Thanks for the response Howard. I'm going to figure out how the exploration and your code works.
Thanks! BB --- In [email protected], "Howard B" <[EMAIL PROTECTED]> wrote: > > Hi BB -- > > You might consider using an Exploration instead of a Backtest to generate > the statistics you are looking for. > > In the Exploration, look ahead to see what the conditions will be. You > can't do that in a trading system, but you can in an exploration. > > For example: > > /////////////////////////////////////////////////////// > // SampleExploration.afl > // > // Howard Bandy > // September 2008 > > SetTradeDelays(0,0,0,0); > > // Set up the conditions you are interested in. > > RSILevel = Optimize("RSILevel",20,1,100,1); > > // If the RSI rose through the indicated level yesterday, > // Buy this morning's Open > Buy = Ref(Cross(RSI(),RSILevel),-1); > BuyPrice = Open; > > // Look ahead to see what the profit potential is > HHVAhead = Ref(HHV(H,5),5); > ProfitPotential = (HHVAhead - BuyPrice) / BuyPrice; > > // Keep track of when the Buy occurred. > // If you have multiple Buys before the first Sell, > // this will pick up the most recent Buy, which is incorrect. > // In that case, you might want to write a loop > // to control the prices more exactly. > BuyAgo = BarsSince(Buy); > > // Sell at the ideal time and price > Sell = H == Ref(HHVAhead,-BuyAgo); > SellPrice = H; > > // Show only those days with the Buy signal > Filter = Buy; > > // Display figures of interest > AddColumn(Buy,"Buy",4.0); > AddColumn(BuyPrice,"BuyPrice",10.4); > AddColumn(Close, "Close", 10.4); > AddColumn(ProfitPotential,"Profit P",10.4); > AddColumn(HHVAhead,"HHVAhead",10.4); > AddColumn(Ref(RSI(),-2),"RSI 2 ago",1.4); > AddColumn(Ref(RSI(),-1),"RSI Yest",1.4); > AddColumn(RSI(),"RSI",1.4); > > > > ///////////////////////////////////////////////////// > > Thanks, > Howard > > > On Mon, Sep 29, 2008 at 5:30 AM, bimbo2blond <[EMAIL PROTECTED]> wrote: > > > Hello Howard, > > > > Thanks for your reply. > > The daily buying is clear. The other answer makes at least clear > > that what I want is a bit more complicated as I thought. > > > > Basicly I want to test entry and exit strategies independently. To > > see only the effects of the exit strategy I need a 'random' entry. > > By buying on every open I have a random entry and a lot of data to > > give the results of the exit strategy statistical relevance. If the > > entries generated when already in the market are ignored certain > > types of markets will be filtered out. Consequently the results may > > become skewed. > > > > I need a way to compound on every entry signal generated and then > > link every entry signal with it's own exit price generated by the > > exit algorithm. As long as the exit strategy is no function of the > > entryprice fifo will lead to correct trade reports. I guess this > > shouldn't be to hard to accomplish? However when entryprice effects > > the exitstrategy (e.g. you pull up the stopprice asap to break even) > > fifo will give incorrect trade reports as later entries may exit > > earlier. The stop is pulled up to breakeven and gives the position > > less freedom to move before hitting the stop. > > > > Thanks > > BB > > > > --- In [email protected] <amibroker% 40yahoogroups.com>, "Howard B" > > <howardbandy@> wrote: > > > > > > Hi Bimbo -- > > > > > > You want to buy on the open every day? If you are using end-of- > > day data: > > > > > > Buy = 1; > > > BuyPrice = Open; > > > > > > > > > If you are using the ordinary capabilities of AmiBroker (which I > > assume you > > > are since you are just starting), you will have only one position > > open for a > > > given symbol. Until you exit the first trade, all succeeding Buy > > signals > > > for that symbol will be ignored. If you are running a portfolio, > > AmiBroker > > > keeps track of the Buy and Sell according to the symbol, so there > > is no > > > confusion in the report. > > > > > > Thanks, > > > Howard > > > > > > > > > On Sat, Sep 27, 2008 at 3:59 PM, bimbo2blond <bimbo2blond@> > > wrote: > > > > > > > Hello, > > > > > > > > I'm just starting with amibroker and have two questions. > > > > > > > > - How do I program that every day on the open a position is > > opened? > > > > Will 'Buy = Open' do the job? > > > > > > > > - How do I link a buying signal with a sell signal? E.g. I use an > > > > exitstrategy that is a function of the entryprice. Then it is > > possible > > > > that the exit signals appear in a different order then the > > > > entrysignals. How do I make sure that the entry and exit signal > > are > > > > linked so that the report produces correct trade to trade > > results? (If > > > > entry and exit are not linked correctly I may get an incorrect > > > > assesment of the stability of the system) > > > > > > > > Thanks > > > > BB > > > > > > > > > > > > > > > > > > > > > >
