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I can't get this to work properly. The moment it sets any trade to
PosSize = 0, it stops processing anymore trades. Thus, if you hit the
limit on your longs, it won't process anymore shorts.
Jay
--- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxx> wrote:
>
> hi,
>
> I have done something similar in the past and I believe it worked.
Have a look. It seems you do the same so I'm not sure my code will help,
>
> rgds, Ed
>
>
>
>
> /*
>
> Do not allow more than "maxLong" LONG positions OR "maxShort" SHORT
positions
>
> */
>
> SetCustomBacktestProc("");
>
> maxLong = 8;
> maxShort = 9;
>
> if( Status("action") == actionPortfolio ) {
>
> bo = GetBacktesterObject();
> bo.PreProcess();
>
> for( i = 0; i < BarCount; i++ ) {
>
>
> cntLongOpen = 0;
> cntShortOpen = 0;
>
> // scan through open positions and count the number of long
positions
> for( openpos = bo.GetFirstOpenPos(); openpos; openpos =
bo.GetNextOpenPos() ) {
>
> // check for entry signal and long signal
> if( openpos.IsOpen AND openpos.IsLong ) {
>
> cntLongOpen = cntLongOpen + 1;
>
> } else if ( openpos.IsOpen AND openpos.IsLong == 0) {
>
> cntShortOpen = cntShortOpen + 1;
>
> }
>
> }
>
>
> // look at new signals and exclude Long signals if they exceed
maxLong
> for( sig = bo.GetFirstSignal(i); sig; sig =
bo.GetNextSignal(i) ) {
>
> // check for entry signal and long signal
> if( sig.IsEntry() AND sig.IsLong() ) {
>
> if( cntLongOpen >= maxLong ) {
>
> sig.PosSize = 0;
>
> } else {
>
> cntLongOpen = cntLongOpen + 1;
>
>
> }
>
> // check for entry signal and short signal
> } else if ( sig.IsEntry() AND sig.IsLong() == 0) {
>
> if( cntShortOpen >= maxShort ) {
>
> sig.PosSize = 0;
>
> } else {
>
> cntShortOpen = cntShortOpen + 1;
>
>
> }
>
>
> }
>
>
> }
>
> bo.ProcessTradeSignals( i );
> }
>
> bo.PostProcess();
>
> }
>
>
>
>
>
>
> ----- Original Message -----
> From: "C Alvarez" <yahoo@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, January 21, 2006 1:37 AM
> Subject: [amibroker] Removing Trades In Custom Backtester
>
>
> >I am backtesting a portolfio stock system. I am using the custom
> > backest proc to decide if certain trades should happen or not, based
> > on how many open position there are and other factors. So I walk
> > through the signals on a bar and check my condition. If a trade
> > should not happen, then I try and set the position size to zero.
> > This works, the trade for the symbol does not happen, but then all
> > other signals for that bar do not happen.
> >
> > Any ideas on how to get this to work. It is almost like I need to
> > resort the signal array, but I do not know how to do that.
> >
> > Code below.
> >
> > Thanks,
> > Cesar
> >
> >
> > 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;
> > //sig.PosScore = 0;
> > _TRACE("No Trigger:" + ":" +
> > sig.Symbol());
> > }
> > }
> > }
> >
> >
> > bo.ProcessTradeSignals(bar); // Process current bar's signals
> >
> > }
> >
> > bo.PostProcess();
> > }
> >
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
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