|
ok will do that later. For now here is the
code,
rgds, Ed
// E.M.Pottasch, May
2007
// using as lead:
//
http://www.amibroker.com/kb/2006/04/24/using-redundant-signals-for-entries/#more-28
am = GetOption("AccountMargin");
posSize = abs(-5);
maxTot = round((100/posSize) * (100 / am)); // maximum total
positions
maxLong = round((maxTot / 100) * 50);
maxShort =
round((maxTot /
100) * 50);
dateArr = DateTime();
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio ) {
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize
backtester
for(bar=0;
bar<BarCount; bar++) {
// write output to AA window
bo.RawTextOutput( DateTimeToStr(dateArr[ bar ]) +
"\n");
bo.RawTextOutput(
"\t" + "Max Long: " + maxLong );
bo.RawTextOutput(
"\t" + "Max Short: " + maxShort );
// loop through open positions and count open long and short
positions
cntLongOpenPositions =
0;
cntShortOpenPositions = 0;
for( openpos = bo.GetFirstOpenPos(); openpos; openpos =
bo.GetNextOpenPos() ) {
if (openpos.IsLong() ) {
cntLongOpenPositions
= cntLongOpenPositions + 1;
}
else if (!openpos.IsLong() ) {
cntShortOpenPositions
= cntShortOpenPositions + 1;
}
}
// loop through signals and count the number of long and short
signals
sigStrEntry
= "";
sigStrExit
= "";
cntLongSignals
= 0;
cntShortSignals
= 0;
for ( sig = bo.GetFirstSignal(bar); sig;
sig=bo.GetNextSignal(bar)) {
if (sig.IsLong() AND sig.IsEntry() ) {
sigStrEntry
= sigStrEntry + sig.Symbol + "=Buy(" + sig.PosScore + "),";
cntLongSignals
= cntLongSignals + 1;
}
else if (!sig.IsLong() AND sig.IsEntry() ) {
sigStrEntry
= sigStrEntry + sig.Symbol + "=Short(" + sig.PosScore + "),";
cntShortSignals
= cntShortSignals + 1;
}
else if (sig.IsExit() AND sig.Type == 2 ) {
sigStrExit
= sigStrExit + sig.Symbol + "=Sell,";
}
else if (sig.IsExit() AND sig.Type == 4 ) {
sigStrExit
= sigStrExit + sig.Symbol + "=Cover,";
}
}
bo.RawTextOutput( "\t" + "Entry signals(score): " + sigStrEntry );
bo.RawTextOutput( "\t" + "Exit
signals: " + sigStrExit );
// calculate maxNewLong
if (cntLongOpenPositions + cntLongSignals > maxLong)
{
maxNewLong
= maxLong - cntLongOpenPositions;
}
else {
maxNewLong
= cntLongSignals;
}
// calculate
maxNewShort
if (cntShortOpenPositions + cntShortSignals >
maxShort) {
maxNewShort
= maxShort - cntShortOpenPositions;
}
else {
maxNewShort
= cntShortSignals;
}
// trade
entry
cntl = 0;
cnts = 0;
bContinue
= True;
for (
sig=bo.GetFirstSignal(bar); sig AND bContinue; sig=bo.GetNextSignal(bar)) {
// enter new trade
if (cntl < maxNewLong AND sig.IsLong() AND sig.IsEntry() AND sig.Price != -1 AND IsNull( bo.FindOpenPos( sig.Symbol ) ) ) {
cntl
= cntl + 1;
// Entry Signal
if( bo.EnterTrade(bar, sig.symbol, sig.IsLong(),
sig.Price,sig.PosSize) == 0 ) {
bContinue
= False;
}
}
else if (cnts < maxNewShort
AND !sig.IsLong()
AND sig.IsEntry()
AND sig.Price !=
-1 AND IsNull( bo.FindOpenPos( sig.Symbol ) ) ) {
cnts
= cnts + 1;
// Entry Signal
if( bo.EnterTrade(bar, sig.symbol, sig.IsLong(),
sig.Price,sig.PosSize) == 0 ) {
bContinue
= False;
}
}
}
// trade exit
for ( sig=bo.GetFirstSignal(bar); sig;
sig=bo.GetNextSignal(bar) ) {
// first handle exit signals
if (sig.IsExit() AND sig.Price != -1 ) {
// Exit Signal
bo.ExitTrade(bar,sig.symbol,sig.Price);
}
}
// update stats after closing trades
bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar
is set to 1.
