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Came out with the following solution:
equity_lookback_bars = 0;
equity_lookback_smoothing = 30;
equity_drawdown_discount_pct = 90; //not sure what this should be
function PerformanceScore() { // returns score for current trade
signals;
//Highest score is used
e = Equity(0, 0);
if(equity_lookback_bars == 0) { // test all performance to date
e_ref = e[0];
} else { // test performance back spec'd number of bars
e_ref = Ref(e, -equity_lookback_bars);
}
perf_score = (e - e_ref) / e_ref; // growth over lookback period
perf_score = MA(perf_score, equity_lookback_smoothing) * 100; //
smoothed pct
perf_score = perf_score * 100 / IIf(equity_lookback_bars == 0, Cum(1),
equity_lookback_bars); // per 100 bars
e_max = Highest(e); // peak equity so far
mdd = Highest(e_max - e); // max drawdown so far
mdd_fraction = Highest(mdd / e_max); // fraction max drawdown is of
peak equity
perf_score = perf_score - (perf_score * mdd_fraction *
(equity_drawdown_discount_pct/100)); // reduce score by mdd fraction
scaled
//by drawdown discount
return perf_score;
}
PositionScore = PerformanceScore();
Any Feedback appreciated.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> 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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