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More code:
MS1=100;MS2=300;
//MinShares = Optimize("MinShares",100,MS1,MS2,100);
MinShares = Param("MinShares",100,MS1,MS2,100);
SetOption("MinShares", MinShares);
//MarginDeposit = 100;
eq = Foreign("~~~EQUITY", "C");
cash = Foreign("~~~EQUITY", "L");
//dr = eq - Highest(eq);
e_max = Highest(eq); // peak equity so far
MDD = Highest(e_max - eq); //max drawdown so far
LB1=5;LB2=16;
MaxOpenPos= LB = Optimize("MaxOpenPos",6,LB1,LB2,1);
//MaxOpenPos= LB = Param("MaxOpenPos",6,LB1,LB2,1);
SetOption("MaxOpenPositions", MaxOpenPos );
//X = Optimize("X",100,50,100,10);
X = Param("X",100,50,100,10);
PositionSize = -X/MaxOpenPos;
MaxRisk = PositionSize * (-MDD)/eq;
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> 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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