performance check.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Performance Check
//  Author/Uploader: Frank Snay 
//  E-mail:          [e-mail]
//  Date/Time Added: 2001-07-14 16:02:56
//  Origin:          A Check on Possible Performance of a Signal
//  Keywords:        
//  Level:           basic
//  Flags:           exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=72
//  Details URL:     http://www.amibroker.com/library/detail.php?id=72
//
//------------------------------------------------------------------------------
//
//  /*
//
//  A Daily Performance Check of your Buy signal. Corrected and revised on
//  7/14/01.
//
//  Use to:
//
//  1. Help set Stop Losses, in percentages.
//
//  2. See if increase in rate of return levels off within the first 20 days.
//
//  3. See if signal is a "leading" indicator, and by how many days.
//
//  This is a different way to look at the performance of a buy signal - it is
//  a day - by - day look at percentage gain for 20 days.
//
//  For this example, "Buffy Averages" was used.
//
//  Replace the Buffy Averages with your system, and you can see how your
//  system performs.
//
//  --------------------------How to Use--Modified
//  7/14/01-------------------------
//
//  After running "Explore", Expand the columns Max... and Min... to
//
//  MaxGain and MinGain. MaxGain is the Maximum Gain realized for 20 days. The
//  first column after MaxGain ( +Day) is the day after
//
//  the signal where the max gain occured. MinimumGain and -Day works the same
//  way. These four columns give a quick summary of the results of explore.
//
//  After running the test on a the current stock, scroll to the right and
//  select the "D20%" column. Sort so blue arrow points up. This gives you the
//  best gains for 20 days for this buy signal.
//
//  Now as you scan slowly back towards "D1%" with this sort still in place,
//  you can see the maximum percent loss your system used to get the desired
//  gains. This maximum percent loss can be used in the "Settings" button for
//  Backtesting your system.
//
//  "D20%" was used in this example, but any of the "Dn%" columns can be used
//  for sorting. If you are a swing trader using a maximum time frame of only 2
//  or 3 days in your system, use "D2%" or "D3%".
//
//  A careful study of the results might reveal that possibly, for example, the
//  rate of change of percentage gains slows down after day five. This would
//  prepare you to exit on day five.
//
//  Another possible finding is that the signal is "early", and best entry
//  point might be, for example again, three days after the actual buy signal.
//  This would be revealed by negative returns for the first three days, and
//  then positive gains.
//
//  */
//
//  /*-----------Replace all until next dashed line with your
//  system------------*/
//
//  /*-----------Ensure your "Buy" rules are
//  included--------------------------------*/
//
//  /*
//
//  Buffy Averages
//
//  */
//
//  FastPeriods =5;
//
//  SlowPeriods = 20;
//
//  FastBuffAvg = Sum( Volume * Close, FastPeriods ) / Sum( Volume, FastPeriods
//  );
//
//  SlowBuffAvg = Sum( Volume * Close, SlowPeriods ) / Sum( Volume, SlowPeriods
//  );
//
//  graph0 = FastBuffAvg;
//
//  graph1 = SlowBuffAvg;
//
//  /* buy & sell trading rules */
//
//  buy = cross( FastBuffAvg, SlowBuffAvg );
//
//  sell = cross( SlowBuffAvg, FastBuffAvg );
//
//  /* A commentary */
//
//  buybars = BarsSince( buy );
//
//  sellbars = BarsSince( sell );
//
//  WriteIF( buybars < sellbars,
//
//  "A bullish crossover occured " + WriteVal( buybars ) + " bars ago",
//
//  "A bearish crossover occured " + WriteVal( sellbars ) + " bars ago" );
//
// 
//  /*--------------------------------------------------------------------------------------------------------*/
//
//  /* Only Buy signals will be used
//
//  "D1%" means percent gain at the end of day one, "D2%" the end of day two,
//  etc.
//
//  The entry price will be the Open on the day following the signal.
//
//  The percent gain will be the Close price of the day.
//
//  This program looks "forward" twenty days, so under the "Range" option, use
//  the last radio button next to "from" and set the dates that would include a
//  stop date ("to") about 21 days ago. Start date is your option. If this step
//  is NOT done, signals that occur within the last 21 days will have bad data
//  in the display.
//
//  REMEMBER THAT THE RESULTS MEASURE PAST PERFORMANCE, AND THERE IS NO
//  GUARENTEE THAT THE STOCK WILL HAVE THE SAME GAINS IN THE FUTURE.
