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Thanks TJ,
Regarding this comment:
> If you are after score-based exits as well you can traverse
> signal list (in CBT) code to see if given symbol is still on top-n list
> and exit position if it isn't.
A not so obvious little tidbit for others out there. After much
debugging and testing, I finally realized that I must traverse the
ENTRY signal list (in CBT) and not the EXIT signal list to see if a
given symbol is still in top-n list for SCORE BASED EXITING while
using CBT in backtestRegularRaw mode. Looks like the PositionScore
information is only provided with the entry signals vs. the exit
signals from what I've seen (i.e., many fields with exit signals are
simply {EMPTY} and I'm guessing so for optimizations for memory reasons).
Regards,
JD
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> You can use new backtestRegularRaw mode (see 4.96 docs).
> If you use
> Buy = 1;
>
> it will behave as rotational system as far as ENTRIES are considered.
>
> In this mode you can also control entries by 2 rankings using this:
>
> PositionScore = ..regular score.
> Buy = ... your condition from external file....
>
> For exits - you will be able to control them separately using
regular Sell rule.
>
> If you are after score-based exits as well you can traverse
> signal list (in CBT) code to see if given symbol is still on top-n list
> and exit position if it isn't.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "JD Fagan" <jd.fagan@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, June 03, 2007 2:33 AM
> Subject: [amibroker] CBT example for rotational mode?
>
>
> > RE: http://finance.groups.yahoo.com/group/amibroker/message/81506
> >
> > Hello,
> >
> > I'm consulting for a trading firm that wants the ability to have a
> > slightly different twist on the default rotational mode that AmiBroker
> > has by default. Besides the basic investing in top N symbols as
> > defined via PositionScore, they want the top N symbols if and only if
> > symbol's position size attribute (which is extra data I get from
> > external file), is > 0% (of equity). The reason they even keep a
> > symbol that has 0% defined in the list is for exit ranking reasons of
> > booting out a stock that falls below WorstRankHeld.
> >
> > I realize that the default rotational mode doesn't have this concept
> > of two tiered ranking: one for getting into vs. one for getting out
> > of a position. But this is what I need I believe to achieve the above
> > requirement for my client. In essence, if AB had a PositionEntryScore
> > vs. a PositionExitScore, I could do this easily with standard
> > rotational backtester. But lacking that, I'll need to implement this
> > via custom backtester. I was wondering if anyone already had
> > duplicated (via CBT code) the built-in ability for rotational
backtester?
> >
> > Best regards,
> >
> > JD
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
Please note that this group is for discussion between users only.
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SUPPORT {at} amibroker.com
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