----- Original Message -----
Sent: Wednesday,
December 07, 2005 10:53 PM
Subject: RE:
[amibroker] Re: How to use "positionscore" in this formula??
I don't see PositionSize being set. If not, then it
trades 100% of your account on one stock. You did set MaxOpenPositions, but
that is not enough. Since you have 10 MaxOpenPositions you would need to at
least set this to -10 (or 1000). Further, I think if you get, for example, 100
possible trades with 10 open positions, it's always going to trade from the top
unless you have some priority set via PositionScore. It appears you do not.
Question: How can these two statements both be True?
"The net profit just goes downhill like a
truck"
"I am not running out of money, it shows about
600K net profit…"
From HELP on PositionSize and partial on
PositionScore. I have highlighted a couple of things in red.
SETTING UP POSITION SIZE
IMPORTANT:
to enable more than one symbol to be traded you have to add PositionSize variable to your formula, so
less than 100% of funds are invested in single security:
PositionSize = -25; // invest 25%
of portfolio equity in single trade
or
PositionSize = 5000; // invest
$5000 into single trade
There is a quite common way of setting both position
size and maximum number of open positions so equity is spread equally among
trades:
PosQty = 5; // You can define here how many open
positions you want
SetOption("MaxOpenPositions", PosQty
);
PositionSize
= -100/PosQty; // invest 100% of portfolio equity divided by max. position
count
You can also use more sophisticated position sizing
methods. For example volatility-based position sizing (Van Tharp-style):
PositionSize = -2 *
BuyPrice/(2*ATR(10));
That way you are investing investing 2% of PORTFOLIO
equity in the trade adjusted by BuyPrice/2*ATR factor.
USING POSITION SCORE
You can use new PositionScore variable to decide which
trades should be entered if there are more entry signals on different
securities than maximum allowable number of open positions or available funds. In such case AmiBroker will use the absolute
value of PositionScore variable to decide which trades are preferred.
See the code below. It implements simple MA crossover system, but with
additional flavour of preferring entering trades on symbols that have low RSI
value. If more buy signals occur than available cash/max. positions then the
stock with lower RSI will be preferred. You can watch selection process if you
backtest with "Detailed log" report mode turned on.
The code below includes also the example how to find
optimum number of simultaneously open positions using new Optimization in
Porfolio mode.
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions
open simultaneously
**
****/
SetOption("InitialEquity", 20000 );
SetTradeDelays(1,1,1,1);
RoundLotSize = 1;
posqty = Optimize("PosQty", 4, 1, 20, 1 );
SetOption("MaxOpenPositions", posqty);
// desired position size is 100% portfolio equity
// divided by PosQty positions
PositionSize
= -100/posqty;
// The system is very simple...
// MA parameters could be optimized too...
p1 = 10;
p2 = 22;
// simple MA crossover
Short=Cross( MA(C,p1) , MA(C,p2) );
Buy=Cross( MA(C,p2) , MA(C,p1) );
// always in the market
Sell=Short;
Cover=Buy;
// now additional score
// that is used to rank equities
// when there are more ENTRY signals that
available
// positions/cash
PositionScore = 100-RSI(); // prefer stocks that
have low RSI;
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of
Roy Ewing
Sent: Wednesday, December 07, 2005 18:43
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to use "positionscore" in this formula??
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
>
>
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