Re: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.

["Mark H" <amibroker@xxxxxxxxxxxxx>]

Tomasz:

I kind of have a different opinion here. No matter what mode you are in, rotational or regular, you still do buy and sell, short and cover. 
In the case of rotational mode, the *implicit* exit signal is "falls down in ranking table below WorstHeld rank". It would be nice to make all those on Setting | Trade page
applicable under this mode, unless there are other technical reasons not to do so. 

Of course you can set the prices to whatever you want under CBT for  EnterTrade and ExitTrade (though somewhat difficult for n-bar stop etc). It would be nice for those who don't use CBT to set the prices in the Settings.

- Mark H.

  ----- Original Message ----- 
  From: Tomasz Janeczko 
  To: amibroker@xxxxxxxxxxxxxxx 
  Sent: Tuesday, October 31, 2006 1:14 PM
  Subject: Re: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.



  Yes this is so and will remain so because there are NO exit signals in rotational mode.
  Exits in rotational mode are made if symbols falls down in ranking table and therefore
  it is no longer in Top-N symbols. Since there are NO exit signals, so there are no special exit prices.
  Plain and simple.

  You can, however control exit price individually in custom backtest procedure.
  There are lots of examples in Knowledge Base
  http://www.amibroker.com/kb/category/afl/custom-backtest/

  Best regards,
  Tomasz Janeczko
  amibroker.com
    ----- Original Message ----- 
    From: Mark H 
    To: amibroker@xxxxxxxxxxxxxxx 
    Sent: Tuesday, October 31, 2006 6:09 PM
    Subject: Re: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.


    That's the nature of rotational mode, the following is from the on-line doc for EnableRotationalTrading():
    Important:
    The rotational trading mode uses "buy price" and "buy delay" from the Settings | Trade page as trade price and delay for both entries and exits (long and short)

    I don't why it was designed like that, but it is what it is now. To workaround that, you can set the buy price as close so that the stop uses the close, but in the bo.EnterTrade(..) function, use the actual open price of that symbol instead of sig.Price.

      ----- Original Message ----- 
      From: jlami11 
      To: amibroker@xxxxxxxxxxxxxxx 
      Sent: Tuesday, October 31, 2006 3:21 AM
      Subject: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.


      Hello, Mark H.,

      below is the code you referred me to for Counting all Entry signals on
      backtester, even on existing open positions.
      I got it to work for my purposes, but I'm stuck.

      I'm trying to Enter on the open (1 day delay), while exiting on the
      close after X days.

      I just can't get it to enter on open while exiting on close. I don't
      know what code to write for these.

      I tried setting it in trade settings page, but when I set Entry to
      Open price, the Exit exit's on Open price too, even though it's set on
      Close price.

      I've spent ages trying to work this out, if anyone could give some
      help i'd be very grateful.

      ---Below is coding u reffered me to... i used almost same code--

      EnableRotationalTrading();
      SetOption("WorstRankHeld",160); // this number needs to be big enough.
      Only 2*WorstRankHeld signals will be held by CBT each bar.
      SetOption("MaxOpenPositions", 100);
      SetOption("InitialEquity", 30000);
      SetOption("CommissionMode", 1); //% per trade
      SetOption("CommissionAmount", 0.5);
      SetOption("MarginRequirement", 50);
      SetOption("UsePrevBarEquityForPosSizing", True);
      SetOption("MinShares", 100);

      SetTradeDelays( 1, 1, 1, 1 );
      RoundLotSize = 5;

      ......

      ApplyStop( stopTypeNBar, stopModeBars, 10);

      Sell0 = ...; // Rename sell/buy to sell0/buy0 since you can have
      sell/buy in rotational mode.
      Buy0 = ...;
      Sell0[0] = 1; // trick to remove leading sell signals
      Sell0 = ExRem( Sell0, Buy0 );
      Sell0[0] = 0;

      RawScore = 100 + ......; // make sure it is greater than 2
      PositionScore = 1;
      for(i = 0; i < BarCount; i++)
      {
      if(Buy0[i]) PositionScore[i] = RawScore[i];
      else if(Sell0[i]) PositionScore[i] = 2;
      else PositionScore[i] = C[i]/H[i]; //semi-random
      }

      SetOption("UseCustomBacktestProc", True );

      if( Status("action")== actionPortfolio )
      {
      bo = GetBacktesterObject();

      bo.PreProcess(); // Initialize backtester

      for(bar=0; bar < BarCount; bar++)
      {
      bo.HandleStops(bar-1); // if use bar not bar-1, the
      n-bar exits have one extra bar delay. don't know why.
      for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
      { 
      // first handle exit signals (PosScore = 2)
      if ((sig.PosScore == 2 OR sig.isExit()) AND sig.Price
      != -1 )
      {
      bo.ExitTrade(bar,sig.symbol,sig.Price);
      }
      }

      // update stats after closing trades
      bo.UpdateStats(bar, 1 );

      for ( sig=bo.GetFirstSignal(bar); sig;
      sig=bo.GetNextSignal(bar))
      {
      // Entry Signals (PosScore > 2)
      // Only one position per symbol
      if (sig.PosScore > 2 AND sig.Price != -1 AND IsNull(
      bo.FindOpenPos( sig.Symbol )))
      { 
      // long only
      bo.EnterTrade(bar, sig.symbol, True, sig.Price,
      sig.PosSize, sig.PosScore,sig.RoundLotSize);
      } 
      }

      bo.UpdateStats(bar,1); // MAE/MFE is updated when
      timeinbar is set to 1.
      bo.UpdateStats(bar,2); 
      }
      bo.PostProcess(); // Finalize backtester
      }




   
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