The formula just fits a least-square line thru the points, Roy.
There is a bug as writen -- Sxx must be declared float to
avoid overflow for large S.
It will be pretty slow for large S and extensive backtesting -- more
efficient in that case to replace the oldest point rather than summing
x, y, and xy anew.
(No need to recalc Sxx -- the denominator, S*Sxx - Sx*Sx, stays constant.)
You need to be sure there are enough days, but daystoload isn't
sufficient -- you need to set daysrequired = maxperiod + daysback.
FWIW the template I use to switch backtesting on/off follows. -Bob
------------
input="input.lst";
output = "output.lst";
integer i, day, first, last, MaxPrday, maxperiod;
float MaxGain, MaxPr;
maxperiod:= 50; // based on longest indicator period
first:= -120; // Set to < last to test from there to last
daystoload = 100 + maxperiod - first;
DaysRequired = maxperiod - first; //Newer issues will be skipped
last:= -20; // days
if first >= last then last:= first; endif; // disable the for loop
// i.e., first:= -20 just tests 20 days ago
// and first:=0 disables Back Testing
for day = first to last do
if cond1 then
if cond2 then
if cond3 then
if cond4 then
if cond5 then
if cond6 then // etc.
print symbol,",",date(day),",",close(day):8:3;
if first != 0 then //measure performance
MaxPr:= max(0, day+1, cl); //till day 0
MaxGain:= (MaxPr -close(day))/close(day);
for i = day+1 to 0 do //find first max then exit the loop
if close(i) >= MaxPr then
MaxPrday:= i;
i:= 0;
endif;
next i;
print",",date(MaxPrday),",",100*MaxGain:8:1;
println; // everything else for excel or perl backtest
endif; //first
endif; endif; endif; endif; endif; endif;
next day; |
