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Your difficulty lies in trying to trade intraday using EOD data.
Bob
-----Original Message-----
From: techsmart [mailto:mric@xxxxxxxxxxxxxxx]
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/
>
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