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You have this
SetPositionSize(85,spsPercentOfEquity);
Then you are assigning 85% of equity to each trade (this can also be
easily written as positionsize=-85;
By this you can only have 1 trade open at a time. The first trade will
be 8,500 then vary after that with equity.
SetOption("AllowPositionShrinking", True ); //No real impact - of
course not your trade size is set as a percentage of equity so it will
vary with what is available. This setting has more to do with fixed
price trade size.
The net profit just goes downhill like a truck. = system loses money
PositionScore will only have a effect if you are able to enter a trade
and there are more than one stock with a signal on the same bar. This
allows you to provide a scoring system on which stock gets the nod.
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 12/8/05, Roy Ewing <slickums76@xxxxxxxxx> wrote:
> Terry,
>
> Thanks for the tips.
>
> To clarify, I do get an "occasional" "B", "C", and even a rare "E".
> But it is clear when looking at the list that it keeps going back to
> the beginning of the list at the "A's".
>
> When I use POSITIONSCORE, the scoreing is working, ie I see a truly
> "mixed" group of stocks. The net profit just goes downhill like a truck.
>
> Here are my settings:
>
> SetOption("InitialEquity", 10000 );
> SetOption("MaxopenPositions", 10);
> SetOption("AllowPositionShrinking", True ); //No real impact
> SetPositionSize(85,spsPercentOfEquity);
> SetTradeDelays(1,1,0,0);//Do not use Short/Cover
> ApplyStop(0,1,5,0,False,0);//Stop Loss at 5%
> ApplyStop(2,2,3,0,False,0);//Trailing Stop at 3 Points
>
> In AA I have all STOP SETTINGS DISABLED.
>
> The effect of POSITIONSCORE on this is still puzzling.
> No, I am not running out of money, it shows about 600K net profit
> over the 5 years. Throw in positionscore = 100 + mfi() and I get
> $458.00 net profit over 5 years. (12/06/2000 - 12/06/2005)
>
> Does not make sense unless I am simply missing something simple...just
> why I asked the group!!
>
> Thanks for the tips.
>
> Roy
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
> >
> > 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
> > >
> >
> >
> >
> >
> >
> >
> >
> >
> > 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
> >
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
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>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
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