Looks useful, Fred.
Since I rashly promised, here are a couple that I use.
Both are set up so that you won't need a separate back-test
version; the first one is useful if you want to scan for rare hits
[over n days] -- use the 2nd one to see the outcome for a single
day. -Bob
----
// Back Test Template
//Only accepts the first hit
// Note that nesting does little for speed in recent QP builds
integer i, bar, last, BestBar, MaxIndLen, MinPr, MaxPr, MinVol;
float BestCl, BestPct;
//input = "30k+vol.lst"; // comment out 1st 3 ifs if handled here
issuetype common;
MinPr:= 5; MaxPr:= 150; // Set these *************
MinVol := 100000; // Set this *************
MaxIndLen:= 89; // Longest indicator period *************
first:= -120; // Set to >= last to disable loop *************
output = "DE-MACD-120.lst"; // Set this *************
last:= -20; // bars to settle *************
daystoload = 2200;
DaysRequired = MaxIndLen + 50 - first;
// comment out these 2 lines if there are no EMA-based indicators
if first >= last then last:= first; endif; //to disable the for loop
// i.e., first:= -20 just tests 20 bars ago and first:=0 disables BTesting
for bar = first to last do
if close(bar) > MinPr then
if close(bar) < MaxPr then
if MovAvg(bar, 30, vol) > MinVol then
if Sic != 6726 then // exclude closed-end funds
// Add rest of conditions here
print symbol:-5,",",date(bar),",",close(bar):7:3;
if bar != 0 then //measure performance
BestCl:= max(0, bar+1, cl); //from next bar to bar 0
BestPct:= 100*(BestCl -close(bar))/close(bar);
for i = bar+1 to 0 do //find first max then exit the loop
if close(i) >= BestCl then
BestDay:= i;
i:= 0;
endif;
next i;
print",",date(BestDay),",",close(BestDay):7:3,",",BestPct:5:3;
endif; //bar
println",",sic; // add desired here for excel/Perl postprocessing
endif; endif; endif; // can comment out 1st 3 ifs and this line, see above
endif; endif; endif; endif;
next bar;
----
//fixed-day back test template
// page through the hits with the cursor on tbar
//input = "100k.lst"; // comment out 1st 3 ifs if handled here
issuetype common;
integer i, tbar, BestDay, IndLen, MinPr, MinVol, MaxPr;
float BestCl, BestPct;
MinPr:= 2; MaxPr:= 150; // Set these *************
MinVol := 30000; // Set this *************
IndLen:= 89; // Longest indicator period *************
tbar:= -50; // set to 0 or to -nn to backtest *************
output = "this scan-50.lst"; // edit tbar *************
daystoload = 1000 - tbar;
DaysRequired = IndLen + 50 -tbar; // Newer issues will be skipped
if close(tbar) > MinPr then
if close(tbar) < MaxPr then
if MovAvg(tbar, 30, vol) > MinVol then
if Sic != 6726 then // exclude closed ends
// rest
print symbol:-5,",",close(tbar):7:3,",",date(tbar);
if tbar != 0 then //measure performance
BestCl:= max(0, tbar+1, cl); //from next day to day 0
BestPct:= 100*(BestCl -close(tbar))/close(tbar);
for i = tbar+1 to 0 do //find first max then exit the loop
if close(i) >= BestCl then
BestDay:= i;
i:= 0;
endif;
next i;
print",",close(BestDay):7:3,",",date(BestDay),",",BestPct:5:3;
endif; //tbar
println",",sic; // add desired here for excel/perl postprocessing
endif; endif; endif; // can comment out 1st 3 ifs and this line, see above
endif; endif; endif; endif; |
