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