Re: [amibroker] Re: Losing Trades in Custom Backtester

["Mark H" <amibroker@xxxxxxxxxxxxx>]

Cey:

Are you doing portfolio level testing? If so, how do you sort the signals by position score?
By default, ScaleIn signals are by symbal name.
Do you have to sort the signal list in your code by the position size then? 

Thanks,
- Mark


  ----- Original Message ----- 
  From: C Alvarez 
  To: amibroker@xxxxxxxxxxxxxxx 
  Sent: Wednesday, August 09, 2006 3:11 PM
  Subject: [amibroker] Re: Losing Trades in Custom Backtester


  Mark,

  I missed the first but saw the second post. I had already coded up 
  Tomasz' suggestion. Since position score is not stored, I stored the 
  information in position size. This seems to work just fine. I am 
  still checking the code and ouput to make sure it all works fine.

  Cey

  --- In amibroker@xxxxxxxxxxxxxxx, "Mark H" <amibroker@xxx> wrote:
  >
  > Cey:
  > 
  > You may have missed my previous posts. Try:
  > http://finance.groups.yahoo.com/group/amibroker/message/99788
  > http://finance.groups.yahoo.com/group/amibroker/message/99785
  > 
  > - Mark
  > ----- Original Message ----- 
  > From: C Alvarez 
  > To: amibroker@xxxxxxxxxxxxxxx 
  > Sent: Tuesday, August 08, 2006 7:16 PM
  > Subject: [amibroker] Re: Losing Trades in Custom Backtester
  > 
  > 
  > I guess I should read the sample more closely.
  > From sample page:
  > "One thing worth mentioning is the fact that since scaling-in 
  > signals do not store position score this example formula does 
  not 
  > support ranking of signals according to user-defined scores."
  > 
  > I need the PosScore information, so I will see if I can solve 
  the 
  > problem another way.
  > 
  > Cey
  > 
  > --- In amibroker@xxxxxxxxxxxxxxx, "C Alvarez" <yahoo@> wrote:
  > >
  > > More information.
  > > So the first trade signal has a PosScore but the subsequent 
  scale 
  > in 
  > > signals have PosScore empty.
  > > 
  > > Cey
  > > 
  > > --- In amibroker@xxxxxxxxxxxxxxx, "C Alvarez" <yahoo@> wrote:
  > > >
  > > > Tomasz,
  > > > 
  > > > The sample code looks like it will let me do what I want. 
  The 
  > > > problem I am now running into is the sig.PosScore is empty. 
  Why 
  > is 
  > > > that? I am setting it.
  > > > 
  > > > 
  > > > Thanks,
  > > > Cey
  > > > 
  > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" 
  <groups@> 
  > > > wrote:
  > > > >
  > > > > Hello,
  > > > > 
  > > > > Answer is here: 
  http://www.amibroker.com/kb/2006/04/24/using-
  > > > redundant-signals-for-entries/
  > > > > 
  > > > > 
  > > > > Best regards,
  > > > > Tomasz Janeczko
  > > > > amibroker.com
  > > > > ----- Original Message ----- 
  > > > > From: C Alvarez 
  > > > > To: amibroker@xxxxxxxxxxxxxxx 
  > > > > Sent: Monday, August 07, 2006 10:04 PM
  > > > > Subject: [amibroker] Losing Trades in Custom Backtester
  > > > > 
  > > > > 
  > > > > I am using the Custom Backtester to iterate through the 
  > Signal 
  > > > list. Depending on some additional conditions that I only 
  can 
  > know 
  > > > at this time, I might decide to skip a trade and set the 
  PosSize 
  > = 
  > > > 0. This prevents the trade from happening, as I want.
  > > > > 
  > > > > The problem is that if I remove a trade from the Signal 
  list 
  > > and 
  > > > then the Buy array has a buy for the next day, it is not 
  showing 
  > > up 
  > > > the Signal list. And at this time I might want to take the 
  > trade. 
  > > > Any suggestions on how I can do this?
  > > > > 
  > > > > Here is the simplified code.
  > > > > 
  > > > > Thanks,
  > > > > Cey
  > > > > 
  > > > > 
  > > > > SetCustomBacktestProc("");
  > > > > 
  > > > > if( Status("action") == actionPortfolio )
  > > > > {
  > > > > bo = GetBacktesterObject();
  > > > > bo.PreProcess(); // Initialize backtester
  > > > > 
  > > > > for(bar=0; bar<BarCount; bar++)
  > > > > {
  > > > > 
  > > > > for( sig = bo.GetFirstSignal(bar); sig; sig 
  > = 
  > > > bo.GetNextSignal(bar) )
  > > > > {
  > > > > if( sig.IsEntry())
  > > > > {
  > > > > if (some_condition) // don't 
  > > > take trade
  > > > > {
  > > > > sig.PosSize = 0;
  > > > > }
  > > > > }
  > > > > }
  > > > > 
  > > > > bo.ProcessTradeSignals(bar); // Process current 
  > bar's 
  > > > signals
  > > > > 
  > > > > }
  > > > > 
  > > > > bo.PostProcess();
  > > > > }
  > > > >
  > > >
  > >
  >