Re: [amibroker] Is it possible to limit the number of candidate stocks during a backtest?

["Edward Pottasch" <empottasch@xxxxxxxxx>]

hi,

 

why is it impossible to predict which one of the stocks will be bought? You rank the signals using RSI so then the highest ranking stock will be chosen by the backtester. If you use EOD data and calculate signals for the next day then your ranking will pick out the highest ranking signal for the next day.

 

If you calculate a backtest where you want to enter the next day then the ranking has the form:

 

PositionScore = ref( 50 - RSI() ,-1);

 

Then in the backtester settings window you need to tell the backtester to "Add artificial future bar". Then when you run a backtest it will select the signal you need to enter the next day,

 

rgds, Ed  

 

 

 

----- Original Message -----

From: polomorabe

To: amibroker@xxxxxxxxxxxxxxx

Sent: Sunday, July 29, 2007 9:05 PM

Subject: [amibroker] Is it possible to limit the number of candidate stocks during a backtest?

Hello, All.

I have a question about backtesting. The backtest strategy I use
limits the maximum number of stocks in the model portfolio at any
given time to 10 (MaxOpenPositions), and the entire portfolio is
cycled about once per week, as old stocks are stopped out, and
replaced with new stocks.

However, when I scan for stocks based on the same strategy, sometimes
up to 100 stock candidate stocks can be thrown up by the scan. If I
already have nine stocks in my portfolio, then at most one can be
bought. But which one? It is impossible to place a limit buy order for
all the stocks on my list with my broker, in order to fill the one
vacant position in my portfolio. I rank the stock candidates by RSI.
However, it is impossible to predict which stock will actually be bought.

For this reason, I was wondering if is it possible to limit the number
of candidate stocks during a backtest run, for example to eight, and
to only allow stocks to be selected during the backtest from this list?

Many thanks,
Paul

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