[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Ranking trade signals before entry day



PureBytes Links

Trading Reference Links

Title: Message
Hmm.. I understand your approach I think, but it still looks to me like the ranking using ref-1 only used a previous value for rank & will only be applied to successfully entered trades only.  In terms of reseverd equity, I have a broker (I am trading CFD's by the way) who will take any number of limit orders & won't reserve capital for them, they just stop entering sucessful limit orders when the equity is used up, so I don't want equity reserved.  I have heard it can be done....there must be a way !
 
Dave
 
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Edward Pottasch
Sent: Thursday, 12 April 2007 8:14 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Ranking trade signals before entry day

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
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

__._,_.___

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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html





SPONSORED LINKS
Investment management software Investment property software Investment software
Investment tracking software Return on investment software

Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___