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Hi Jay,
Might be wrong but having the positionscore outside of the
CustomBacktestProc the trades may be biased towards the top of the
alphabet. I think as trades come along in your list, they are
selected until the max trades is reached and the rest are rejected.
It would be good to positionscore all the available trades within the
CustomBacktestProc, then select the max number of trades.
--- In amibroker@xxxxxxxxxxxxxxx, "Jay" <jt@xxx> wrote:
>
> I use both longs and shorts on a daily basis, and I've always had to
> merge the backtesting results in a spreadsheet to get a sense of how
> to balance the system. This approach to an enormous amount of time.
I
> finally got around to sorting out the custom backtest procedure to
> solve this problem.
>
> So, if you'd like to have two separate ranked queues, one for longs
> and one for shorts, use the following code as a starting point.
You'll
> need to add your buy/sell and short/cover criteria, along with a
> positionscore rule.
>
> I close my positions at market close. If you potentially close you
> positions early in the day and then open new ones, you may need to
> move the exit loop before the entry loop... not really sure.
>
> ============================================================
> SetCustomBacktestProc("");
>
> MaxLong = <max number of longs>;
> LongPS = <position size of longs, e.g. -10>;
> MaxShort = <max number of shorts>;
> ShortPS = <position size of shorts, e.g. -10>;
>
> if( Status("action") == actionPortfolio );
> {
> bo = GetBacktesterObject();
> bo.PreProcess(); // Initialize backtester
>
> for(bar=0; bar<BarCount; bar++) {
> numLongOpen = 0;
> numShortOpen = 0;
>
> bContinue = True;
> // Look for Entry Signals
> for ( sig=bo.GetFirstSignal(bar); sig AND bContinue;
> sig=bo.GetNextSignal(bar)) {
> if( sig.IsEntry() AND sig.Price != -1 AND IsNull(
> bo.FindOpenPos( sig.Symbol ) ) ) {
> // Enter Long
> if( sig.IsLong() AND numLongOpen < MaxLong ) {
> if( bo.EnterTrade(bar, sig.symbol, True, sig.Price,
LongPS )
> == 0 ) {
> //If trade doesn't go through don't do anymore trades
> bContinue = False;
> }
> numLongOpen = numLongOpen + 1;
> // Enter Short
> } else if ( sig.IsLong() == 0 AND numShortOpen < MaxShort
) {
> if( bo.EnterTrade(bar, sig.symbol, False, sig.Price,
ShortPS
> ) == 0 ) {
> //If trade doesn't go through don't do anymore trades
> bContinue = False;
> }
> numShortOpen = numShortOpen + 1;
> }
> }
> }
> // exit signals
> for ( sig=bo.GetFirstSignal(bar); sig;
sig=bo.GetNextSignal(bar) ) {
> if (sig.IsExit() AND sig.Price != -1 ) {
> // Exit Signal
> bo.ExitTrade(bar,sig.symbol,sig.Price);
> }
> }
> // update stats
> bo.UpdateStats(bar,2);
> }
> bo.PostProcess();
> }
>
> Short = <criteria>;
> ShortPrice = <price>;
> Cover = <criteria>;
> CoverPrice = <price>;
> Buy = <price>;
> BuyPrice = <price>;
> Sell = <criteria>;
> SellPrice = <price>;
> PositionScore = IIf(Buy, <buyscore>, <shortscore>);
>
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