|
PureBytes Links
Trading Reference Links
|
You
have to design your system so that it doesn't give you two simultaneous opposing
signals at the same time :-) It is not the backtester that is the problem. i
suggest stepping through the code and see if everything is
logical.
If you
maintain a position variable then you could only accept a short signal when in a
long position and only accept a long signal when in a short position. You would
alternate. In real time you would have to use a StaticVariable to maintain
position status but they would occur before the other and you get whipsawed unless
you write pretective code.
take care,
herman
Hi Herman,
Yes, I see the logic of
defining the buy, short etc first and then
modifying the exits later on. I
will be doing this from now on.
I appear to have found a problem with
not using exRem on when
backtesting a simple buy and reverse system on bar
data. If there
are both buy and short signals on a bar, then the
backtester doesn't
take the short signal, only the long signal. (This then
means that
you may have two (or more) long trades in a row rather than
alternating). The next short trade is then on a different bar.
This
problem also occurs when using Equity(1).
The problem does not seem to
occur when using exRem.
The settings in the "Settings" box were the
same for both. All four
boxes were checked.
Any
thoughts?
Sam
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van
den Bergen"
<psytek@xxxx> wrote:
> Hi Sam,
>
>
Yes you could do it that way. Not that it is any better, but i
normally
> early in my code define:
>
> Buy = Long
Entry Rule...
> Short = ShortEntry rule...
> Sell = Short;
>
Cover = Buy;
>
> At this stage the system is 100% reversal and
trades alternate
from Long to
> Short, same as you require. Later
down the code however I can
modify the
> exits, for example with
ApplyStop(), this would add an extra exit
signal
> when a stop
occurs. However the entry signals are untouched so the
system is
>
still a reversal system however now there is a cash position
between
the
> stop exit and the next entry. At this point I use Equity(1) which
removes
> all redundant signals, cleans it up nicely. No exRem() is
needed
in this
> procedure.
>
> Now, if I wanted to
reverse on Stops I could add
>
> Short = Sell;
> Buy =
Cover;
>
> after the ApplyStop(). This would then add an extra
entry signal
which again
> could be cleaned up with Equity(1). Note
that Equity(1) is only
needed if
> you need clean signals (say for
plotShapes) because the backtester
will
> remove redundant signals
anyway.
>
> As always there are a million ways to write code and
one way is not
> necessarily better than the other.
>
>
take care,
> herman.
>
>
>
>
-----Original Message-----
> From: qweds_560
[mailto:qweds_560@xxxx]
> Sent: Tuesday, January 18, 2005
5:56 PM
> To: amibroker@xxxxxxxxxxxxxxx
>
Subject: [amibroker] Re: ExRem
>
>
>
>
Herman,
>
> I think I understand re: position.
Essentially this returns a
value
> of 1 or 0 which may
be of use if you need the system to know if
you
> are
long or short.
>
> The reason why I have been
using:
>
> Buy = ExRem( Buy,
Short);
> Sell = ExRem( Sell, Buy );
>
Short=ExRem(Short,Buy);
> Cover=ExRem(Cover,Short);
>
> is because I do not want to take a long position unless
my last
> trade was a short position and vice versa (the
first trade can be
> either short or long). If I implement
your way, the backtester
may
> go long, stop me out and
then go long again and stop me out and
so
> on before it
comes to a short signal. I only want to go long
once,
>
sell at my stop and then monitor for a short signal.
>
> Hope this makes some sense (hope that i am using exrem
correctly
as
> well!)
>
> Best
regards
>
> Sam
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman van
den Bergen"
> <psytek@xxxx> wrote:
>
> [Sam] I didn't understand...these don't appear to do
anything
> since they are
> > not
predefined variables:
> >
> > >
Position = exRem(Buy,Short);
> >
> >
You were using Buy and Short in you initial code so they
were
> > defined...Position here is simply a custom
variable that
assumes
> the value
>
> of 1 when you are Long and 0 when you are Short - useful for
a
> variety of
> > purposes; for
example plotting a Position Ribbon:
> > Position =
exRem(Buy,Short);
> >
Plot(1,"Position",iif
>
(Position,colorGreen,colorRed),styleArea|styleownscale,
>
> 0,30);
> >
> > >
LongPosition = exRem(Buy,Sell);
> > > ShortPosition =
exRem(Short,Cover);
> >
> > The
above can be used similarly for non-reversal systems or
when
> you use
> >
stops.
> >
> > [Sam] However, I
essentially want to alternate between going
long
>
and
> > going short.
>
>
> > Not sure how you generate your signals... the
way you toggle
your
> positions
> >
is new to me... my systems always define all four signals
>
logically and
> > rigidly. I do this also so that if I
add stops the system will
> continue to
>
> behave as expected. I am not sure if exRem is intended
to
"add"
> anything in
> > the area of
signal generation...but perhaps i misunderstand
what
>
you are
> > doing.
