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Herman
This an interesting problem, and one that I face everyday.
The problem is that you only know which are the "best" signal to enter at
the end of the bar based on positionscore but you are by that time too later
to enter it.
Now Tomasz's suggestion is quite a good one.
For example, during the beginning of the bar, I do an exploration looking at
how close the preivous high price is in relation to the break out price and
I also look at the position score. Now if I knew the probability of price
breaking out based on position of its high or close on the previous bar.
Then I can multiply that probability into the position score. Then
effectively I can enter the order for the candidates with the highest score.
To find out the probability is a different matter, Any thoughts?
Paul.
________________________________
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Herman
Sent: Tuesday, 17 April 2007 6:45 AM
To: Tomasz Janeczko
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:
>
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 <mailto:psytek@xxxxxxxx>
To: dingo <mailto:amibroker@xxxxxxxxxxxxxxx>
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:
>
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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