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Thanks for your reply. I will look into your suggestion, but I don't
think that that is the issue that I am up against. I have actual
trade data from months of live trading. I am now trying to backtest
the strategy used, and match the results to the actual data.
My script, as written, is correctly entering and exiting with the
correct number of shares and correct price points on all the correct
days for all the trades that actually took place.
The problem is that if I receive 20 "go long" signals on Monday
night, but only have enough money to afford 8 more positions, then in
real life I only place limit orders for the *top* 8 of the 20
candidates, not all 20.
This means that in reality, if none of the top 8 dip to my limit
order, then I will not get any fills on Tuesday, even though I still
have not filled my slots, and even though some of the lesser
candidates would have resulted in a fill had I place an order for
them.
However, the script is considering *all* 20 candidates, and fills up
to 8 that dip enough to trigger a limit order. In other words, the
script assumes that there are limit orders on all candidates instead
of only the top 8.
Using position score and position sizing is not enough, since these
assume that the universe of candidates fitting the criteria is always
available for prioritizing and filling available slots. But, in
reality, only a subset are being bid on.
As an example, if I'm currently holding:
AAA, BBB
And I then get signals for (in sorted order):
CCC, DDD, EEE, FFF, GGG, HHH, III, JJJ, KKK, LLL, ... TTT
I will only place limit orders for the top 8:
CCC, DDD, EEE, FFF, GGG, HHH, III, JJJ
If none of the top 8 above reach my limit, but say 8 lesser ones do
(that I did not bid on), then in real life I will get no fills for
the day. However, my script is saying that I picked up the 8 lesser
fills since I had 8 slots open and these 8 met the limit price.
How can I structure my code to recognize that 20 entry setups were
found, but only 8 of them were acted upon, none of which actually
worked out due to not meeting the limit price?
I can't seem to use the custom backtester to sweep through the orders
and null out the false buys that would not have taken place, since I
don't have access to the scores of the candidates that didn't get
filled.
Yet, similarly, I can't seem to prevent triggering the buys in the
first place, since I don't have access to the scores of the other
candidates at that time either.
When there are fewer signals than slots to fill, everything is
great :) But this strategy often results in more signals than there
is money to bid with :(
Thanks.
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> hi,
>
> the way you set it up it shoudl not be possible. However, what can
happen is that the backtester finds exits for the next day and
immediatelly fills them with new positions. So you need to make sure
that you first exit your positions and tell the backtester to enter
only on the next bar. This is usually the problem. There are several
ways to achieve this. Maybe you will get a more satisfactory result
when you set settradedelays(1,1,1,1).
>
> I use setttradedelays(0,0,0,0) but I make sure that the trade is
entered 1 bar after the signal (same with the exits),
>
> Ed
>
>
>
>
> ----- Original Message -----
> From: Michael White
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, August 24, 2007 11:37 AM
> Subject: [amibroker] How do I backtest placing a restricted
number of limit orders each night?
>
>
> Can anyone help me model the following scenario?
>
> - Assume a portfolio is allowed to consist of some fixed number
> of "slots" with equity equally divided among them (e.g. 10 slots
at
> 10% of equity).
> - Check for setup criteria at close of each day.
> - Place next day limit buy orders for as many unfilled slots as
are
> currently available (e.g. if already have 2 fills after day 1,
then
> there are only 10 - 2 = 8 slots remaining for day 2, etc.).
> - Buy orders are prioritized by a calculated value.
>
> My problem is that if I receive a setup for more symbols than I
have
> available slots (e.g. receive 20 setups but only have 8 available
> slots), my script will try to fill all 8 slots from the 20
> candidates, and the portfolio manager will correctly prevent me
from
> having more positions than allowed (e.g. no more than 10).
>
> However, in reality, I will only have placed as many limit orders
as
> I have available slots (e.g. 8 limit orders when 8 available
slots,
> not limit orders for all 20 candidates, since I only have funds
to
> cover placing 8 orders).
>
> What is happening is that my script is filling orders that I
would
> not have placed! I need a way to indicate that despite 20 setups,
> only 8 limit orders were placed.
>
> Following is some script snippets.
>
> /*
> * Assume an initial purse and brokerage fees ($0.01/share)
> */
> SetOption("InitialEquity", 50000);
> SetOption("CommissionMode", 3);
> SetOption("CommissionAmount", 0.01);
>
> /*
> * Carry fixed number of positions, dividing 100% of Equity between
> * them (based on previous bar's closing).
> */
> PositionSize = -100/10; // Each position is 10% of equity
>
> SetOption("MaxOpenPositions", 10); // No more than 10 positions
> SetOption("UsePrevBarEquityForPosSizing", True);
>
> /*
> * We recognize the sale signal at the close of a bar and execute
the
> * sale at the open of the next one, delay sale by 1 day.
> */
> SetTradeDelays(0, 1, 0, 0);
>
> /*
> * Trigger a Buy signal when previous bar meets the setup
> * requirements AND this bar's Low has dropped to less than a fixed
> * percentage below the previous bar's close. This emulates having
> * placed a limit order the night before after having seen the
signal
> * on that day's close.
> */
> setup = ... // Some position entry logic.
> PositionScore = ... // Some prioritization logic.
>
> BuyPrice = Ref(Close, -1) * 0.95;
> Buy = Ref(setup, -1) AND Low <= BuyPrice; // Problem here!!!
>
> Sell = ... // Some sell logic.
>
> As indicated in my earlier comments. The problem is that in
reality I
> will not actually have placed orders for all candidates, but
rather
> only for as many as there are available slots (e.g. 8). However,
the
> script will attempt to fill the available slots based on all
> candidates (e.g. 20).
>
> How can I restrict the Buy assignment to only apply to the top X
of Y
> candidates based on priority (e.g. top 8 of 20 in example above).
>
> Thanks in advance.
>
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