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Hello,
It works, but there are some things that need to be
mentioned.
The fact is that scaling signals do not hold score or round
lot size because this information is
stored in initial buy signal that is used under normal
circumstances.
There is no need for scaling signals to be sorted as well
because scaling operates
on already open positions and AmiBroker under normal
circumstances just matches
scaling signals to open position list. It is similar to exit
signals. *ALL* exit and scaling signals
are tracked (opposite to entry signals where only top 2 * max(
worstrankheld, maxopenpositons) entry
signals are tracked.
Since this formula abuses scaling in
signals so they become first entry signals it is not possible
to use user-defined scoring / ranking using this
formula.
What you have pointed out correctly is that since PosScore and
RoundLotSize hold empty for scaling in signals
they should not be passed to EnterTrade function.
I have corrected this in the KB article.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, April 25, 2006 3:01
PM
Subject: Re: [amibroker] Why portfolio
backtester does not consider all buy signals?
TJ:
The sample code didn't work. I did a trace of the
scaleIn signals, and found:
1. the scaleIn signals were not sorted by
PositionScore but by alphanumeric order.
2. actually the PosScore and RoundLotSize is
EMPTY for scaleIN signals.
3. I still had the 1e+010 shares problem when
using scaleIn.
(To compare, I removed the scaleIn code and
changed sig.IsScale() to sig.IsEntry(), the trace showed that the entry
signals were sorted as expected)
Thanks,
-Mark
if (sig.IsScale() AND sig.Price != -1 AND
IsNull( bo.FindOpenPos( sig.Symbol ) ) )
{
// Entry Signal
_TRACE("Entry " + sig.symbol + " " + NumToStr(sig.PosSize) + "/" + NumToStr(sig.PosScore) + "/" + NumToStr(sig.RoundLotSize) + "@ $" + NumToStr(sig.Price)); if( bo.EnterTrade(bar, sig.symbol, sig.IsLong(),
sig.Price,sig.PosSize ) == 0 )
{
// if certain trade can not be entered due to insufficient funds
// or too small value (less than ”MinPositionValue”) or
// to few shares (less than ”MinShares"
// then do NOT process any further signals
bContinue = False;
}
----- 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
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