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Hi Mark,
Thank you for your very prompt reply.
I will study your code shortly.
I personally do not use limit shares by % of one bar's volume,
because when I backtest for a long period of time (more than 10
years) my equity grows so big so fast that, the volume limit
makes recent years not accounted for.
For instance, suppose I start out with $30000 and I have 10% limit
on the bar of trade. At the beginning, the 10% limit is no issue
because I don't have much money to begin with. But later on, I might
have like 4 million dollars and that's when things get problematic;
with that amount of money, the trades I'm making is so small to my
cash position that, I would see situations where my system is hardly
working yet I maintain high Cumulative Annual Return because bad
trades don't hurt my cash position.
When designing a system, this is a big issue; you don't want to have
a non-working system disguised like working.
Your approach of using EMA as a limit is very interesting however.
I will see how I can incorporate it into my system.
Thank you,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Mark H" <amibroker@xxx> wrote:
>
> Limit shares by % of one bar's volume is one of the worst practices
in backtesting.
> I am always a bit puzzled by why everybody is concerned about
"looking into the future" but few people pay attention to this practice.
> It is "looking into the future" in terms of volume! When you place
an order in the morning, do you know today's volume?
> And position sizing has great impact on system performance.
>
> Anyway, to use 1% EMA(V,50) of today as limit for tomorrow's entry,
you may need to use CBT to do backtest.
> Here is what I do: (normal position size is 10% of equity)
>
> ......
> SetPositionSize(EMA(V,50) * 0.01 * BuyPrice, spsValue );
>
> ......
>
> if( Status("action") == actionPortfolio )
>
> {
>
> bo = GetBacktesterObject();
>
> ..........
>
> for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar))
>
> {
>
> // Only one position per symbol
>
> if (sig.isEntry() AND sig.Price != -1 AND IsNull( bo.FindOpenPos(
sig.Symbol )))
>
> {
>
> // sig.PosSize is passed from Phase I. It is %1 of EMA(V, 50).
>
> ps = Min(sig.PosSize, bo.Equity * 0.10);
>
> // long only
>
> bo.EnterTrade(bar, sig.symbol, True, sig.Price, ps,
sig.PosScore,sig.RoundLotSize);
>
> }
>
> }
>
>
>
> ----- Original Message -----
> From: intermilan04
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, August 15, 2006 11:37 PM
> Subject: [amibroker] Re: Buying at open -- In Real Life
>
>
> Hi Mark,
>
> Very interesting approach. How do you limit the volume like how you
> do? I am aware you can limit by % of one bar's volume, but not sure
> if you could do like 1% of 50 period EMA of volume.
>
> Regards,
>
> intermilan04
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mark H" <amibroker@> wrote:
> >
> > Yes. My system buys/sells at open since I still have a day job. The
> results have been very close to those of backtest.
> > I think it contribute to two factors: I use IB which in most cases
> can get you the exact open prices; my system limits the shares to buy
> to 1% of 50 period EMA of volume.
> >
> > ----- Original Message -----
> > From: intermilan04
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Tuesday, August 15, 2006 2:30 AM
> > Subject: [amibroker] Buying at open -- In Real Life
> >
> >
> > Hi all,
> >
> > I'm just curious if anyone here are buying and selling securities at
> > the open with market orders, i.e. orders are placed BEFORE
MARKET OPEN
> > and they get executed as soon as the market opens.
> >
> > I have noticed that buying at the open might help you get cheap
> > shares, but the reverse is also true...you might sell your shares at
> > really bad bids.
> >
> > The reason why I'm bringing it up is, my system on Amibroker is
> > designed to trade at the open. And strangely enough, my system isn't
> > doing too well ever since I started using it...perhaps it's because
> > I'm getting bad bids and asks by placing market orders overnight?
> >
> > I'm not quite sure how the first trade occurs, in theory I sell
to the
> > highest bidder but with low liquidity of pre-market trading, what if
> > the highest bid is absurdly low?
> >
> > Any thoughts on this is greatly appreciated.
> >
> > Regards,
> >
> > intermilan04
> >
>
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