Re: [amibroker] Ranking trade signals before entry day

["Edward Pottasch" <empottasch@xxxxxxxxx>]

PositionScore is not after the fact if you use e.g.

 

PositionScore = ref(50-RSI(15),-1);

 

So setting up your backtest this way the backtester will ensure by itself that you will not enter more positions then the backtester is setup for.

 

As for an entry on the limit: I wrote code for that a while back. The trick I used is to entry a "void trade" if the limit is not hit. The backtester will then set apart funds for this trade and therefor will not enter another trade. For this "void trade" the entry and exit are at the same point. So then in the backtest you will only pay commision for this trade not affecting the backtest very much. See attached image. The "void trade" is shown as a square. The buy limit is not hit. Still the backtester will use this trade because the entry and exit is at the same point in time.

 

I'll post an example later,

 

Ed 

 

 

 

----- Original Message -----

From: David

To: amibroker@xxxxxxxxxxxxxxx

Sent: Thursday, April 12, 2007 11:53 AM

Subject: [amibroker] Ranking trade signals before entry day

Hi,

I have a reversal system I have coded into AB where I know at times it
gives more triggers than I can have equity to enter orders in the next
day. My entry is based on limit orders away from today's price so I
don't know which ones will actually be entered before hand. I may get
say 10 triggers, but only want to enter 6 orders to manage risk, of
which all, any or none may get filled.

I am looking for help as to how to code to rank the triggers, since
ranking the trades using positionscore is after the fact.

eg the basic structure of the code is:
Trigger = (ref(C,-3) - C) > 2*atr(5); // example only
Buy = ref(Trigger,-1) and L < ref(L - 1*atr(5),-1);
BuyPrice = min(Open, ref(L-1*atr(5),-1)); //include gaps

Any help is appreciated,

Regards, David

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Attachment: void.png
Description: PNG image