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 -----
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