Bruce,

I like to do a quick backscan and I am aware of some of the issues with the equity line in SF. This is nothing that I will be basing any major decisions on but I like to look at the equity line.

If I recall correctly the equity line buys an equal amount of all the stocks in the watchlist that meets the buy conditions. The problem with the equity line is that it divides the results by all of the stocks in watchlist so don't you think by multiplying the result back to the count of the stocks in the watch list we should get the same equity line as we had in 2.0? 

Bruce,

On your  Thursday, July 22, 2010 10:06:24 AM you said

I don't know if you would need to just multiply the results by the number of stocks in the WatchList or multiply the results by the number of stocks in the WatchList and then divide by the number of open positions to get the old number (but suspect the second)

From my testing it seems to be the later as well. We need to multiply by the Num of the stocks in the watchlist and then divide that by the num of the open positions.

Here is a video 

http://www.screencast.com/t/NDk5NDE2Y

and I shared my Layout under My Equity Line in V4

Here is what I did

WEL is the Watchlist Equity Line from the backscanner
IC is a Custom Index on a Rule Price >  0 to plot teh Count of teh stocks in the watchlist
CT is Num of open positions from the backscanner  

So this plot the Average Point Gain/Loss of the stocks that are in trade. All trades are doen at teh next days open.

'# WEL = indicator.WatchListEquityLine
'# IC = indicator.Index-MyRuleCount
'# CT = indicator.CountTrades
Static AA As Single
If isFirstBar Then
 AA = 0
Else If WEL.Value(1) = 100 AndAlso _ 
 CT.Value > 0 Then
 AA = ((WEL.Value - 100) * IC.Value) / CT.Value
Else If CT.Value(1) = 0 AndAlso _
 CT.Value > 1 Then
 AA = ((WEL.Value - WEL.Value(1)) * IC.Value) / CT.Value
Else If CT.Value > 0 AndAlso _
 CT.Value(1) > 0 AndAlso _
 CT.Value >= CT.Value(1) Then
 AA = ((WEL.Value - WEL.Value(1)) * IC.Value(1)) / CT.Value
Else If CT.Value > 0 AndAlso _
 CT.Value(1) > 0 AndAlso _
 CT.Value < CT.Value(1) Then
 AA = ((WEL.Value - WEL.Value(1)) * IC.Value(1)) / CT.Value(1)
Else If CT.Value = 0 AndAlso _
 CT.Value(1) > 0 Then
 AA = ((WEL.Value - WEL.Value(1)) * IC.Value(1)) / CT.Value(1) 
Else If CT.Value(1) = 0 Then
 AA = 0
End If
Plot = AA

And below should plot the correct equity line

PC is teh above indicator

'# PC = indicator.AvgPChofStocksinTrade.2.3
'# CT = indicator.CountTrades
Static AA(1) As Single
If isFirstBar Then
 AA(0) = 100 + PC.Value
Else If CT.Value > 0 Then
 AA(1) = AA(0)
 AA(0) = AA(1) + PC.Value
Else If CT.Value(1) > 0 Then
 AA(1) = AA(0)
 AA(0) = AA(1) + PC.Value
End If
Plot = AA(0)

Please let me know if I did everything correctly

thx

Bruce

I see your point about the symbol equity lines having different values in 1998 vs 2003 which can cause different results.

I need to get a general sense of the Equity Line of my Relative Strength Strategy and I finished most of the work almost 2 years ago and I've been waiting for SF to fix the Equity line since so that I can finalize everything and I honestly can't wait anymore. I understand that a lot has changed from the Blocks 2.0 days. SF is a world of difference from Blocks but I have no idea how long it will take to fix the equity line issues. This is not a complain, I just wish they would fix the current version of the equity line so that we can at least work with something before they do all the other great things such as money management rules and etc.. that they plan on doing.

In my RS strategy I am buying an equal amount of each stock so here is another way that I thought I should be able to create an Equity Line that will give me a good sense of the trend of the strategy’s equity line. This is without the use of the backscanner.

I created an InTrade Count RC. The RC will plot the Count of the bars since the buy signal.

