Hi Skate, I have a few questions about your code
1. In your code at line 17 what is the purpose of the 2 lines?
SetForeign( "$XAO.au", True , True );
RestorePriceArrays( True );
Aren't these lines redundant as in line 23 is
Index = Foreign("XAO","C",True);
2. Line 36 is
MOMFilter = ( ROC( C, 10 ) >= ROCParameter );
shouldn't it be?
MOMFilter = ( ROC( C, 10 ) >= ROC( C, ROCParameter) );
3. Finally, what is the purpose of the variable TradingFunds which was set to default value of 5000?
Isn't the position size determined by the current equity divided by the maximum number of positions?
ie
PosQty = 20; // Position Quantity = Maximum 20 positions
PositionSize = -100 / posqty;
Please pardon me if my questions are basic.
Thanks for your feedback.
Stafe
@stafe the uploaded (AFL's) are my old templates from 2015 to help others new to Amibroker understand the code with comments. The (AFL's) are uploaded for educational purposes & are not guaranteed to be error-free. The (AFL's) give others something to play with. The "WTT" Template hasn't been uploaded for others to trade.
Copy of the code
So others can follow your question & my answers I've pasted the code in question.
Question 1 - "In your code at line 17 what is the purpose of the 2 lines? - Aren't these lines redundant as in line 23"
Line 17 & Line 23 seem similar & admittedly with line 23 (that is part of the Index Filter) line 17 becomes repetitive & redundant - "until" you you decide to "comment out" the Index Filter to run alternative backtests.
Question 2. "Line 36 is MOMFilter = ( ROC( C, 10 ) >= ROCParameter ); shouldn't it be? MOMFilter = ( ROC( C, 10 ) >= ROC( C, ROCParameter) );"
Line 37 references Line 36 which is an adjustable parameter setting. The reason I used the "param" feature is so others can change this setting of the fly when backtesting. The line of code without the param is: MOMFilter = ( ROC( C, 10 ) >= 8 ) This simply means when the "Rate of Change" of the last 10-period is greater than or equal to the 8-period "Rate of Change" there is momentum that becomes part of the "buy" strategy.
Question 3. "Finally, what is the purpose of the variable TradingFunds which was set to default value of 5000? Isn't the position size determined by the current equity divided by the maximum number of positions? ie PosQty = 20; // Position Quantity = Maximum 20 position PositionSize = -100 / posqty;"
Line 10 is an adjustable parameter setting. I've used the "param" feature so if $5k bets is "not the size you want to backtest" you simply have a means to adjust the bet size on the fly without changing any of the code.
Why have the bet size adjustable?
Scenario (1) I prefer $25k bets so I would change $5,000 with $25,000 in the parameter settings before running the Exploration analysis. Changing this amount recalculates the correct number of shares to purchase in the pre-auction. Also by changing the bet size it also calculates the amount being invested in each position as a double-check.
Scenario (2) Those trading the "Action Strategy" are limited to $1k bets (so I would change $5,000 with $1,000 in the parameter settings before running the Exploration analysis). Changing the bet size recalculates the correct number of shares to purchase in the pre-auction. ($5k bet size relates to the code you referenced). Also by changing the bet size it also calculates the amount being invested in each position as a double-check.
_SECTION_BEGIN( "# Skate's WTT Modified Exploration" );
//=================================================================================
//1. The "SetOptions" are management options & they are a feature of Amibroker
//=================================================================================
Line 10 - TradingFunds = Param( "Trading Funds - $", 5000, 1000, 10000000, 1000 ); // User-definable parameter, accessible via Exploration parameters - changes are reflected immediately. (Default $5k bets) - INSERT any amount
SetOption( "InitialEquity", 100000 ); // $100k Inital Equity (allows for 20 X $5k bets)
SetOption( "PriceBoundChecking", 1 ); // True: Adjust prices so that they fall within the High-Low range
SetOption( "CommissionMode", 2 ); // Use $ amount
SetOption( "CommissionAmount", 19.95 ); // CommSec commission rate
SetOption( "UsePrevBarEquityForPosSizing", 1 ); // True: Use previous bar closing equity to perform position sizing
SetOption( "AllowSameBarExit", False ); // False: Trade is exited & we move to next bar ignoring other signals
Line 17 - SetForeign( "$XAO.au", True , True ); // I've used the new Norgate Updater (NDU) format - change if the format is different to your data supplier
RestorePriceArrays( True ); // Restores original price and volume arrays after the call to SetForeign.
SetTradeDelays( 1, 1, 1, 1 ); // Trade delays, the delay is required for backtesting
//=================================================================================
//2. The "Index Filter" - decides when we will trade & also our trailing stop levels
//=================================================================================
Line 23 - IndexCode = ParamStr("Index Symbol","$XAO.au");
Index = Foreign(IndexCode,"C");
MAFilter = MA( C, 10); // 10 week lookback period
IndexBuyFilter = Index > MAFilter; // Index Filter = ON: When the close is greater than the 10 week simple moving average the Index Filter is ON [trailing stop set to 20%] + [buy + sell signals generated]
IndexSellFilter = Index < MAFilter; // Index Filter = OFF: When the close is less than the 10 week simple moving average the Index Filter is OFF [shortens trailing stop to 10%] + [only sell signals generated]
RestorePriceArrays( True ); // Restores original arrays after the call to SetForeign.
//=================================================================================
//3. Add all our other filters
//=================================================================================
Liq = C * V; // Liquidity Filter
CV = 500000; // Volume Filter
Liqfactor = Liq > CV; // Liquidity Filter
ROCFilter = ROC( C, 20 ) > 30; // Rate Of Change (ROC) Momentum filter
Line 36 - ROCParameter = Param( "ROC Parameter", 8, 0, 52, 1 ); // 8 week Rate of Change period
Line 37 - MOMFilter = ( ROC( C, 10 ) >= ROCParameter ); // Momentum filter - the closing price of the last 10 weeks is greater than the last 8 weeks
NoStrength = Close < MA( Close, 12 ); // If the closing price is less then the Simple Moving Average of the last 12 weeks it's considered there is no strength in the move
//=================================================================================
//4. Add a Buy condition
//=================================================================================
WTTBP = Param( "Breakout Period", 10, 1, 1000, 1 ); // 10 week Lookback period
Cond1 = C > Ref( HHV( C, WTTBP ), -1 ); // Buy when the closing price is greater than the highest High Value of the last 10 weeks
Cond2 = IndexBuyFilter; // Buy ONLY when the Index Filter is ON
cond3 = C >= 0.05; // Buy only if the closing price is greater $0.05 (5 cents)
cond4 = C <= 10; // Buy only if the closing price is less than $10.00
cond5 = liqfactor; // Buy only when the Liquidity filter is TRUE
cond6 = ROCFilter
AND MOMFilter; // Buy only when the Rate of Change filter &
Momentum filter is TRUE
Buy = cond1
AND cond2
AND cond3
AND cond4
AND cond5
AND cond6;
//=================================================================================
Skate.