>
>
> > best regards,
> >
herman
> >
> >
>
>
> >
> >
>
>
> >
> >
>
>
> > -----Original
Message-----
> > From: qweds_560
[mailto:qweds_560@xxxx]
> > Sent: Tuesday,
January 18, 2005 2:41 PM
> > To:
amibroker@xxxxxxxxxxxxxxx
> > Subject:
[amibroker] Re: ExRem
> >
>
>
> >
> > Many thanks
Herman,
> >
> > However,
I essentially want to alternate between going long
and
>
> going short.
> >
>
> > Buy = exRem(Buy,Sell);
>
> > Sell = exRem(Sell,Buy);
>
> > Short = exRem(Short,Cover);
>
> > Cover = exRem(Cover,Short);
>
>
> > the above means that I have more
than 1 short or more than 1
long
> >
position in a sequence.
> >
>
> Using:
> >
>
> Buy = ExRem( Buy, Short);
>
> Sell = ExRem( Sell, Buy );
>
>
> >
Short=ExRem(Short,Buy);
> >
Cover=ExRem(Cover,Short);
> >
>
> seems to alternate between long and short
positions.
> >
> > I
didn't understand:
> >
>
> > Position = exRem(Buy,Short);
>
>
> > > LongPosition =
exRem(Buy,Sell);
> > > ShortPosition =
exRem(Short,Cover);
> >
>
> these don't appear to do anything since they are not
predefined
> >
variables.
> >
> > Could
you explain?
> >
> >
Thanks
> >
> >
Sam
> >
> >
>
>
> >
> >
>
>
> > --- In amibroker@xxxxxxxxxxxxxxx,
"Herman van den Bergen"
> >
<psytek@xxxx> wrote:
> > > Assuming
you are trading a reversal system, perhaps a more
>
logical
> > way would
>
> > be:
> >
>
> > > Buy =
exRem(Buy,Sell);
> > > Sell =
exRem(Sell,Buy);
> > > Short =
Sell;
> > > Cover =
Buy;
> > >
>
> > In some case you can use
>
> >
> > > Position =
exRem(Buy,Short);
> >
>
> > > but this assumes that you are
not using any other exits
> (stops),
>
> if your
> > > system
include other exits you might want to use this
after
the
> > stops have
>
> > been processed:
> >
>
> > > Buy =
exRem(Buy,Sell);
> > > Sell =
exRem(Sell,Buy);
> > > Short =
exRem(Short,Cover);
> > > Cover =
exRem(Cover,Short);
> >
>
> > > of course you can simply
use
> > >
>
> > Equity(1);
> > >
LongPosition = exRem(Buy,Sell);
> > >
ShortPosition = exRem(Short,Cover);
> >
>
> > > best
regards,
> > > herman
>
> > -----Original
Message-----
> > > From:
qweds_560 [mailto:qweds_560@xxxx]
> >
> Sent: Tuesday, January 18, 2005 7:10 AM
>
> > To:
amibroker@xxxxxxxxxxxxxxx
> >
> Subject: [amibroker] ExRem
>
> >
> >
>
> > >
>
> > Hello,
> >
>
> > > I am a little bit
confused by the Exrem function. I have
the
>
> > following:
>
> >
> > >
Buy = ExRem(Buy, Short);
> >
>
> > >
Short=ExRem(Short,Buy);
> >
>
> > >
>
> > In English, this means to me that the
backtester
> > >
>
> > i) will go long on a buy signal and then
will not buy
again
> till
>
> it
> > > has
gone short
> > >
>
> > ii) will short on a short signal and then
not go short
again
> > till
it
> > > has gone
long
> > >
>
> > Is this correct? Do I need to define
something for SELL
and
> for
>
> > COVER?
> >
>
> > >
Thanks
> > >
>
> > Sam
> >
>
> > >
>
> >
> >
>
> > >
>
> >
> >
>
> > > 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
> >
>
> > > a.. To
visit your group on the web, go to:
> >
> http://groups.yahoo.com/group/amibroker/
>
> >
> >
> b.. To unsubscribe from this group, send an email
to:
> > >
amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
>
> > > c..
Your use of Yahoo! Groups is subject to the Yahoo!
>
Terms
> > of Service.
>
>
> >
> >
>
>
> >
> > 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
> >
>
> a.. To visit your group on the web, go
to:
> > http://groups.yahoo.com/group/amibroker/
>
>
> > b.. To unsubscribe from
this group, send an email to:
> >
amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
>
> > c.. Your use of Yahoo!
Groups is subject to the Yahoo!
Terms
> of
Service.
>
>
>
>
>
>
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
>
> a.. To visit your group on the web, go
to:
> http://groups.yahoo.com/group/amibroker/
>
> b.. To unsubscribe from this group, send an
email to:
>
amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
>
c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
Service.
Check AmiBroker web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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
|