'# CC = condition.ScanCondition
'# VST = indicator.VolatilityStopLimit
Static InTrade As Single
Static Count As Single
If isFirstBar Then
 InTrade = False
 Count = Single.NaN
End If
If InTrade = True Then
 Count += 1
Else If InTrade = False Then
 Count = 0
End If
If InTrade = False AndAlso _
 CC.Value = True Then
 InTrade = True
 Count = 0
End If
If InTrade = True AndAlso _
 Price.Close(1) >= VST.Value(1) AndAlso _
 Price.Close < VST.Value Then
 InTrade = False
End If
Plot = Count

Then I created the RC below that plots the % CH (1 Day) of the stock if the stock is in a trade. If the stock is not in a trade it will plot Single.NaN. This is also adjusted for having the executions at the Next Days Open.

'# IC = indicator.InTradeCountNextDayOpen
Static SEC As Single
If isFirstBar Then
 SEC = Single.NaN
End If
If IC.Value = 1 Then
 SEC = (100 * ((Price.Close - Price.Open) / Price.Open))
Else If IC.Value > 1 Then
 SEC = Price.PercentChange
Else If IC.Value(1) > 1 Then
 SEC = (100 * ((Price.Open - Price.Close(1)) / Price.Close(1)))
End If
If IC.Value = 1 OrElse _
 IC.Value(1) >= 1 Then
 Plot = SEC
Else
 Plot = Single.NaN
End If

Then I ran two Custom Indexs. 

1) I created a Rule on the 1st RC. If InTradeCount > 0 Then Pass and a CI to plot the number of the stocks meeting the Rule. This will plot the Total Number of the stocks in a trade.

2) I also ran CI on the 2nd RC to plot the Avg % Ch of the stocks. Since the RC is plotting Single.NaN when the stock is not in a trade this CI only plots the Avg % CH of those stocks that are in a trade.

Finally I created the RC below to plot the Equity Line of the strategy. 

This starts to plot from 1/1/1998. It’s as if the start date in the backscanner was set to 1/1/1998.

'# ITC = indicator.Index-InTradeCountNextDayOpen>0.00Count
'# AvgPC = indicator.Index-ROC%WhenInTradeNextDayOpenAvg
'# Year = UserInput.Integer = 1998
'# Month = UserInput.Integer = 1
'# Day = UserInput.integer = 1
Static SEC As Single
If isFirstBar Then
 SEC = 100
End If
If Price.DateValue.Year = Year AndAlso _
 Price.DateValue.Month = Month AndAlso _
 Price.DateValue.Day = Day AndAlso _
 ITC.Value >= 1 Then
 SEC = 100 + AvgPC.Value
Else If Price.DateValue.Year >= Year AndAlso _
 Price.DateValue.Month >= Month AndAlso _
 Price.DateValue.Day >= Day AndAlso _
 ITC.Value >= 1 Then
 SEC = SEC + ((SEC * AvgPC.Value) / 100)
Else If Price.DateValue.Year >= Year AndAlso _
 Price.DateValue.Month >= Month AndAlso _
 Price.DateValue.Day >= Day AndAlso _
 ITC.Value(1) >= 1 Then
 SEC = SEC + ((SEC * AvgPC.Value) / 100)
End If
If ITC.Value > 1 OrElse _
 ITC.Value(1) >= 1 Then
 Plot = SEC
Else
 Plot = SEC
End If

The only issue with this equity line that I am aware of is that it rebalances the portfolio everyday as if we put an equal dollar amount in every stock every day since it's averaging the % Changes every day. I just can’t think of a way to do it with having the rebalancing part.

You can copy and paste this Equity Line and change the start date to 1/1/2003 and then plot the ratio of the two Equity lines and you’ll see that since 1/1/2003 the ratio is flat since both equity line perform the same.

I shared chart  in V4 under Equity Line InTrade ROC% if you like to use it.

I understand that you have spent hours on topics with equity line issues and it could be frustrating but I would certainly if you take a look at this and see if there is anything that you see wrong with it that I am not aware of.

Jas0501 

You know a lot more than I do about RC and programming. Have you created any sort of equity lines to measure the performance of your strategies?

Many Thanks to all

Here is one approach:

Calculate the equity line of each symbol and then create a market index of that indicator.

