Hi Howard,
i'm wondering if you know what this means,,
when i run the exploration one day and then backtest for the following day to
see if it selects the same stock ....
i'm finding that the program is just about always selecting the first stock
that has a positionscore value of 1.#J or -1.#J instead of selecting the stock
that has the highest positionscore value.
I'm assuming it's some computer language but wondering why it's mixing in with
typical counting,,,well not actually wondering why but wondering how to fix it
please ???
regards
Paul
----- Original Message -----
From: Paul Radge
To: [email protected]
Sent: Saturday, September 27, 2008 10:25 PM
Subject: Re: [amibroker] backtesting
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");
