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Mark,
I am doing portfolio level testing. Since I know how many positions,
I have and my max total positions, all I need to do is find the top
N (max pos - open pos) positions.
Cey
--- In amibroker@xxxxxxxxxxxxxxx, "Mark H" <amibroker@xxx> wrote:
>
> 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@> 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();
> > > > > }
> > > > >
> > > >
> > >
> >
>
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