Registered User
Joined: 10/14/2004
Posts: 44
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Can someone please post defaults that control the generation of the equity line. starting $ amount, $/trade,ect.
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Registered User
Joined: 10/14/2004
Posts: 44
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I'M just wondering if the orignal post is in the line for an answer and I would like to know if the STRATEGY SYMBOL EQUITY LINE BLOCK be altered so that it uses the last value (close of signal bar) to generate the equity line data instead of the open of signal bar? Can we add the last value of the equity line as a visable number with the plot?
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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You can add the Symbol Equity line from the Strategy folder in the ADD STUDY library.
The start point of the equity line is determined by the time period of your strategy (which you can change in the strategy settings).
You can display the last value as part of the legend of the plot by running the plot into a LAST VALUE IN SERIES Block then that into a Legend display Block.
- Craig
Here to Help!
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Registered User
Joined: 10/14/2004
Posts: 44
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Craig, thanks for the reply. What I was asking was what are the default setting that control the calculations of the data for the equity line plot. Also I was asking that since the stratery scaner uses the open price of the signal day bar (for scan only)for generating the scan data that shows up in the summary reports, if I could change the open price to close price in the equity line data calculation. I understand that the equity line data would not be in sync with the scan data. I want to see the equity line results of a signal day bar close price
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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I don't know of a way to change how the equity line is calculated.
The math is simple, if there is no open trade, the line increases based on the % given in settings. If there is an open trade, it changes based on the percent change of the stock.
- Craig
Here to Help!
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Registered User
Joined: 10/14/2004
Posts: 44
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There must be a Blocks diagram (propities) that makes the equity line calculate and plots. What are the asumpitons that the equity line is calculated from? What is the starting amount of money, how much money or shares are used per trade, is the profit from trades used in the next (compounding you money), is trading cost considere
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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The equity line is simple.
It starts at a value of 100. If there is an open trade the equity line value increases or decreases based on the percent change of the stock while the trade is open.
- Craig
Here to Help!
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Registered User
Joined: 10/14/2004
Posts: 44
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Craig, Thanks for the quick reply. I'm trying to evaluate (understand) the asumptions that control what the end value will be. The end value is what we ar looking for, but unless we know how the value was calculated we do not have a complete understanding of the end value. If possibale please provide the asumations that govern the calculation.
TIA, Hottrader
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Registered User
Joined: 10/14/2004
Posts: 44
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Can womeone please refer back to my last responce. I really need an answer or a responce as to why it can't be done.
TIA, Hottrader
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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hottrader2,
I do not have any information on Equity Lines beyond what is available in the Online Users Guide (accessible from the Help menu in Blocks). While the page numbers could change as it is updated, this information is currently located on pages 60-61.
-Bruce
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Administration
Joined: 9/18/2004
Posts: 3,522
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QUOTE (hottrader2) Craig, Thanks for the quick reply. I'm trying to evaluate (understand) the asumptions that control what the end value will be. The end value is what we ar looking for, but unless we know how the value was calculated we do not have a complete understanding of the end value. If possibale please provide the asumations that govern the calculation.
TIA, Hottrader
As craig already mentioned, It starts with 100$ and calculates the %change for days that it is in the symbol.
If you want to change the starting amount, open the digram and add a multiply by value block and set the value to what you want to multiply the $100 by.
The equity line is not there to tell you how much money you will make, it's there to compare apples to apples with other strategies or trading vehicles.
Ken Gilb (Kuf)
Chief Software Engineer - Worden Brothers Inc.
Try/Catch - My RealCode Blog
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Registered User
Joined: 10/14/2004
Posts: 44
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Kur, Thanks for your reply. I understand that it can be used to compare strategies results, but the scale that show up as part of the plot ( I assume that it is in dollars) repersent the gain/loss at any point in time during the time period of the test and the last point on the equity line has a value that is equal to the total gain/loss for the tested time period. What I don't know/understand is how the trades are managed after the first $100 trade was made. are the gains compounded, Does each trade use 100% of the available funds or does it buy a fixed number of shares for each trade signal
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Again, you are taking it deeper than it is.
You start with 100 (not dollars, just a number 100).
Lets say a trade happens, it has a 10% gain from open to close, you will end up with 110.
Lets say another trade happens, it has a 10% loss from open to close, you will have 99.
As I say above, you have a value of 100 that changes based on the percent gain/loss of the trades.
- Craig
Here to Help!
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Registered User
Joined: 10/14/2004
Posts: 44
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Craig,Kuf and Bruce
Thanks for hanging in there with my questions. Based on Craig and Kuf last responces I now believe than I have the answers that I needed. The starting number (100) and any wining trades do get compounded because the next trade uses 100% of the last value to calculate the next gain/loss %change.
If we use the final value (last) and divide it by the orignal 100 number, that should give us a number that is equal to the total % change for the test period and then divide that number by the time period of the test we would end up an average ann. % gain/loss value. Do you agree with the above statements? I assume that a blocks's block can be created to do this. My question is where would be the best place to show the value? On the chart or mabe even as a column?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (hottrader2) If we use the final value (last) and divide it by the orignal 100 number, that should give us a number that is equal to the total % change for the test period...
No. You would want to subtract 100, not divide by 100.
QUOTE (hottrader2) and then divide that number by the time period of the test we would end up an average ann. % gain/loss value.
No. The correct way to annualize returns is:
((((100 + % change) / 100) ^ (1 year / time held)) * 100) - 100
It wouldn't be an average. It would just be the annualized % gain/loss value for the Equity Line.
I can't say where you might want to display a value of this type.
-Bruce
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Registered User
Joined: 10/14/2004
Posts: 44
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Bruce,
I'm not understand the formula. LET me give you a a real example. I ran a scan (10 yr) on the Nasdaq 100 and one of the better stocks was RIMM. The strategy symbol equity line appear to have a last value of 780,000,000+/-. Would you plug this number into the formula and then tell what the last value is after that and then tell me what is the correct name for it.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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hottrader2,
You would start by converting it to a percentage:
780,000,000 - 100 = 779999900
Then you would plug the % change and time held into the formula:
((((100 + 779999900) / 100) ^ (1 year / 10 years)) * 100) - 100
(((780000000 / 100) ^ (1 / 10)) * 100) - 100
((7800000 ^ (1 / 10)) * 100) - 100
(4.8888809326390707734480480720728) * 100) - 100
488.88809326390707734480480720728 - 100
+388.88809326390707734480480720728% per year
-Bruce
Personal Criteria Formulas
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Registered User
Joined: 10/7/2004
Posts: 206
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((7800000 ^ (1 / 10))
(4.8888809326390707734480480720728)
I do not understand the match of the 1st line
that gives you the 2nd line. I guess that I can live with my lack of understanding. Can a blocks diagram be designed to do this be inserted into the blocks strategy stock equity lime so that it show part of the workspace?
TIA, Hottrader
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