We know that Amibroker provides an equity curve for the whole strategy. Is there a way where we can build a simple Day Wise PNL to get a better idea about which day’s strategy is performing better to fine-tune the trading system?
It helps traders to avoid non-performing days. For example, if Friday’s Signal performance is not good then one can eliminate trading the system on Fridays.
Here is the simple visualization of Day Wise PNL (Monday Equity Curve, Tuesday Equity Curve ….. Friday Equity Curve)
Sample Trading Amibroker AFL Template to build Day Wise Equity Curve
_SECTION_BEGIN("Simple Two EMA Crossover Trading System");
SetChartOptions(0,chartShowArrows|chartShowDates);
SetPositionSize(1*RoundLotSize,spsShares);
shortema = Optimize("Short EMA",3,1,50,1);
longema = Optimize("Long EMA",13,1,50,1);
ema1 = EMA(Close,shortema);
ema2 = EMA(Close,longema);
//Trading Strategy
Buy = Cross(ema1,ema2); //bullish ema crossover - short MA crossing up long MA
Sell = Cross(ema2,ema1); //bearish ema crossover - long MA crossing down short MA
SetTradeDelays(0,0,0,0);
BuyPrice = ValueWhen(Buy,Close);
SellPrice = ValueWhen(Sell,Close);
iBuy = Buy;
iSell = Sell;
Buy = iBuy AND DayOfWeek()==1;
Sell = iSell;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
e1 = Equity(1,0);
Buy = iBuy AND DayOfWeek()==2;
Sell = iSell;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
e2 = Equity(1,0);
Buy = iBuy AND DayOfWeek()==3;
Sell = iSell;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
e3 = Equity(1,0);
Buy = iBuy AND DayOfWeek()==4;
Sell = iSell;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
e4 = Equity(1,0);
Buy = iBuy AND DayOfWeek()==5;
Sell = iSell;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
e5 = Equity(1,0);
Plot(e1,"Eq-Monday",colorGreen,styleThick,styleOwnScale);
Plot(e2,"Eq-Tuesday",colorblue,styleThick,styleOwnScale);
Plot(e3,"Eq-Wednesday",colorRed,styleThick,styleOwnScale);
Plot(e4,"Eq-Thursday",colorYellow,styleThick,styleOwnScale);
Plot(e5,"Eq-Friday",colorPink,styleThick,styleOwnScale);
_SECTION_END();
