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If anyone can come up with a system that can predict tomorrows prices then
they will make their fortune twice. First by trading it, then by selling it
:)
All I can suggest is you keep plugging away at all the possibilities until
you find something that works
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
-----Original Message-----
From: techsmart [mailto:mric@xxxxxxxxxxxxxxx]
Sent: Monday, December 20, 2004 11:41 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Simpler example...Re: I'm having a hard time explaining
this
OK, let me make a simple example and see if it makes sense...
Let's say I've got a basket trading system. At EOD I run a scan to
get potential signals. I daily end up with 20 to 50 signals.
BECAUSE I am entering limit orders on these signals at 5% below
today's close, I can't be sure how many of the signals will get hit.
I don't want to have 20 or 50 trades on, but I know that certain
filters will improve results. I cannot predict when the limit orders
will get hit intraday, so backtesting with PositionScore does not
work. It will rank the trades on the entry day, based on the score
at EOD THAT DAY.
What I need is a way to rank all the signals the day before entry day
and then keep a certain number, say 5 to 10. I still don't know how
many limit orders will get hit the next day, but I DO know the upper
limit AND I also have a rank-ordered list that produces better
results.
So... how can I take the signals from EOD on the day before entry and
rank them by some factor such as ROC(C,20) and keep only a certain
number for the backtester to use in the simulation of the next day's
trading.
I have several basket type systems where this technique would be very
handy to be able to use in the backtester.
Thanks for any help.
TS
--- In amibroker@xxxxxxxxxxxxxxx, "techsmart" <mric@xxxx> wrote:
>
> 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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