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No, Bob, this is not a problem really. The systems work well. I've
been using them for two years. I would just like to be able to use
the backtester to accurately simulate the systems and be able to test
various filters.
Basically, I get a list of symbols that are potential trades. I then
use limit orders the NEXT DAY to enter the trades. This all works
fine and I can roughly control the number of entries by only using a
subset of the possible signals. And by watching the market intraday
when I can.
It all works just fine.
All I'm trying to do is get the backtester to help me out a little
and give me more accurate test results by RANKING the potential
signals and trading only the top 'x' hits.
I'm sure this can be done in AB.
ts
--- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> Your difficulty lies in trying to trade intraday using EOD data.
>
> Bob
> -----Original Message-----
> From: techsmart [mailto:mric@x...]
> Sent: Sunday, December 19, 2004 8:00 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Simpler example...Re: I'm having a hard time
> explaining this
>
>
>
>
> <groan> I clearly am not doing well at explaining what I want.
>
> This has nothing to do with predicting tomorrow's prices. Just the
> opposite in a way. If I use PositionScore with this system and rank
> on ROC(C,20), then.... if there were 20 signals that were entered as
> limit orders and .... 10 of those got hit and I've got MaxPositions
> set at 3, then the backtester will take 3 of those 10 entries with
> the highest ROC(C,20) and use those as the entries.
>
> Obviously, I can't know in advance which limit orders will get hit
> during the day, so can't do the same thing.
>
> HOWEVER, it should be possible to limit the number of signals by
> RANKING them EOD the day BEFORE the entry day and then taking just a
> certain number of the signals to enter as limit orders for the
> backtester.
>
> I feel sure this is something that AB can do, I'm just not well-
> versed enough with AFL and programming in general to figure it out.
> And apparently not good at explaining what it is I'm wanting to do.
>
> But, no, I have no illusions about predicting tomorrow's
prices. : )
>
> ts
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> > 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@x...]
> > 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.
> > > >
> > >
> > > >
> > > >
> >
> >
> >
> >
> >
> >
> > 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
>
>
>
>
>
>
> 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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