AmiBroker 過濾器 Exploration 的問題

joshsmi

keymaker 發表於 13-10-20 19:17
Thank you so much!
Everything is correct here,
but I don't know the purpose of variables SetTradeD ...

Just read in the help file

SetTradeDelays - allows to control trade delays applied by the backtester

Trading system toolbox (AFL 2.1)

SYNTAX	SetTradeDelays( buydelay, selldelay, shortdelay, coverdelay )
RETURNS	nothing
FUNCTION	Sets trade delays applied by the backtester. This function allows you to override trade delays from the "Settings" page. It is important do understand what trade delays really do. They in fact internally apply the following: Buy = Ref( Buy, -buydelay );Sell = Ref( Sell, -selldelay );Short = Ref( Short, -shortdelay );Cover = Ref( Cover, -coverdelay );inside backtester after your formula is executed but before backtester starts trade simulation. It is functionally equivalent to having above 4 lines at the end of your formula. Note that NO OTHER variables are affected by trade delays, therefore for example if your position sizing depends on values found in buy/sell/short/cover variables *and* if you are using non-zero trade delays you need to account for that in your code.
EXAMPLE	settradedelays( 1, 1, 1, 1 )

So settradedelays( 1, 1, 1, 1 ) means that you buy, sell, short cover one bar later than signal bar.
So if buy signal is at close then you buy on next bar's open, for example.

as for equityflag ... it is also written in the help file

Equity - calculate single-symbol equity line

Trading system toolbox (AFL 2.0)

SYNTAX	equity( Flags = 0, RangeType = -1, From = 0, To = 0 )
RETURNS	ARRAY
FUNCTION	NOTE: This function is left here for backward compatibility and is using old, single-security backtester. New coding should rather use portfolio-level equity (special ~~~EQUITY ticker). Function: Returns single-security Equity line based on buy/sell/short/cover rules, buy/sell/short/coverprice arrays, all apply stops, and all other backtester settings. Flags - defines the behaviour of Equity function 0 : (default) Equity works as in 3.98 - just calculates the equity array 1 : works as 0 but additionally updates buy/sell/short/cover arrays so all redundant signals are removed exactly as it is done internally by the backtester plus all exits by stops are applied so it is now possible to visualise ApplyStop() stops. 2 : (advanced) works as 1 but updated signals are not moved back to their original positions if buy/sell/short/cover delays set in preferences are non-zero. Note: this value of flag is documented but in 99% of cases should not be used in your formula. Other values are reserved for the future. RangeType - defines quotations range being used: -1 : (default) use range set in the Automatic analysis window 0 : all quotes 1 : n last quotes (n defined by 'From' parameter) 2 : n last days (n defined by 'From' parameter) 3 : From/To dates From : defines start date (datenum) (when RangeType == 3) or "n" parameter (when RangeType == 1 or 2) To: defines end date (datenum) (when RangeType == 3) otherwise ignored datenum defines date the same way as DateNum() function as YYYMMDD where YYY is (year - 1900), MM is month, DD is day December 31st, 1999 has a datenum of 991231 May 21st, 2001 has a datenum of 1010521 All these parameters are evaluated at the time of the call of Equity function. Complete equity array is generated at once. Changes to buy/sell/short/cover rules made after the call have no effect. Equity function can be called multiple times in single formula. IMPORTANT NOTE: Equity() function uses so called "old" single-security backtester that offers only subset of features of new backtester. To retrieve value of portfolio-level equity generated by new backtester use Foreign("~~~EQUITY", "C").
EXAMPLE	Buy = //your Buy rule; Sell = //your Sell rule; Graph0 = Equity();

Keep in mind that Equity() function is single security backtester function. For portfolio you must use backtester in Analysis window not explorer. Also Equity function is not needed in backtester.

As for flag.
if you enter on same bar as signal bar then you would use flag = 1. If you enter i.e. on next bar's open then you would use flag = 2. But flag = 2 should not be used in Backtester because otherwise it will double the delays (1-bar delay will be applied by Equity call, the other by the backtester itself).

Therefore if using different equityflags then include if( Status( "action" ) == actionexplore) or if( Status( "action" ) == actionIndicator) if you use same system code for exploration/plot and in backtester.