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[amibroker] Re: I'm having a hard time explaining this



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Tomasz,

I'm already doing that. That was not the problem. I've provided a 
concrete example in message #114489 which is a continuation of my 
original message (#114449). Ed has offered a proposal that looks very 
promising, in message #114494.

I will continue working against Ed's suggestion. If you have a moment 
to review Ed's suggestion (#114494), and let us know if there is a 
cleaner approach, that would be appreciated. This might interest you 
as an enhancement request for the product.

Thanks,

Mike
 
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> 
wrote:
>
> You should simply include LIMIT order in actual trading rules:
> 
> LimitPrice = ... your limitprice
> 
> Buy = YourOriginalBuyRule AND Low <= LimitPrice;
> BuyPrice = Min( Open, LimitPrice );
> 
> Then you will simply have signals for symbols that actually 
> get filled because BOTH your condition and price limit have been 
met.
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message ----- 
> From: "sfclimbers" <sfclimbers@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, August 27, 2007 10:50 AM
> Subject: [amibroker] Re: I'm having a hard time explaining this
> 
> 
> > Thanks for your reply. I will defer further discussion on this to 
my 
> > main thread #114449. Except to say that the CBI doesn't seem to 
be 
> > enough either, since there will not be any signals for the 
symbols 
> > upon which I did place a limit order, but which did not result in 
a 
> > fill (due to adverse price action). The end result is that I do 
not 
> > seem to have the scores of the other candidates with which to 
make 
> > the comparrison and zero out the "false" fills, as expanded upon 
in 
> > the above thread.
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@> 
> > wrote:
> >>
> >> I'm not entirely sure I understand what you are trying to do, 
but I
> >> think the custom backtester interface will let you do it. In the 
CBI
> >> you can scan all available signals before the trades are made and
> >> change parameters for them, including setting the position size 
to
> >> zero so that they'll never be taken.
> >> 
> >> Since you're trying to rank signals across multiple stocks, and
> >> discard some after a certain number have been selected, I'm not 
sure
> >> you'll be able to do it in normal AFL code alone as that code 
only
> >> relates to a single symbol at a time.
> >> 
> >> Regards,
> >> GP
> >> 
> >> 
> >> --- In amibroker@xxxxxxxxxxxxxxx, "sfclimbers" <sfclimbers@> 
wrote:
> >> >
> >> > ts,
> >> > 
> >> > Did you ever get an answer to this question? I believe that 
I've 
> > run 
> >> > into the same issue as posted in #114449 
> >> 
> >> 
> >> > http://finance.groups.yahoo.com/group/amibroker/message/114449 
> > which 
> >> > might present the case a little more clearly. I would have 
> > thought 
> >> > that this would be a common request.
> >> > 
> >> > Thanks
> >> > 
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "techsmart" <mric@> wrote:
> >> > >
> >> > > 
> >> > > Maybe someone here can help.
> >> > > 
> >> > > PositionScore alone will not do what I want.
> >> > > 
> >> > > The day before trade entry I scan for POTENTIAL entries.  I 
get 
> > up 
> >> > to 
> >> > > 40 or 50 signals.  On the next day I use a limit order a 
> > certain 
> >> > > percentage below the prior day close as an entry.  However, 
I 
> > do 
> >> > not 
> >> > > want to end up with too many buys, so I rank the potential 
> > entries 
> >> > by 
> >> > > ROC(C,40) and take the top 'x'(usually about 5 to 10) number 
of 
> >> > > signals and enter them as limit orders.  This way I can be 
sure 
> > to 
> >> > > not overextend my equity.  Of those limit orders I can have 
> >> > anywhere 
> >> > > from 0 to all filled.
> >> > > 
> >> > > I have the system worked out in the AB backtester except 
that 
> >> > > PositionScore and MaxPositions does not accurately simulate 
> > what 
> >> > > really happens.  Using these filters, will result in the 
system 
> >> > > taking the 'x' number of entries with the highest ROC 
amongst 
> > all 
