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I haven't followed your question closely so my advice may be off base,
but it seems PositionSize may be your problem. If there are many
possible trades the backtester will take the trades until you've spent
all your money. Sounds like this is happening before you get out of the
A's
Try tightening your PositionScore rules to create less (hopefully
better) opportunities and set PositionSize to some smaller fixed value
like 1000 on a 100,000 portfolio (or -1 for 1% of portfolio) or similar
ideas to see if you get trades farther down the alphabet. If you do, I
was right :-)
If you don't, well I can try harder.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of sebastiandanconia
Sent: Wednesday, December 07, 2005 11:48
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to use "positionscore" in this formula??
A little more information, please.:) Does the system test all
the "A"s and then stop right before the "B"s? Or is there a limit to
the number of "A"s it tests, also? When you use PositionScore, do
you know that you're getting a full test on all the stocks, or does
the system still stop testing additional stocks at a certain point,
just farther into the alphabet?
Not knowing all the details of what you're doing, here's a trouble-
shooting idea. Have you got a position-limit set in Automatic
Analysis or in the system code itself? Without PositionScore, there
would be no ranking of the stocks, they'd simply be bought in
alphabetical order from your watchlist as the "buy" signals click
off. If there's a position limit set, the system would just buy
stocks up to the position limit and stop. After those stocks got
sold and a new "buy" signal comes up, the system will do the same
thing over again, starting with the "A"s. If there are enough stocks
meeting the criteria to fill the portfolio from within the "A"s, your
system would never get to the "B"s. Anyway, that's just a place to
start looking.
Also, in my (our) experience, if a free system looks really great
there's something wrong in the testing process, LOL! In "Backtester
Settings" under the "Trades" tab, see what the settings are. My
advice is to set them at "Open" with a 1-day trade delay, otherwise
your system is taking trades on the day of the signal and not the
NEXT day when you'd actually make the trade. That will make your
system returns artificially (and unrealistically) high.
Sorry if I've gone over stuff that you already know. Most of my
mistakes are simple ones that I just didn't think of.:)
Luck,
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, "Roy Ewing" <slickums76@xxxx> wrote:
>
> I found a very good "system" in the AFL Library that produces very
> good results for what I am trying to backtest. Here it is, stripped
> to the essentials:
>
> ---------------------------------------------------------------
> // Formula Name: STD_STK Multi
> // Author/Uploader: Willem Jan
>
> STK=Optimize ("StK" , 14, 2, 18, 2);
> STD=Optimize ("StD" ,16, 2, 18, 2);
> pds =Optimize("pds", 10,2,18,2);
>
> Sell= Cross (EMA (StochD (STD),pds),EMA( StochK (STK),pds));
> Buy= Cross (EMA(StochK (STK),pds),EMA( StochD (STD),pds));
>
> Filter=Buy OR Sell;
>
> Buy=ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
>
> /* My Added POSITIONSCORE */
> PositionScore = 100 + MFI(); //Also many others tried!
>
> ----------------------------------------------------------------
>
> The problem is that w/o "POSITIONSCORE", I never get out of
the "A's"
> during backtesting.
>
> I have had good results using "positionscore" with other formulas,
but
> I have tried over 30 combinations of different indicators here and
the
> results are MUCH WORSE. Not only a little, but a lot worse.
>
> I can't believe the formula is so good that nothing will help it,
and
> the fact that I can't get out of the "A's" in my watchlist mean
there
> should be "better" trades.
>
> My watchlist is a list of "Optionable" stocks from TC2005,
backtesting
> for 5 years (about 600 stocks).
>
> Any ideas?
>
> I have emailed the author, but his email bounced.
>
> Thanks.
>
> Roy
>
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