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Previously I forgot that I read the following in the ReadMe file of
the latest beta of AB:
in regular backtest mode now it is possible to specify the score of
the symbol (on bar-by-bar basis) via PositionScore variable. In this
mode the score is used only at trade ENTRY to decide which securities
should be traded in case when there are more simultaneous entry
signals than max. allowable positions or available funds. AmiBroker
will 'prefer' securities with higher absolute value of the score. If
PositionScore is not used then it is assumed to be 1 for all
securities.
You can use new PositionScore variable to decide which trades should
be entered if there are more entry signals on different securities
than maximum allowable number of open positions or available funds.
In such case AmiBroker will use the absolute value of PositionScore
variable to decide which trades are preferred. See the code below. It
implements simple MA crossover system, but with additional flavour of
preferring entering trades on symbols that have low RSI value. If
more buy signals occur than available cash/max. positions then the
stock with lower RSI will be preferred. You can watch selection
process if you backtest with "Detailed log" report mode turned on.
// now additional score
// that is used to rank equities
// when there are more ENTRY signals that available
// positions/cash
PositionScore = 100-RSI(); // prefer stocks that have low RSI;
This would now solve the problem of issue selection. Now I have 7
Max open positions, but naturally some "underlying instrument" issues
are different than before I used PositionScore, depending on the
PositionScore, which I hope AB uses to select low RSI for Long and
high RSI for Short positions which is the rule I use for reversals.
If not then I would not use PositionScore and let it to default to
the value of 1. RSI doesn't matter for some trades like continuation
signals. How would I handle these 2 trading situations? Could
somebody clarify what AB does here with this PositionScore?
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> I modified the AA code as follows:
>
> in_trade_long = Flip( Buy, Sell );
> in_trade_short = Flip( Short, Cover);
>
> AddToComposite( in_trade_long, "~OpenLongPosCount", "V" );
> AddToComposite( in_trade_short, "~OpenShortPosCount", "V" );
>
> /* We use "~OpenPosLongCount" and "~OpenPosShortCount" artificial
> ticker to store the results. Again we should run just Scan of the
> formula AND these tickers would become available.
>
> Use */
>
> Graph1 = Foreign( "~OpenLongPosCount", "V");
> Graph2 = Foreign( "~OpenShortPosCount", "V");
>
> /* in Indicator Builder after running the back-test to see the
chart
> of the number of Open long and short positions of your system. */
>
> Modified Indicator code as follows:
>
> Graph1 = Foreign( "~OpenLongPosCount", "V");
> Plot(Graph1,"OpenLongPosCount",1,style=1,0,20);
> Graph2 = Foreign( "~OpenShortPosCount", "V");
> Plot(Graph2,"OpenShortPosCount",2,style=1,0,20);
> Plot(7,"My line",colorRed);
>
> Now, I show both open long (12) and short positions (5), but since
> the MaxOpenPos has been optimized/set to 7, the trades list has
only
> 7 open positions ( 5 long and 2 short). I have no idea yet what
the
> issue selection criteria is for long and short trades, though. Can
> anybody take a guess?
>
> rgds, Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
wrote:
> > I came out with the following results adding more code:
> >
> > eq = Foreign("~~~EQUITY", "C");
> > cash = Foreign("~~~EQUITY", "L");
> > dr = eq - Highest(eq);
> > MR1 = 0.1;
> > MR2 = 0.5;
> > MaxRisk = Optimize("MaxRisk",0.10,MR1,MR2,0.05);
> > Pd1=3;Pd2=12;LB1=1;LB2=17;
> > MaxOpenPos= LB = Optimize("MaxOpenPos",7,LB1,LB2,1);
> > //MaxOpenPos= LB = Param("MaxOpenPos",7,LB1,LB2,1);
> > GPS = (MaxRisk * eq)/dr;
> > PositionSize = GPS = -100/MaxOpenPos;
> > MaxOpenPos =
> > SetOption("MaxOpenPositions", MaxOpenPos );
> > Period = Pd = Param("Period", 3, Pd1, Pd2, 1 );
> > //Period = Pd = Optimize("Period", 3, Pd1, Pd2, 1 );
> > OptStart = (Pd = 3) AND (LB = 1) AND (MR1 = 0.1);
> >
> > It was interesting to find that there were a range of values for
> > MaxRisk and the same MaxOpenPos for the highest CAR/MDD and UPI,
> but
> > all the values in the optimization were the same for this range.