//
//  */
//
//  /* EP is the Entry Price */
//
//  EP = ref(o,1);
//
//  D1G = 100*(ref(c,1) - EP)/EP;
//
//  D2G = 100*(ref(c,2) - EP)/EP;
//
//  D3G = 100*(ref(c,3) - EP)/EP;
//
//  D4G = 100*(ref(c,4) - EP)/EP;
//
//  D5G = 100*(ref(c,5) - EP)/EP;
//
//  D6G = 100*(ref(c,6) - EP)/EP;
//
//  D7G = 100*(ref(c,7) - EP)/EP;
//
//  D8G = 100*(ref(c,8) - EP)/EP;
//
//  D9G = 100*(ref(c,9) - EP)/EP;
//
//  D10G = 100*(ref(c,10) - EP)/EP;
//
//  D11G = 100*(ref(c,11) - EP)/EP;
//
//  D12G = 100*(ref(c,12) - EP)/EP;
//
//  D13G = 100*(ref(c,13) - EP)/EP;
//
//  D14G = 100*(ref(c,14) - EP)/EP;
//
//  D15G = 100*(ref(c,15) - EP)/EP;
//
//  D16G = 100*(ref(c,16) - EP)/EP;
//
//  D17G = 100*(ref(c,17) - EP)/EP;
//
//  D18G = 100*(ref(c,18) - EP)/EP;
//
//  D19G = 100*(ref(c,19) - EP)/EP;
//
//  D20G = 100*(ref(c,20) - EP)/EP;
//
//  /* Compute the Maximum Gain for the 20 Days */
//
//  Max20 = max(D1G,D2G);
//
//  MaxCntr = iif(D1G > D2G,1,2);
//
//  Max20 = max(Max20,D3G);
//
//  MaxCntr = iif(Max20 > D3G,MaxCntr,3);
//
//  Max20 = max(Max20,D4G);
//
//  MaxCntr = iif(Max20 > D4G,MaxCntr,4);
//
//  Max20 = max(Max20,D5G);
//
//  MaxCntr = iif(Max20 > D5G,MaxCntr,5);
//
//  Max20 = max(Max20,D6G);
//
//  MaxCntr = iif(Max20 > D6G,MaxCntr,6);
//
//  Max20 = max(Max20,D7G);
//
//  MaxCntr = iif(Max20 > D7G,MaxCntr,7);
//
//  Max20 = max(Max20,D8G);
//
//  MaxCntr = iif(Max20 > D8G,MaxCntr,8);
//
//  Max20 = max(Max20,D9G);
//
//  MaxCntr = iif(Max20 > D9G,MaxCntr,9);
//
//  Max20 = max(Max20,D10G);
//
//  MaxCntr = iif(Max20 > D10G,MaxCntr,10);
//
//  Max20 = max(Max20,D11G);
//
//  MaxCntr = iif(Max20 > D11G,MaxCntr,11);
//
//  Max20 = max(Max20,D12G);
//
//  MaxCntr = iif(Max20 > D12G,MaxCntr,12);
//
//  Max20 = max(Max20,D13G);
//
//  MaxCntr = iif(Max20 > D13G,MaxCntr,13);
//
//  Max20 = max(Max20,D14G);
//
//  MaxCntr = iif(Max20 > D14G,MaxCntr,14);
//
//  Max20 = max(Max20,D15G);
//
//  MaxCntr = iif(Max20 > D15G,MaxCntr,15);
//
//  Max20 = max(Max20,D16G);
//
//  MaxCntr = iif(Max20 > D16G,MaxCntr,16);
//
//  Max20 = max(Max20,D17G);
//
//  MaxCntr = iif(Max20 > D17G,MaxCntr,17);
//
//  Max20 = max(Max20,D18G);
//
//  MaxCntr = iif(Max20 > D18G,MaxCntr,18);
//
//  Max20 = max(Max20,D19G);
//
//  MaxCntr = iif(Max20 > D19G,MaxCntr,19);
//
//  Max20 = max(Max20,D20G);
//
//  MaxCntr = iif(Max20 > D20G,MaxCntr,20);
//
//  /*Now the Minimum Gain for the 20 Days */
//
//  Min20 = min(D1G,D2G);
//
//  MinCntr = iif(D1G < D2G,1,2);
//
//  Min20 = min(Min20,D3G);
//
//  MinCntr = iif(Min20 < D3G,MinCntr,3);
//
//  Min20 = min(Min20,D4G);
//
//  MinCntr = iif(Min20< D4G,MinCntr,4);
//
//  Min20 = min(Min20,D5G);
//
//  MinCntr = iif(Min20 < D5G,MinCntr,5);
//
//  Min20 = min(Min20,D6G);
//
//  MinCntr = iif(Min20< D6G,MinCntr,6);
//
//  Min20 = min(Min20,D7G);
//
//  MinCntr = iif(Min20 < D7G,MinCntr,7);
//
//  Min20 = min(Min20,D8G);
//
//  MinCntr = iif(Min20< D8G,MinCntr,8);
//
//  Min20 = min(Min20,D9G);
//
//  MinCntr = iif(Min20 < D9G,MinCntr,9);
//
//  Min20 = min(Min20,D10G);
//
//  MinCntr = iif(Min20< D10G,MinCntr,10);
//
//  Min20 = min(Min20,D11G);
//
//  MinCntr = iif(Min20< D11G,MinCntr,11);
//
//  Min20 = min(Min20,D12G);
//
//  MinCntr = iif(Min20 < D12G,MinCntr,12);
//
//  Min20 = min(Min20,D13G);
//
//  MinCntr = iif(Min20 < D13G,MinCntr,13);
//
//  Min20 = min(Min20,D14G);
//
//  MinCntr = iif(Min20< D14G,MinCntr,14);
//
//  Min20 = min(Min20,D15G);
//
//  MinCntr = iif(Min20 < D15G,MinCntr,15);
//
//  Min20 = min(Min20,D16G);
//
//  MinCntr = iif(Min20 < D16G,MinCntr,16);
//
//  Min20 = min(Min20,D17G);
//
//  MinCntr = iif(Min20 < D17G,MinCntr,17);
//
//  Min20 = min(Min20,D18G);
//
//  MinCntr = iif(Min20 < D18G,MinCntr,18);
//
//  Min20 = min(Min20,D19G);
//
//  MinCntr = iif(Min20< D19G,MinCntr,19);
//
//  Min20 = min(Min20,D20G);
//
//  MinCntr = iif(Min20 < D20G,MinCntr,20);
//
//  numcolumns = 26;
//
//  column0 = c;
//
//  column0format = 1.2;
//
//  column0name = "Close";
//
//  column1 = EP;
//
//  column1format = 1.2;
//
//  column1name = "E. P.";
//
//  column2 = Max20;
//
//  column2format = 1.2;
//
//  column2name = "MaxGain";
//
//  column3 = MaxCntr;
//
//  column3format = 1.0;
//
//  column3name = " +Day";
//
//  column4 = Min20;
//
//  column4format = 1.2;
//
//  column4name = "MinGain";
//