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See my earlier reply to Tomasz' suggestion.
The objective is to have the Backtester reflect practical (simple) trading conditions. There are many ways to solve this problem and how you do it depends on your trading system. Since i already have my trading system in a loop I may create a FillProbability array for each ticker in my WatchList. Such arrays can be stored in Composites, a lookup table, or even using StaticVariables, to be accessed by the Portfolio Backtester to enable/disable tickers based on their score. This restricts the Port BT to the n-top tickers, thus matching my real trading results where I place only orders for the n top scored tickers.
I haven't done all this yet ... I change my ways so often that I never know from one day to the next what I'll be working on  I might just wake up with an altogether new idea.
best regards,
herman
Monday, April 16, 2007, 7:20:20 PM, you wrote:
> 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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