|
TJ:
In the low level backtest, which function removes
all the "redundant" signals? I assume it is PreProcess()?
PreProcess()/EnterTrade()/ExitTrade()/ScaleTrade()/UpdateStats()/HandleStops()/PostProcess()
Regarding redundant signals, the more I think about
it, the more I am convinced that the portfolio backtester should process all
signals, not signal pairs based on trades.
My argument is that in real trading what you see
first is a list of signals (sorted by positionscore), and make the top ones
into trades, not ALL of them. Trades are after the fact. The portfolio backtester only considers signal pairs (trades) and removes
"redundant" signals. To a certain extent, it is
like looking into the future AFTER the trades have been taken, not just the
signals at this moment of NOW.
I am sure by messing with the low level functions,
this can be done. But a high level easy switch would be life saver
:-)
Thanks,
- Mark
----- Original Message -----
Sent: Monday, April 24, 2006 11:40
AM
Subject: Re: [amibroker] Why portfolio
backtester does not consider all buy signals?
Hello,
You need to REPLACE Buy/Sell rules with your OWN (where you
can see // YOUR TRADING SYSTEM HERE)
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Monday, April 24, 2006 5:19
PM
Subject: Re: [amibroker] Why portfolio
backtester does not consider all buy signals?
Ed:
Have you had any luck using TJ's sample
code?
I plugged it in and ran a backtest. Then I got
like close to $1billion loss!
The last trade was with 1e+010 shares. I
thought it was a NULL value and padded my data, but still the same
results.
I will look more into it and report
back,
Thanks,
Mark H.
----- Original Message -----
Sent: Monday, April 24, 2006 8:27
AM
Subject: Re: [amibroker] Why
portfolio backtester does not consider all buy signals?
thanks a lot it looks great at the first
glance. So little code necessary to do it. I am trying to build it
into my current system at this moment,
rgds, Ed
----- Original Message -----
Sent: Monday, April 24, 2006 12:53
PM
Subject: Re: [amibroker] Why
portfolio backtester does not consider all buy signals?
"Who has studied this?"
I have studied this and these are results of hundreds
of my own tests of various systems I have done in the
past.
But I can agree that you may have different
opinions/experiences and you may want to test redunant
signals.
And this is perfectly doable as I have shown using
either rotational trading (for some cases) and/or
custom backtest procedure (for all remaining cases). I
even wrote sample formula for you.
See this post:
(I have reposted this sample to the knowledge base
know for your convenience):
Also as suggested, I may consider adding an "easy"
switch in some future releases.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Monday, April 24, 2006 8:11
AM
Subject: Re: [amibroker] Why
portfolio backtester does not consider all buy signals?
> There are other reasons such as the fact that
practice shows that delayed signals are very often very poor performer
so it is better to skip trade instead of entering
it too late.
> This may be true to many systems.
But certainly not all of them. My most profitable system happens
to do better with later signals. It buys dips and later
signals are
> more likely to > bounce back.
IMO, a backtest software should be neutral to trading systems (i.e.
not to prefer a particular kind of
practice)
Who says delayed signals are poor performers.
Who has studied this? I am certain that redundant signals can be
used succesfully in portfolio type systems. So my request is
again to get a simple example of how to do this on a portfolio level.
There are examples on a single symbol level but on a portfolio level
is what is interesting.
rgds, Ed
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
|