----- Original Message -----
Sent: Tuesday, April 25, 2006 11:27
AM
Subject: Re: [amibroker] Why portfolio
backtester does not consider all buy 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."
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