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Josef,
The algorithm to select stock in the basket is easy and described here:
http://www.amibroker.com/guide/h_portfolio.html
"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"
If you do NOT define PositionScore variable in your formula or PositionScore is equal for more than
one security then the order is
- larger trades first (with bigger dollar value )
- then alphabetical order
- if both buy and short occur on the same symbol then LONG trade is preferred
Please note that to get consistent results you have to:
a) use the same data set
b) use the same settings (you can save settings to a file via "SAVE" button in the settings page
and restore them later any time by loading them back via "LOAD" button)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "kanowna2000" <kanowna@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, October 25, 2004 10:32 PM
Subject: [amibroker] For Tomasz: Worried About AB's Algorithm for Selecting Stocks in Backtest
>
>
>
> Hello Tomasz,
>
> I would like to ask a very important question. I have been doing
> backtesting using AmiBroker for a few months. I have noticed that
> when I do a backtest and then do the same backtest again on a
> different date that occasionally my results are different. This
> worries me.
>
> Here is my situation: I have created a system that I am backtesting.
> My system scans all the stocks in the 3 major American exchanges,
> involving over 8000 stocks. I have a date range which remains the
> same ALWAYS. On any specific day, there may be no stocks which
> satisfy the criteria in my system. However, on another day, there
> might be 6, for example. If there is only enough money available in
> my backtest to buy 2 stocks on that day, which 2 stocks is AB going
> to choose? In other words, what type of algorithm is AB using to
> select stocks? Is it some kind of random algorithm, or first-come,
> first-serve?
>
> Please advise. This worries me very much.
>
> Thank you.
>
> Josef
>
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> 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
>
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>
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