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Hello,
Actually for testing your EXISTING code that has buy/sell rules
you should REMOVE PositionScore variable completely.
PositionScore is for ranking/scoring based systems
and it must NOT be used for regular systems that have buy/sell/short/cover rules.
So correct use of your EXISTING formula with new backtester
is just to add *SINGLE* line that defines PositionSize
PositionSize = -10; // 10% of portfolio equity into single trade
So your entire code should look like this:
/*CB-PB*/
Hhb=HHVBars(H,19)<=12;
Lowp=L<=LLV(L,7);
Buy=Hhb AND Lowp;
Sell= HHV(H,12)<=H ;
PositionSize=-2; // ONLY THIS has to be added
/* NO MORE LINES NEEDED */
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "gerryjoz" <gerryj@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 01, 2003 2:58 AM
Subject: [amibroker] portfolio trading - poor man's scoring
> Tomasz helped me out (thanks again) with reading the manual (4.42
> beta readme).
> I had wanted to use existing code with minimal change to take
> advantage of the new portfolio scoring feature, and thereby see how
> position size and the other parameters affected drawdown.
>
> The code below now works for long only trades (doesn't go short).
> The trick for me was that a score of zero disqualifies scoring and
> results in exit from a long position. The buy/sell criteria below are
> not recommended!
>
> /*CB-PB*/
> PositionSize=-2;
> Hhb=HHVBars(H,19)<=12;
> Lowp=L<=LLV(L,7);
> Buy=Hhb AND Lowp;
> Sell= HHV(H,12)<=H ;
>
> /*poor man's scoring*/
> Somebuy=Flip(Buy,Sell);
> PositionScore=IIf(somebuy,somebuy,0);
>
> regards
> Gerry
>
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>
>
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Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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