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hi Ton,
I'm not sure if I understand what you mean. There are often more
signals then you can use but the backtester is instructed to pick the
best signals using PositionScore. I can exactly perform my backtest in
the real world, excluding the shorts I am not allowed to enter by my
broker. The signals the backtester chooses are not pure luck but
chosen using positionscore. But I guess I do not understand your question,
rgds, Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
<ton.sieverding@xxx> wrote:
>
> Morning Ed,
>
> My problem when using the Backtester and in general a Backtester
based upon portfolio result is the fact that in the real world an
investor will have a portfolio with
> let's day 20 stocks. Therefore when the portfolio has been filled,
all other BUY signals
> will be lost until you've a SELL signal. For this reason when doing
a Backtest
> I always do an Explore analysis of all signals. In general what I
get is something like
> 200 Transactions from the Backtester and 1.000 Transactions from the
Explore analysis.
> What makes things worse, I often get a RAR from the backtest of
let's say 25% with
> 75% of the signals being winners. When looking to the Explore
analysis of all the
> signals I only get something like 35% of winners. Therefore the
result coming from
> the Backtester must be pure luck. The backtester 'randomly' chooses
the signals to
> fill the portfolio. I have no idea how to solve this problem ...
>
> Regards, Ton.
>
>
>
> ----- Original Message -----
> From: Edward Pottasch
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, August 26, 2007 8:45 PM
> Subject: Re: [amibroker] How do I backtest placing a restricted
number of limit orders each night?
>
>
>
> 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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