Hi Howard,
here's what i've done with the code at this stage
re Symbols in the watchlist ASX ,Equity's.
re settings daily,long,
i appreciate your interest and help but i'm really not sure this idea is going
to work and i could be wasting your time which is a concern for me.
I read a post recently that you've written a new book,,i learnt about
ma cross overs and optimizing from your first so it may be best that i have a
look at your second book rather than trying to think something up on my own,
i've waived the white flag many hours ago regarding me learning programing but
the desire to have something mechanical on EOD is still there.
sincere regards
Paul
// radge1.afl
//Day Trade
InitEquity = 10000;
SetOption("InitialEquity",InitEquity);
SetTradeDelays (1,1,0,0); // Explore today trade tomorrow
// Number of positions to hold
MaxQty = 1;
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
myroc1=1;//Optimize("myroc1",3,1,10,1);
myroc2=10;//Optimize("myroc2",20,1,30,1);
froc=ROC(C,myroc1);
sroc=ROC(C,myroc2);
PositionScore = froc / sroc; //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 AND RSI(15)>30;
// 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
----- Original Message -----
From: Howard B
To: [email protected]
Sent: Monday, September 29, 2008 9:33 PM
Subject: Re: [amibroker] backtesting
Hi Paul --
Can you post the code your are using, along with the symbols in the
watchlist, and the settings you are using?
Thanks,
Howard
On Sun, Sep 28, 2008 at 5:53 PM, Paul Radge <[EMAIL PROTECTED]> wrote:
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");
