|
PureBytes Links
Trading Reference Links
|
hi,
in one of my systems I have multiple buy/short signals in a row. Normally
what one does is remove the redundant signals. However, in a portfolio
backtest I don't want to do this. Because if you remove the redundant
signals in a portfolio setup one might miss a good entry opportunity. For
instance it might happen that the first two entries are lousy and would not
be chosen in a portfolio setup (since other symbols offer better
opportunities) but the third would be chosen. But since the exit for the
first signal possibly has not yet been encountered all redundant signals are
removed and the portfolio backtester won't know this third signal is there.
Problem when you do not remove the redundant signals is however that the
entry does not know which exit to choose from. The portfolio backtester will
chose the first exit after an entry signal and it might be that this exit
does not form a pair with this entry.
So the portfolio backtester needs to be told which exit belongs to which
entry. Can this be done using Amibrokers portfolio backtester?
rgds, Ed
[Non-text portions of this message have been removed]
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/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/
|