|
PureBytes Links
Trading Reference Links
|
Tomasz,
It seems that my post requesting clarification of the following has
possibly not been received, so I'm resubmitting. Please re-check
the 'Phase 2' chart --- I think there is an error. Please also note
that I posed an additional clarification question following this
paragraph:
1) In the 'Phase 2' chart, why was the AMGN 'Buy(2)' trade skipped in
column 10 when only LVLT was entered at column 10 and there were NO
OTHER 'OPEN' or (higher-priority) 'entered' trades in that column?
Shouldn't AMGN be entered (and 'opened') at that time? If so, that
would have caused the MSFT trade entered in column 12 to be skipped,
and likewise, the CSCO trade entry in column 14 would also have been
skipped. Have I misinterpreted something here, or is there an error
in the chart?
2) Also, how are EQUAL position-score 'ties' resolved, and what is
actually done, when additional 'open-position' slots remain to 'fill'
the 'MaxOpenPosition' limit ..AND.. the NUMBER of potential
candidates (each having an EQUAL position score that qualifies
to 'fill' a remaining 'slot') EXCEEDS the remaining number of slots
to be filled? For example, using my commentary in the preceding
paragraph #1), say in column 10, assume there were another stock
(say, XYZ) in addition to AMGN that had a position score of 2
(i.e., 'Buy (2)'). LVLT clearly gets 'bought' to fill the first
slot, but which of the set (of EQUAL position scores): {AMGN,XYZ}
would be 'bought' to fill the remaining second 'open position' slot
available to reach 'MaxOpenPositions' in this case? How does the AB
logic 'resolve' these kinds of competing 'ties' in the the backtester?
Thanks for your assistance on these issues .....
Buzz
-------------------
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxxx>
> wrote:
> >
> > Hello,
> >
> > Since previous post has been deformatted by YahooGroups, I have
> prepared a gif that shows the same and it is included now
> > so formatting should be correct no matter what.
> > The picture is also available on AmiBroker web site:
> > http://www.amibroker.com/gifs/bt_regular.gif
> >
> >
> > The following table shows how raw signals are converted to
> > potential trades and how those potential trades are choosen
>according to highest positionscore in regular portfolio backtest.
> >
> > Note:
> > 1. numbers in parentheses mean the position score at entry signal
> > 2. the table assumes "max open positions" = 2
> > 3. trade is picked or skipped (according to score). skipped
trades
> are marked in grey color. Only trades that are left colorized are
> actually taken.
> >
> > I hope this table explains everything.
> >
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|
