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Brian
Thanks, but I first searched the archives prior to posting a message
and found nothing. I would still appreciate some help.
Thanks
Larry
--- In amibroker@xxxxxxxxxxxxxxx, "Brian" <cadvantag@xxxx> wrote:
>
> Larry,
>
> Check archives
>
> http://www.amibroker.com/listarchive.html
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "onelkm" <LKMCD1@xxxx> wrote:
> >
> > Tomasz
> > Could you comment pleae? I assume I made a simple mistake, but
> after
> > reviewing posts related to this problem and looking all through
> the
> > manual ..... I'm stumped!
> > Thanks Larry
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "onelkm" <LKMCD1@xxxx> wrote:
> > >
> > > Terry
> > > Thanks for the input. I checked out your comments, but they
> don't
> > > seem to apply here because my "PositionSize" is always 100% of
> > > portfolio equity and I am only trading one fund at a time.
Other
> > > curious observations: Both systems chose the same ticker for
the
> > > first 2 trades and the buy/sells are on the same days. Then,
for
> > the
> > > third trade, when Position Size Shrinking is ON, the third
trade
> is
> > > made on the same day as the sell, but with Position Size
> Shrinking
> > > off, the trade is taken the next day, yet the buy delay and
sell
> > > delay =1 for both cases. The third trade selected the #2 ranked
> > fund
> > > instead of the top ranked fund when Position Size Shrinking is
> ON;
> > > with Position Size Shrinking off, the correct top ranked fund
> was
> > > selected. Activate stops immediately and Allow same bar exit
> boxes
> > > are not checked.
> > >
> > > Any additional help by you or anyone else would be most
> appreciated.
> > > Larry
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Terry <MagicTH@xxxx> wrote:
> > > > (Without checking your data below)... This means you have a
> > losing
> > > trade
> > > > somewhere that takes your equity below your starting value.
> When
> > > Allow
> > > > Position Size Shrinking is ON the trade will be taken with
> > whatever
> > > > capital you have left. If it's not checked, the trade will be
> > > skipped
> > > > because you don't have enough money.
> > > >
> > > > Terry
> > > >
> > > > onelkm wrote:
> > > >
> > > > >I can't figure out why this happens – When I run a
portfolio
> >
> > > > >backtest I get different results depending on whether
> the "Allow
> > > > >position size shrinking" box is checked in "Backtester
> > Settings"
> > > yet
> > > > >I am only trading one fund at a time. I looked through the
> help
> > > files
> > > > >but found nothing. Here is a simple example of the code:
> > > > >
> > > > >pos = Optimize("pos", 1, 1,
4,
> > 1);
> > > > >SetOption("MaxOpenPositions", pos );
> > > > >per1 = Optimize("per1", 43, 5,
60,
> > 1);
> > > > >gain=(C-Ref(C,-per1))/Ref(C,-per1);
> > > > >amt1 = Optimize("amt1", 45, 1,
60,
> > 1);
> > > > >amt2 = Optimize("amt2", 0.044, 0.01, 0.3,
> > 0.001);
> > > > >Buy =gain>amt2;
> > > > >Sell=0;
> > > > >
> > > > >PositionSize = -100/pos;
> > > > >PositionScore = 10000+ ROC(C,amt1) ;
> > > > >trail = Optimize("trail", 2.6, 0.5, 6,
> > 0.1);
> > > > >ApplyStop( stopTypeTrailing, stopModePercent, trail, True );
> > > > >Loss = Optimize("Loss", 0.3, 0.1, 3,
> > 0.1);
> > > > >ApplyStop( stopTypeLoss, stopModePercent, Loss, True );
> > > > >
> > > > >Also, when the "Allow position size shrinking" box is
> checked,
> > the
> > > > >fund selected is not the highest ranked fund according to
the
> > > > >criteria used in the "Positionscore" equation. However, when
> the
> > > box
> > > > >is not checked, the highest ranked fund is selected.
> > > > >Any clues why this happens???
> > > > >Thanks
> > > > >Larry
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >Please note that this group is for discussion between users
> only.
> > > > >
> > > > >To get support from AmiBroker please send an e-mail directly
> to
> > > > >SUPPORT {at} amibroker.com
> > > > >
> > > > >For other support material please check also:
> > > > >http://www.amibroker.com/support.html
> > > > >
> > > > >
> > > > >Yahoo! Groups Links
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
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