bo.UpdateStats(bar,2);
// loop
through open positions and write to AA output window
openPosition = "";
cntLongOpenPositions =
0;
cntShortOpenPositions = 0;
for( openpos = bo.GetFirstOpenPos(); openpos; openpos =
bo.GetNextOpenPos() ) {
if (openpos.IsLong() ) {
openPosition = openPosition + openpos.Symbol
+ "(+" + openpos.Shares +
"),";
cntLongOpenPositions = cntLongOpenPositions
+ 1;
} else if (!openpos.IsLong() ) {
openPosition
= openPosition + openpos.Symbol + "(-" + openpos.Shares + "),";
cntShortOpenPositions
= cntShortOpenPositions + 1;
}
}
totpos = cntLongOpenPositions +
cntShortOpenPositions;
bo.RawTextOutput(
"\t" + totpos +
" Open Positions: " + openPosition );
bo.RawTextOutput( "\t" + "Long
Positions: " + cntLongOpenPositions );
bo.RawTextOutput( "\t" + "Short Positions: " +
cntShortOpenPositions );
}
bo.PostProcess();
// Finalize backtester
//bo.ListTrades();
//
initialisations
longTrades = 0;
shortTrades = 0;
// store the DateTime() in a STRING
array.
fdatetime = DateTime();
// loop through trades
for( trade = bo.GetFirstTrade(); trade ; trade =
bo.GetNextTrade() ) {
// find the
entry datetime of the trade
entry_datetime = trade.EntryDateTime;
// find
the exit datetime of the trade
exit_datetime = trade.ExitDateTime;
// locate the
array index at entry
index_entry
= IIf(entry_datetime ==
fdatetime, 1, 0);
// locate the
array index at exit
index_exit =
IIf(exit_datetime ==
fdatetime, 1, 0);
// indicate
bars where the trade occurs
index_trade
= Flip(index_entry,index_exit);
// accumulate
long and short trades
if (trade.IsLong) {
longTrades =
longTrades + index_trade;
}
else if (!trade.IsLong) {
shortTrades =
shortTrades + index_trade;
}
}
// loop
through open positions
for( Openpos = bo.GetFirstOpenPos(); Openpos ; Openpos =
bo.GetNextOpenPos() ) {
// find the
entry datetime of the trade
entry_datetime = Openpos.EntryDateTime;
// find
the exit datetime of the trade
exit_datetime = Openpos.ExitDateTime;
// locate the
array index at entry
index_entry
= IIf(entry_datetime ==
fdatetime, 1, 0);
// locate the
array index at exit
index_exit =
IIf(exit_datetime ==
fdatetime, 1, 0);
// indicate
bars where the trade occurs
index_trade
= Flip(index_entry,index_exit);
// accumulate
long and short trades
if (Openpos.IsLong) {
longTrades =
longTrades + index_trade;
}
else if (!Openpos.IsLong) {
shortTrades =
shortTrades + index_trade;
}
}
AddToComposite(longTrades,"~longTrades","C",atcFlagDeleteValues | atcFlagEnableInPortfolio );
AddToComposite(shortTrades,"~shortTrades","C",atcFlagDeleteValues | atcFlagEnableInPortfolio);
}
----- Original Message -----
Sent: Tuesday, May 08, 2007 1:46 PM
Subject: [amibroker] Re: Hedging with
PositionScore?
Thanks Ed, but don't receive those. Could you perhaps load it up in
the
files-section?
Thx,
PS
--- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...>
wrote:
>
>
hi,
>
> I posted some code in the amibroker-beta group few days
ago. It
should help with setting up re-balancing for portfolio type
systems.
Have a look at that code (balancingBasic_cbi.afl) because I
am only
now starting to understand this stuff.
>
> regards,
Ed
>
>
>
>
>
> ----- Original Message
-----
> From: vlanschot
> To: amibroker@xxxxxxxxxps.com
> Sent: Tuesday, May 08, 2007 11:35 AM
> Subject: [amibroker] Re:
Hedging with PositionScore?
>
>
> Question for Ed (nl) who
created the code below in 03/2005, or of
> course anybody else who
cares to jump in.
>
> Is there any reason why I cannot seem to
get, in the
GetFirstSignal-
> loop, the values from a VarSet which I
defined previously in the
> GetFirstOpenPos-loop. Your code below
shows that
the "cntlongopen"
> variable, defined in the 1st loop,
can be called later in the 2nd
> loop.
>
> For all
clarity, I need to make a link between stock-specific
> variables
between these loops. In other words, I use VarSet
>
("Var1"+openpos.Symbol, var1) in order to retrieve it in the 2nd
loop
> via VarGet("Var1"+sig.Symbol). So far, this doesn't
work.
>
> For context, and as mentioned in some of my previous
mails, I'm
> trying to code a fairly simple (I thought) rebalancing
strategy,
this
> time without the rotational trading bit. Any help
appreciated.
