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I have
written some logic that will AddToComposte the capital required to
trade. Let's say that I have a system that trades IBM, long only,
and buys every January and sells every June. I'm trying to keep it
simple. If the system trades $10,000, I will need $10,000 to trade
IBM for January through May and I won't need any capital for the rest of the
year. The system will take long positions in other stocks during
different months. My composite, therefore, will show me how
much capital is required to take every trade over the period in my
backtest. This all seems to work fine.
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I then
tried to modify the program so that it looks at the composite as it is being
built. The objective is to stop taking new signals when I run out of
cash. The code looks like:
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<FONT face=Arial color=#0000ff
size=2>TotalCapitalRequired =
Foreign("~Capital","Close",fixup=1);
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I then
might say something like:
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Buy =
Close > MA(Close,50) and TotalCapitalRequired <
100000;
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This
doesn't seem to work. It still takes every trade and the capital
composite keeps growing well past the 100,000 mark.
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I tried
this:
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<FONT face=Arial color=#0000ff
size=2>TotalCapitalRequired =
ref(Foreign("~Capital","Close",fixup=1),-1);
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size=2>
It
didn't do the job either.
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This is
probably a question for TJ, but is it possible to access the composite as it is
being updated? My testing suggests that it cannot be
done.
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Any
input would be appreciated.
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<FONT face=Arial color=#0000ff
size=2>P.S. I realise that (if I could get this to work) the
system will stop trading stocks based purely on where they sit in the
alphabet. I also believe that "A" stocks have a certain
bias. With these two points in mind, I actually use randomly
assigned symbols for my stocks during the optimizing
process.
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