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but in a portfolio type backtest how would you know the number of signals
generated? I am only aware of by using the backtester interface that one
can find the number of signals generated for a certain bar. But on a higher
level during the portfolio backtest there is no way to access the number of
signals generated.
So I think that without being able to access the number of signals on a high
level during the backtest one needs to count the signals generated on a
lower level and then add trades if necessary and change the percentage of
the account assigned to a certain trade. But if you add additional trades
you will have to add also other information to the tarde object like when
you exit the trade etc. Seems pretty complicated to write but possible.
Maybe I overlook something but to my information on a high level one can not
retrieve info from a backtest. One has to use the backtester interface.
rgds, Ed
----- Original Message -----
From: "Bob Jagow" <bjagow@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, December 18, 2005 9:28 PM
Subject: RE: [amibroker] Current Position Size
> There's clearly no way to anticipate the # of signals, but you could split
> your funds among the # of signals generated today, buy them at tomorrow's
> open, and sell them at the close.
>
> Bob
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
> Behalf
> Of intermilan04
> Sent: Sunday, December 18, 2005 11:07 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Current Position Size
>
> Hi all,
>
> I'm trying to find a way to distribute my equity in such a way that I
> get into every signal my system generates, and spend 100% of equity on
> them as evenly as possible.
>
> For instance, suppose my system generates 3 signals on a particular day.
> I want to spend 33% of my funds on each. Say, next day comes around
> and my system generates 4 signals this time. I want to spend 25% of
> my funds on each.
>
> Is there a way to implement such in Amibroker? I found a way to split
> funds evenly based on "max position size," but this wouldn't utilize
> my funds 100% when my system generates fewer signals than "max
> position size."
>
> Any help on this issue is greatly appreciated.
>
> Regards,
>
> intermilan04
>
>
>
>
>
>
> 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
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
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>
>
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>
>
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>
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