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Maybe someone here can help.
PositionScore alone will not do what I want.
The day before trade entry I scan for POTENTIAL entries. I get up to
40 or 50 signals. On the next day I use a limit order a certain
percentage below the prior day close as an entry. However, I do not
want to end up with too many buys, so I rank the potential entries by
ROC(C,40) and take the top 'x'(usually about 5 to 10) number of
signals and enter them as limit orders. This way I can be sure to
not overextend my equity. Of those limit orders I can have anywhere
from 0 to all filled.
I have the system worked out in the AB backtester except that
PositionScore and MaxPositions does not accurately simulate what
really happens. Using these filters, will result in the system
taking the 'x' number of entries with the highest ROC amongst all
those that got hit. This is not reality, but based on the EOD data
on the day of entry.
What I need is to have the backtester take all the signals and then
RANK them by ROC(C,40) and then take the top 'x' (say 5 or 10) and
use those as the basket to trade the next day. Of those 'x' number
of signals, anywhere from 0 to x may be entered, but this will be a
realistic backtest...just as I trade the system.
Below is an exchange with AB support. I have not made clear what I
am trying to do, but maybe it will help explain it.
In sum: I want to rank all signals by some filter factor and then
take the top 'x' number to use as potential buys the next day,
discarding all those that fall below a certain RANK. Hard cutoffs
will not give me a specific number of signals. For instance, if I
used ROC(C,40) > 20, some days I would get no signals and other days
I might get 30.
Anyone know how this might be done?
I think the 'for' loop might do, but not sure.
ts
---------------------------
Marcin,
I did not make myself clear.
If you have signals the day before and a group of possible entries
that are
entered intraday THE NEXT DAY with a limit order, using PositionScore
and
MaxPositions does not simulate reality. Using that method, the
backtester
will take the top x number of trades based on PositionScore, but in
reality
you would have no idea which trades would hit their limit order
first, so
would not know until EOD which of the PositionScore ranked trades you
would
take.
SO... the point is...
I need a method to rank all the potential signals on the day PRIOR to
entry.
Then take x number of them (say 10) and only use those as entries on
the
next day.
Can I do this: Take a list of symbols that pass a filter.... say
perhaps 40
symbols, then rank them by some factor, such as ROC(C,40), then use
only the
top 10 (for example) as potential trades the next day. Of those 10,
only
the ones that hit a certain limit order would be bought.
I need a way to rank and filter the signals from the day before and
then
strip off those below a certain rank. PositionScore does this after
the
fact...EOD on the entry day and this is not the way the system really
works.
Hope I am expressing myself clearly. I know it is confusing.
Subject: Re: [#16654] Ranking signals for possible entry the day
before
> Helo,
>
> You can use PositionScore variable in your formula and define the
criteria
> you use.
> (and combine it with the Maximum open positions limit)
>
> See:
> http://www.amibroker.com/guide/h_portfolio.html
>
>
> Best regards
>
> Marcin Gorzynski
> Amibroker.com Technical Support
>
> Subject: [#16654] Ranking signals for possible entry the day before
>
>
> First let me say that Amibroker is a wonderful tool for system
development
> and backtesting. I've used many others and find that Amibroker has
all
> the
> capabilities I've been looking for. I've already given you a
favorable
> review on the Elite Trader message board and will continue to
recommend
> your
> software to others. It's very capable and FAST! Thanks!
>
>
> V. 4.65.2
>
> My question:
>
> My system finds potential signals on the day before entry. There
may be
> anywhere from 0 to 50 potential signals on any one day.
>
> Entries are made the NEXT day on a limit order. So, I cannot be
sure how
> many of those limit orders will be hit. I can simply limit the
number of
> orders I submit, but this does not seem to be a very good way to
backtest
> and does not simulate what I do in reality. In testing I have
found that
> filtering on certain parameters can improve results (such as taking
those
> signals for stocks with the greatest 40 day ROC). I can test this
in the
> backtester with the portfolio option using positionscore, but this
is
> unrealistic, because there might have been 20 limit orders hit
intraday
> and
> the backtester will take the 2 (or whatever MaxOpenPositions number
I have
> specified) with the best ROC, something I would not have been able
to
> predict intraday when limit orders are getting hit at various
different
> times.
>
> What I would like to do is this: On the day before entry (the
signal
> day),
> I would like to be able to rank all the possible signals by some
factor,
> such as 40 day ROC. This still leaves some uncertainty about how
many
> actual entries you'll get, but it would prevent the backtester from
doing
> something that couldn't be done in reality and would put an upper
limit on
> the number of trades taken.
>
> So...to summarize:
>
> Can the backtester take all the potential signals on day -1 and
rank them
> according to some factor (say, ROC(C,40)) and then just use a
limited
> subset
> of all the signals to use as actual limit orders on the next day.
Hard
> cut-offs, like ROC(C,40) > 20, don't work because that can give you
many
> signals one day and none the next. What is needed is a relative
ranking
> or
> scoring, so that the backtester will only take, for example, the 5
stocks
> with the highest ROC40, all the others being discarded.
>
> I think the 'for loop' may be the way to do this, but I'm not
skilled
> enough
> to be able to sort it out.
>
> Thanks very much for your help and for a great trading tool.
>
>
>
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