----- Original Message -----
Sent: Monday, April 16, 2007 10:44
PM
Subject: Re[4]: [amibroker] Placing
orders for only the highest scored tickers
Thanks TJ, but...if i am correct...
Using the Portfolio Backtester I would be setting a PosQty, say 5 stocks
max, and the BT would always trade 5 stocks using lower probabilities if
needed. So if my 5 stocks which have a higher probability would fail to fill
than the BT would trade the next five stocks down the list.
In real trading this would not happen because I would only place orders for
five stocks with the highest probability of fill and if they didn't fill I
would have no trades on that day.
This means using the PositionScore my practical results wouldn't match the
BTs.
Unless i misunderstand this the only way around this is to add a qualifier
to the signals, as Ara suggested, that prevents the system from trading stocks
below the 5th level down.
Buy = Buy AND FillProbability > 5thProbValue;
right or wrong?
herman
Monday, April 16, 2007, 1:00:45 PM, you wrote:
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Herman,
PositionScore will do that for you. It does not
matter when you get signals.
Just put the "probability
of getting a trade based on past performance." into PosScore.
And it will honor it.
To implement limit order use
Buy = YOUR ORIGINAL BUY AND High >
LimitPrice;
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Herman
To: dingo
Sent: Monday, April
16, 2007 5:57 PM
Subject: Re[2]:
[amibroker] Placing orders for only the highest scored
tickers
No, if i understand the PositionScore correctly it
won't.
The PositionScore assumes all signals are available
at the same time and then simply picks the top scores. But my signals
aren't all traded and aren't known at the start of the day, they are
scattered in real-time over the entire trading day. Using the PS I would
have to place all 100 order-sets and this is what i want to get away
from.
herman
Monday, April 16, 2007, 11:02:29 AM, you
wrote:
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> |
Positionscore will do it for you.
d
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
Sent: Monday,
April 16, 2007 10:39 AM
To: _AmiBroker
Subject: [amibroker] Placing orders for only the highest
scored tickers
I have a portfolio system that trades n
tickers from a N100 WatchList, however the trades are intraday LMT
orders and I cannot know beforehand which tickers will give me a
trade.
To prevent me from having to place 100 sets
of orders I want to only place orders for the n top-scored
tickers. The score would rank my tickers on probability of getting
a trade based on past performance. This may cause me to trade a
partial portfolio at times but that is OK.
Would anybody know how to go about this in a
simple way, i.e without resorting to OLE or the custom
Backtester?
herman
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