // Explore today trade tomorrow (?)
positionsize = 5000;
addcolumn(positionscore,"score"); //lets me see the score values in an
exploration
//I've got maxtrades set to 1 within settings
When i explore from 18/9/08 to 18/9/08 i get stock abc.asx for example
but when i backtest from 19/9/08 to 19/9/08 i'm not getting the same ticker
that i expected to see traded with the Buy delay set to 1.
If anyone could advise on the above idea i would appreciate the help,,,
i also tried this with no luck,,,,,,,,,,,
positionscore = ROC(C,1) / ROC(C,10);
cond1 = c > o;
longsetup = postionscore and cond1;
filter = ref(longsetup,-1);
buy = filter ;
buyprice = open;
sell = close;
settradedelays = (0,0,0,0);
positionsize = 5000;
addcolumn(positionscore,"score");
