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sorry about this second try but it seemed my Email did not get through ... at least it was not forwarded by Yahoo
hi Tomasz,
I think I addressed this before but I hope you can find time to read this.
I believe the portfolio backtester needs additional functions. How it works now: the portfolio backtester receives buy and sell arrays where each buy position has already a predetermined sell position.
What happens in practice in for instance a retracement system: in an oversold situation it is very well possible that the buy criteria are met 3 days in a row. The way the backtester is setup currently it will only find the first buy signal because the others will most likely have been removed BEFORE they enter the portfolio backtester due to Exrem or whatever method one uses to remove excess signals.
But if one uses portfolio trading then it might be that this stock with 3 buy signals is a row is not chosen for the first buy signal because there are other stocks that have a favourable PositionScore. Now the second or the third buy signals might be chosen but because these signals are removed they are ignored (the portfolio backtester does not know they are there). This is what I see happening with my current system I use for real trading. Stocks that are better positioned are not chosen because the signal was removed because it was an "excess" signal.
I used to program my backtests in IDL and I adressed this problem by "linking" entry and exit signals. So all the entry signals were still there. For each entry one has to tell the backtester at which index position it should exit. You therefor can not simply feed a buy and a sell array to the backtester. It should be a buy array + an array that on the index position of the buy contains information where it needs to sell.
I understand that you are working on pyramiding now. I guess that you had to address the situation I described above. When pyramiding is implemented will it be possible to use all entry signals in a portfolio backtest. I do NOT want to take multiple positions in one stock however but only want all signals to be evaluated in a portfolio backtest,
regards, Ed
[Non-text portions of this message have been removed]
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