Hi Angelo -- Your wrote: "for more clarification, please see a JPEG of an AA results of a pair trading strategy, stored in http://www.savefile.com/files/1989358.";
That link seems to be broken. Thanks, Howard On Sat, Jan 31, 2009 at 4:56 PM, janhausd <[email protected]> wrote: > Hi Angelo, > > I have followed Tomasz's instructions and created a code sample based > on it, and I get results pretty much just like your picture. So now I > know of two ways to do this: > > 1. Create a composite and backtest on it. Pro's include exact numbers > for your entry and exit basis, and all statistics/drawdowns follow > this composite. Con is that it is difficult to express the exact > meaning of this basis in $ value because it shifts around based on > which contract moved, but the general result should at least show if > your strategy is working correctly. And I think this can be solved > with a little more thinking too. > > 2. Create a watchlist of the symbols that would form the composite in > A and backtest on them. This method is the one Tomasz suggested, and > it makes for some simple code, but as you said, the statistics are > off. For one thing, the highest % profit per trade is not the highest > % trade in A nor the one in B but the highest % of the spread, which I > believe is what you or I are more interested in, but unfortunately the > statistics currently don't support this 'pair' position. > > As I see it, there are a pro's and cons to either method, and for now > I think I still need to stick with the composite calculation, because > at least I don't need to do all the re-do statistics myself :) > > > --- In [email protected] <amibroker%40yahoogroups.com>, "ang_60" > <ima_c...@...> wrote: > > > > > > Hello, > > > > for more clarification, please see a JPEG of an AA results of a pair > > trading strategy, stored in http://www.savefile.com/files/1989358. > > > > My problem is to let Amibroker know that trades in this example are > > not six but just three. > > > > And – for example – as for the first two lines: I don't have a trade1 > > losing 2,70% and trade2 gaining 3,50% BUT just ONE SINGLE trade > > gaining 0.80%. > > > > For Jan: I see the logic of your solution, but – seems to me – you are > > losing all the statistic expressed in dollar value (Total profit, > > drawdown… )… > > Unfortunately, – as of today – my only idea would be to export the > > trade list to Excel and manipulate the data there (but quite frankly, > > I'd have to manipulate them by hand…. because being a trader and not a > > programmer I'm not so sure on my ability to write the correct routine > > using VBA… so this is not the ultimate solution neither). > > > > >
