|
"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."
This is completely FALSE statement. It is in fact
opposite - it works as simple as it is only possible and no future is
referenced
- when you get initial signal - you just check if you have
available funds
to open position - once you find that you don't have enough
funds you simply forget about this trade at all.
Please don't push me by sending all the time the same request.
I have answered many times and provided you with sample codes how to do what you
want with custom backtester (so you can use it
now). I also said that I will consider adding a switch in
some future version.
This is more than enough.
Some think that if they repeat the same over and over again it
will speed up implementation - while it is exactly the
opposite
- the more you push, the more time is spent on discussion
instead of real work (programming).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, April 25, 2006 3:35
PM
Subject: Re: [amibroker] Why portfolio
backtester does not consider all buy signals?
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
SPONSORED LINKS
YAHOO! GROUPS LINKS
|