> > Since, I want to minimize the Max% of the closed equity to
> > risk/trade, I guess I need to use the minimum in this range,
which
> is
> > 0.10 (10% Max risked/trade).
> >
> > Also, concidentally or optimally, the MaxOpenPos came out to be
7,
> > which is also the same value I originally chose as part of the
> trader-
> > defined criteria. Still the discrepancy with the MaxOpenPos and
> the
> > Composite ~OpenPosCount through which I got 12 positions open
now,
> > (where I plot it in a indicator window), still exists.
> >
> > rgds, Pal
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
> wrote:
> > > Thanks. I optimized the Max Open Positions to 8.
> > >
> > > Maxpos=Optimize("maxpos",8,1,20,1);
> > > PositionSize = -100/Maxpos;
> > > SetOption("MaxOpenPositions", Maxpos );
> > >
> > > I am getting 8 positions open in the Results window:
> > >
> > > 12/4/03
> >
> > >
> > > Entry signals(score):GU-9967=short(-1) UC-9967=buy(1)
> > >
> > > Exit signals:GU-9967=sell UC-9967=cover
> > >
> > > Enter Short GU-9967 Price: 1.7278 Shares: 250
> > > Commission: 0 Rank: -1 Equity 3712.71
> > >
> > > Enter Long UC-9967 Price: 1.3007 Shares: 350
> > > Commission: 0 Rank: 1 Equity 3712.71
> > >
> > > 8 Open Positions:$C-9967 $E-9967 AU-9967
> > > AC-9967 E$-9967 EA-9967 GU-9967
> > > UC-9967 Equity: 3718.23 Cash: 317.445
> > >
> > > But I find a discrepancy with the Open position count using the
> > > following code, where I got 11 positions open, when I plot it
in
> a
> > > indicator window using
> > >
> > > Graph1 = Foreign( "~OpenPosCount", "V");
> > > Plot(Graph1,"OpenPosCount",1,style=1,0,100);
> > >
> > > The following is in Automatic Analysis:
> > >
> > > /* the following line uses Flip function to get "1" after the
buy
> > > signal and reset it back to "0" after sell appears. */
> > >
> > > in_trade = Flip( Buy, Sell );
> > >
> > > AddToComposite( in_trade, "~OpenPosCount", "V" );
> > >
> > > /* We use "~OpenPosCount" artificial ticker to store the
results.
> > > Again we should run just Scan of the formula AND
> > the "~OpenPosCount"
> > > ticker would become available.
> > >
> > > Use */
> > >
> > > Graph0 = Foreign( "~OpenPosCount", "V");
> > >
> > > /* in Indicator Builder after running the back-test to see the
> > chart
> > > of the number of Open positions of your system. */
> > >
> > > Can somebody tell me why this discrepancy occurs. TIA.
> > >
> > > rgds, Pal
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "bvandyke" <bvandyke@xxxx>
> wrote:
> > > > Pal,
> > > >
> > > > Try the following example and modify the # of positions as
> needed:
> > > >
> > > > Maxpos=Optimize("maxpos",2,1,4,1);
> > > > PositionSize = -100/Maxpos;
> > > > SetOption("MaxOpenPositions", Maxpos );
> > > >
> > > > Bill
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand"
<palsanand@xxxx>
> > > wrote:
> > > > > Hi All,
> > > > >
> > > > > Does anybody has the code for Optimizing Max Open
Positions.
> I
> > > > > remember seeing it somewhere in AFL guides. I can't seem
to
> > find
> > > > it
> > > > > now or remember how to do it.
> > > > >
> > > > > TIA
> > > > >
> > > > > rgds, Pal
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