>
> Thx,
>
> PS
>
> ---
In amibroker@xxxxxxxxxps.com,
"ed nl" <ed2000nl@> wrote:
> >
> > Herman,
>
>
> > I expanded the code a little. Now you can set maxShort is
well.
The
> nice thing about this is that you will only go full
inside the
margin
> with mixed long and short positions and not
just either long or
short,
> >
> > rgds, Ed
>
>
> >
> >
> > /*
> >
> >
Do not allow more than "maxLong" LONG positions OR "maxShort"
SHORT
> positions
> >
> > */
> >
> >
SetCustomBacktestProc("");
> >
> > maxLong = 8;
> > maxShort = 9;
> >
> > if(
Status("action") == actionPortfolio ) {
> >
> > bo =
GetBacktesterObject();
> > bo.PreProcess();
> >
> > for( i = 0; i < BarCount; i++ ) {
> >
> >
> > cntLongOpen = 0;
> > cntShortOpen = 0;
> >
> > // scan through open positions and count the number of long
> positions
> > for( openpos = bo.GetFirstOpenPos();
openpos; openpos =
> bo.GetNextOpenPos() ) {
> >
> > // check for entry signal and long signal
> > if(
openpos.IsOpen AND openpos.IsLong ) {
> >
> > cntLongOpen
= cntLongOpen + 1;
> >
> > } else if ( openpos.IsOpen AND
openpos.IsLong == 0) {
> >
> > cntShortOpen = cntShortOpen
+ 1;
> >
> > }
> >
> > }
> >
> >
> > // look at new signals and exclude Long signals if
they
> exceed maxLong
> > for( sig =
bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal
> (i) ) {
> >
> > // check for entry signal and long signal
>
> if( sig.IsEntry() AND sig.IsLong() ) {
> >
> >
if( cntLongOpen >= maxLong ) {
> >
> > sig.PosSize = 0;
> >
> > } else {
> >
> > cntLongOpen =
cntLongOpen + 1;
> >
> >
> > }
> >
> > // check for entry signal and short signal
> > } else
if ( sig.IsEntry() AND sig.IsLong() == 0) {
> >
> >
if( cntShortOpen >= maxShort ) {
> >
> > sig.PosSize =
0;
> >
> > } else {
> >
> >
cntShortOpen = cntShortOpen + 1;
> >
> >
> > }
> >
> >
> > }
> >
> >
> > }
> >
> > bo.ProcessTradeSignals( i );
> > }
> >
> > bo.PostProcess();
>
>
> > }
> > ----- Original Message -----
> >
From: Herman van den Bergen
> > To: amibroker@xxxxxxxxxps.com
> > Sent: Tuesday, March 01, 2005 11:59 AM
> > Subject: RE:
[amibroker] Hedging with PositionScore?
> >
> >
>
> Thank you Ed, will try that!
> >
> > herman
>
> -----Original Message-----
> > From: ed nl
[mailto:ed2000nl@]
> > Sent: Tuesday, March 01, 2005 2:42
AM
> > To: amibroker@xxxxxxxxxps.com
>
> Subject: Re: [amibroker] Hedging with PositionScore?
> >
> >
> > I think I answered my own question in case you are
interested.
> It seems to work.
> >
> > rgds,
Ed
> >
> >
> > /*
> >
> >
Number of positions: do not allow more than "maxLong" LONG
> positions
> >
> > */
> >
> >
SetCustomBacktestProc("");
> >
> > maxLong = 7;
> >
> > if( Status("action") == actionPortfolio ) {
> >
> > bo = GetBacktesterObject();
> >
bo.PreProcess();
> >
> > for( i = 0; i < BarCount;
i++ ) {
> >
> >
> > cntLongOpen = 0;
>
>
> > // scan through open positions and count the number of
> long positions
> > for( openpos =
bo.GetFirstOpenPos(); openpos; openpos =
>
bo.GetNextOpenPos() ) {
> >
> > // check for entry
signal and long signal
> > if( openpos.IsOpen AND openpos.IsLong ) {
> >
> > cntLongOpen = cntLongOpen + 1;
> >
> > }
> >
> > }
> >
> >
> > // look at new signals and exclude Long signals if they
>
exceed maxLong
> > for( sig = bo.GetFirstSignal(i); sig; sig =
> bo.GetNextSignal(i) ) {
> >
> > // check for
entry signal and long signal
> > if( sig.IsEntry() AND
sig.IsLong() ) {
> >
> > if( cntLongOpen > maxLong ) {
> >
> > sig.PosSize = 0;
> >
> > }
else {
> >
> > cntLongOpen = cntLongOpen + 1;
>
>
> >
> > }
> >
> >
> > }
> >
> > }
> >
> >
bo.ProcessTradeSignals( i );
> > }
> >
> >
bo.PostProcess();
> >
> > }
>
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