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Hello,
If you want to "keep" buy over those 4 days you may use rotational mode (some limitations apply).
As for regular mode - trading practice shows that entering delayed signal (2nd, 3rd or 4th day from initial singal)
is not profitable.
There are also other reasons why regular mode works as it works currently:
1. matching portfolio trades with individual trades (the same entry/exit dates)
2. memory limitation. If you wanted to keep all trade signal and price arrays for all symbols and pass them to the
backtester then you will need for 10 years of EOD data and 1000 stocks:
9 (arrays) * 4 (bytes per array item) * 2600 (ten years of EOD data) * 1000 (stocks) = 94 MB of RAM
This could be eventually working but people are testing on 10000 stocks and even more
Then 940MB to store signals would be needed.
And how about intraday data ?
People testing on 6 months of 1-minute data have 50000 data bars per stock. So it would require 1.8GB of RAM.
Not acceptable.
You may ask why 9 arrays: buy, sell,short,cover, buyprice, sellprice,shortprice,coverprice, positionscore
(in fact additional storage is needed for auxiliary data such as margin deposit, tick size, round lot size, etc, etc)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "ed nl" <ed2000nl@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, September 23, 2004 12:27 PM
Subject: Re: [amibroker] Portfolio Backtest, Redundant signals
> hi,
>
> yeah probably you are right. Or at least within Amibroker it is probably not possible if you want to make use of the Portfolio
> Backtester. But in principle it is possible one just has to program it in.
>
> This situation may occur for instance if I say: Buy = number of adjacent down days > 3
>
> So if there are 6 down days in a row I will have 3 buy signals in a row. If each signal is weighted using (50 - RSI(14)) a
> portfolio backtest might like the 2nd buy signal but not the first.
>
> In my opinion it would be very interesting if we were able to pair a buy and a sell together so that this setup can be tested,
>
> regards, Ed
>
> ----- Original Message -----
> From: Graham
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, September 23, 2004 12:15 PM
> Subject: RE: [amibroker] Portfolio Backtest, Redundant signals
>
>
> Mechanical systems will only ever trade on the first buy or sell signal
> encountered. If you want to pick and choose between signals then you must
> program in the conditions for these better signals and ignore the ones you
> do not want.
> I do not believe you can have more than one trade open per ticker at any one
> time.
>
> Cheers,
> Graham
> http://e-wire.net.au/~eb_kavan/
>
> -----Original Message-----
> From: ed nl [mailto:ed2000nl@xxxxxxx]
> Sent: Thursday, September 23, 2004 6:11 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Portfolio Backtest, Redundant signals
>
> 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]
>
>
>
>
> Check AmiBroker web page at:
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>
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