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Hello Dave, Suppose that you have designed a very simple strategy to perform and verify the position-score test, and the numbers reflecting the position ranking differ up to the 3rd places to the right of the decimal point. In this case you should really evaluate the formula defining the position scores! However, in case the position scores differ beyond the 4th places to the right of the decimal point, then it might well happen that rounding errors play an adverse side effect for choosing the appropriate stock candidates. Hope that helps somewhat ![]() . Cheers, Udo
cohndw <minimax9999@xxxxxxxxxxx> wrote:
This is for a standard portfolio backtest (not CBT) of the daily
Nasdaq 100 from 1996 to 2006. The strategy allows only one open
position at a time and has very simple Buy, Sell, and PositionScore
conditions. The Position Scores listed in the detailed log report
exactly match those written out to a debug file (using a bar loop with
PositionScore[bar] at the bottom of the AFL). The matches validate
the debug file data is correct. The problem is that symbols selected
for Buys do not have the maximum Position Score, and are often way
down the list. The detailed log report shows the higher scoring
symbols are NOT listed for exits, so I am lost for an explanation of
why symbols with much lower Position Scores are being selected for
Buys. Note the symbols in the portfolio have different date ranges
because many symbols have come and gone in the Nasdaq 100 between 1996
and
2006. The date ranges are built into the symbol names to allow
the same symbol with different (non-overlapping) date ranges to be
part of the portfolio. Are the different date ranges causing an
issue with bar alignment and thus PositionScores? Is there something
else that I may be doing wrong?
Any insight would be appreciated.
Thanks,
Dave
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