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You're right Herman, may be I could use staticVariable(s) to store the
probability(s) during one run and use it in the next backtesting run.
Just a quick comment on Buy = Buy AND FillProbability > 5thProbValue;
My experience with restriction has been good. It may be worthwhile to
compare benchmark where buyprice is the close and see if it does better.
________________________________
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Herman
Sent: Tuesday, 17 April 2007 10:52 AM
To: Paul Ho
Subject: Re[6]: [amibroker] Placing orders for only the highest
scored tickers
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> [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
<mailto:psytek@xxxxxxxx> >
> To: dingo <mailto:amibroker@xxxxxxxxxxxxxxx
<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> [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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