Rough sketch

'# TradeSize  = userinput.single = 10000

Static shares as integer
static inTrade as boolean
static equity as single
dim gain as single

if isfirstbar then
   inTrade = false
   equity = 0
   shares = 0
end if

if not inTrade andalso entryTrigger then
     shares = TradeSize/Price.close
    equity -= shares * price.open(-1)
end if

if inTrade  then
    gain = (entryPrice - price.close) *  shares
    if exitTrigger then
        equity += price.close * shares
        shares = 0
        gain = 0
    endif
end if
plot = equity + gain

The plot start at zero and plots the gain or loss as the case may be. It assumes fixed trade size. The logic for the triggers needs to be provided.

The market index of this plot will provide the performance of the strategy

jas0501

I've actually done something like what you explained above. The issue with this especially on the RS strategy is I have to put in the trade size.

Assuming we are looking at 100 stocks, in the RS strategy I am buying an equal dollar amount of the top 20 at the start and then as stocks drop and new ones come through I put an Avg size of all the other stocks in the portfolio in the new stock. 

So starting with a $100,000 account $5,000 dollars at the start is allocated in each stock therefore, they each have a 5% weight in the portfolio. When new stocks come in the Avg weighting of all the other stocks is what gets allocated to the new stock.

The problem with putting in a trade size of $5,000 is when the equity line grows to let say $200,000 even at a fully invested level with 20 stocks only $100,000 will be invested and the other half is in cash.

I wonder if I can put the trade size as 5% of the Equity Line so as the Equity Line rises or declines the amount that gets invested in each stock will change automatically. 

I can create an Equity Line by adding and subtracting the values of the Market Indicator that plots the Avg Gain/Loss based on your RC above to yesterdays Value  something like below

'# ITC = indicator.Index-InTradeCountNextDayOpen>0.00Count This is the Count of the stocks in a Trade
'# AvgPC = This will be the Market Indicator
'# Year = UserInput.Integer = 1998
'# Month = UserInput.Integer = 1
'# Day = UserInput.integer = 1
Static SEC As Single
If isFirstBar Then
 SEC = 100
End If
If Price.DateValue.Year => Year AndAlso _
 Price.DateValue.Month => Month AndAlso _
 Price.DateValue.Day => Day AndAlso _
 ITC.Value >= 1 Then
 SEC = 100 + AvgPC.Value
Else If Price.DateValue.Year >= Year AndAlso _
 Price.DateValue.Month >= Month AndAlso _
 Price.DateValue.Day >= Day AndAlso _
 ITC.Value(1) >= 1 Then
 SEC = SEC + AvgPC.Value
End If
If ITC.Value > 1 OrElse _
 ITC.Value(1) >= 1 Then
 Plot = SEC
Else
 Plot = SEC
End If

But I think if I drag and drop this equity line to your RC and for the TradeSize I'll say use 5% of the value of this equity line the software will carsh because in order for the equity line to get calculted 1st your RC has to get calculated the computer is gone run in circles waiting for one to get calculated so the other one can get calculated.

Do you have any solutions to this? Where we can have the RC use some % of the equity line as the trade size.

Many thanks  

The way I explained does pretty good job I think other than the fact that it rebalances every day.

The only other issue with it is that assumes a fully invested portfolio all the time even if only 1 stock meets the conditions. If we have only one stock in the portfolio and it drops 10% today this equity line assumes all the funds are invested in that one stock and drop by 10%.

So to adjust for that I drag the 2nd CI or Market Indicator in the RC below

If with 20 stocks we should be at a fully invested portfolio then the RC below will multiply the Avg % Ch of all stocks in a trade by the total num of the stocks in a trade and then divide that by 20. This way if we have less than 20 stocks come through let say 10 its as if the potfolio is in cash by 50%. If more than 20 is as if its on margin.  

'# Num = UserInput.Integer = 20
'# ITC = indicator.Index-InTradeCountNextDayOpen>0.00Count
'# AvgPC = indicator.Index-ROC%WhenInTradeNextDayOpenAvg
Static Avg As Single
If isFirstBar Then
 Avg = Single.NaN
End If
If ITC.Value >= 1 Then
 Avg = (AVGPC.Value * ITC.Value) / Num
End If
If ITC.Value = 1 OrElse _
 ITC.Value(1) >= 1 Then
 Plot = Avg
Else
 Plot = Single.NaN
End If  

and then I use this in the final RC in my post on Wednesday, October 20, 2010 3:55:16 PM as the AvgPC.

Now if we have only 1 stock meeting the conditions and drops 10% for the day. (10 * 1) / 20 = 0.5

The equity line will only drop 0.5%