Re: [amibroker] Low level backtest for rotational mode

["Mark H" <amibroker@xxxxxxxxxxxxx>]

Tomasz:

Thanks.
All signals under rotational mode have type 0, and the script has to enter and exit trades based on PosScore. Is my understanding correct?

Another question:
How many of these signals are kept (to save memory etc)?
Based on the document:
(2*MaxOpenPositons) for signals with PosScore > 0;
(2*MaxOpenPositons) for signals with PosScore < 0;
Unlimited for signals with PosScore == 0; (since they are exit signals)

However, based on my own testing, not all signals with PosScore==0 are kept. The number kept seems to be related to "WorstRankHeld".
I have to keep the "WorstRankHeld" very big to avoid missing exit signals, but that greatly slow down the backtesting (from a few minutes to more than half an hour).
I use "WorstRankHeld"==5000 for a 5000 stock portfolio.
Please advice how to make it more efficient,

Thanks,

- Mark

  ----- Original Message ----- 
  From: Tomasz Janeczko 
  To: amibroker@xxxxxxxxxxxxxxx 
  Sent: Thursday, July 27, 2006 5:24 PM
  Subject: Re: [amibroker] Low level backtest for rotational mode



  Hello,

  Yes it does and there is special type of signal : rank signal, 
  it has Type = 0.
  http://www.amibroker.com/guide/a_custombacktest.html

  PositionScore > 0 means long
  PositionScore < 0 means short
  PositionScore == 0 means exit

  Best regards,
  Tomasz Janeczko
  amibroker.com
    ----- Original Message ----- 
    From: Mark H 
    To: amibroker@xxxxxxxxxxxxxxx 
    Sent: Thursday, July 27, 2006 10:53 PM
    Subject: [amibroker] Low level backtest for rotational mode


    Tomasz:

    In the low level backtesting, does it support rotational mode? If so, what are in the signal array and what type are the signals (Entry?Exit?Long?Scale?))?

    Thanks,

    - Mark