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[amibroker] Re: Question on SigScaleIn on Portfolio Testing



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It's workable, but not ideal for the following reason:

   it does not allow me to prioritize taking scale-in positions   
   versus regular positions.  With no Position Shrinking not 
   allowed, in my scenario below the trade decision would be based  
   on the standard PositionScore.



--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxx> 
wrote:
>
> All you need to do is to use correct settings.
> In that case "Allow Position Shrinking" set to FALSE will prevent
> from entering partial size positions.
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
>   ----- Original Message ----- 
>   From: rdavenportca 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Thursday, May 11, 2006 10:24 PM
>   Subject: [amibroker] Re: Question on SigScaleIn on Portfolio 
Testing
> 
> 
>   I did a manual audit and it appears you are correct - the scale-
in 
>   position is NOT counted against the total number of positions.  
But 
>   this is a problem.  While it is true you will never exceed your 
max 
>   equity, it will cause you to enter too many positions meaning 
that 
>   you will enter some positions at a partial size.  For example:
> 
>   100,000 account with each position 10% of account and a max of 
10 
>   positions.
> 
>   I get 5 standard signals on day1 - all are entered with $10k.  
The 
>   next day all 5 signals give a 2nd entry (scale-in).  
Additionally, 
>   on the day2 I get 5 new signals.  So each of the signals on day2 
>   will be entered with $5k.  
> 
>   What I want (and need) is for priority to be given to 2nd 
entries 
>   and each of the 2nd entries to be taken at full size (10% or 
$10k in 
>   this example) and the new signals to be ignored.
> 
>   Of course, you want want to priority between scale-in signals 
and 
>   new signals to be selectable.
> 
>   Is there a work-around that is programmable for this or should I 
>   input it into the suggestion black hole (I'm new to Ami, so I 
really 
>   don't know how fast or slow they are for request.  But my 
experience 
>   with other software vendors makes me fear for the worse).
> 
>   Rob
> 
> 
>   --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@> 
>   wrote:
>   >
>   > I can only confirm what Terry has said :-)
>   > 
>   > Best regards,
>   > Tomasz Janeczko
>   > amibroker.com
>   >   ----- Original Message ----- 
>   >   From: Terry 
>   >   To: amibroker@xxxxxxxxxxxxxxx 
>   >   Sent: Thursday, May 11, 2006 7:46 PM
>   >   Subject: RE: [amibroker] Question on SigScaleIn on Portfolio 
>   Testing
>   > 
>   > 
>   >   I don't know the answer for sure, but I'm guessing it does 
NOT 
>   count
>   >   against your total positions since it's only a single 
position 
>   in the
>   >   backtester. However, you are likely to never have enough 
money to
>   >   scale-in since you are spending 10 * 10% on the primary 
>   positions.
>   >   --
>   >   Terry
>   > 
>   >   -----Original Message-----
>   >   From: amibroker@xxxxxxxxxxxxxxx 
>   [mailto:amibroker@xxxxxxxxxxxxxxx] On
>   >   Behalf Of rdavenportca
>   >   Sent: Thursday, May 11, 2006 09:00
>   >   To: amibroker@xxxxxxxxxxxxxxx
>   >   Subject: [amibroker] Question on SigScaleIn on Portfolio 
Testing
>   > 
>   >   I am doing portfolio testing where I have a max open 
positions 
>   of 10 
>   >   and use 10% of my equity for each position.  I also scale in 
>   (pyramid) 
>   >   positions using the sigScaleIn function.  My question is - 
Does 
>   >   Amibroker count my scale-in position against my # of 
positions 
>   and 
>   >   capital constraint?
>   > 
>   > 
>   > 
>   >   Please note that this group is for discussion between users 
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