> >> > > those that got hit.  This is not reality, but based on the 
EOD 
> > data 
> >> > > on the day of entry.
> >> > > 
> >> > > What I need is to have the backtester take all the signals 
and 
> > then 
> >> > > RANK them by ROC(C,40) and then take the top 'x' (say 5 or 
10) 
> > and 
> >> > > use those as the basket to trade the next day.  Of those 'x' 
> > number 
> >> > > of signals, anywhere from 0 to x may be entered, but this 
will 
> > be a 
> >> > > realistic backtest...just as I trade the system.
> >> > > 
> >> > > Below is an exchange with AB support.  I have not made clear 
> > what I 
> >> > > am trying to do, but maybe it will help explain it.
> >> > > 
> >> > > In sum:  I want to rank all signals by some filter factor 
and 
> > then 
> >> > > take the top 'x' number to use as potential buys the next 
day, 
> >> > > discarding all those that fall below a certain RANK.  Hard 
> > cutoffs 
> >> > > will not give me a specific number of signals.  For 
instance, 
> > if I 
> >> > > used ROC(C,40) > 20, some days I would get no signals and 
other 
> >> > days 
> >> > > I might get 30.
> >> > > 
> >> > > Anyone know how this might be done?
> >> > > 
> >> > > I think the 'for' loop might do, but not sure.
> >> > > 
> >> > > ts
> >> > > 
> >> > > ---------------------------
> >> > > Marcin,
> >> > > 
> >> > > I did not make myself clear.
> >> > > 
> >> > > If you have signals the day before and a group of possible 
> > entries 
> >> > > that are 
> >> > > entered intraday THE NEXT DAY with a limit order, using 
> >> > PositionScore 
> >> > > and 
> >> > > MaxPositions does not simulate reality.  Using that method, 
the 
> >> > > backtester 
> >> > > will take the top x number of trades based on PositionScore, 
> > but in 
> >> > > reality 
> >> > > you would have no idea which trades would hit their limit 
order 
> >> > > first, so 
> >> > > would not know until EOD which of the PositionScore ranked 
> > trades 
> >> > you 
> >> > > would 
> >> > > take.
> >> > > 
> >> > > SO... the point is...
> >> > > 
> >> > > I need a method to rank all the potential signals on the day 
> > PRIOR 
> >> > to 
> >> > > entry. 
> >> > > Then take x number of them (say 10) and only use those as 
> > entries 
> >> > on 
> >> > > the 
> >> > > next day.
> >> > > 
> >> > > Can I do this:  Take a list of symbols that pass a 
filter.... 
> > say 
> >> > > perhaps 40 
> >> > > symbols, then rank them by some factor, such as ROC(C,40), 
then 
> > use 
> >> > > only the 
> >> > > top 10 (for example) as potential trades the next day.  Of 
> > those 
> >> > 10, 
> >> > > only 
> >> > > the ones that hit a certain limit order would be bought.
> >> > > 
> >> > > I need a way to rank and filter the signals from the day 
before 
> > and 
> >> > > then 
> >> > > strip off those below a certain rank.  PositionScore does 
this 
> >> > after 
> >> > > the 
> >> > > fact...EOD on the entry day and this is not the way the 
system 
> >> > really 
> >> > > works.
> >> > > 
> >> > > Hope I am expressing myself clearly.  I know it is confusing.
> >> > > 
> >> > > 
> >> > > 
> >> > > Subject: Re: [#16654] Ranking signals for possible entry the 
> > day 
> >> > > before
> >> > > 
> >> > > 
> >> > > > Helo,
> >> > > >
> >> > > > You can use PositionScore variable in your formula and 
define 
> > the 
> >> > > criteria
> >> > > > you use.
> >> > > > (and combine it with the Maximum open positions limit)
> >> > > >
> >> > > > See:
> >> > > > http://www.amibroker.com/guide/h_portfolio.html
> >> > > >
> >> > > >
> >> > > > Best regards
> >> > > >
> >> > > > Marcin Gorzynski
> >> > > > Amibroker.com Technical Support
> >> > > >
> >> > > > Subject: [#16654] Ranking signals for possible entry the 
day 
> >> > before
> >> > > >
> >> > > >
> >> > > > First let me say that Amibroker is a wonderful tool for 
> > system 
> >> > > development
> >> > > > and backtesting.  I've used many others and find that 
> > Amibroker 
> >> > has 
> >> > > all 
> >> > > > the
> >> > > > capabilities I've been looking for.  I've already given 
you a 
> >> > > favorable
> >> > > > review on the Elite Trader message board and will continue 
to 
> >> > > recommend 
> >> > > > your
> >> > > > software to others.  It's very capable and FAST!  Thanks!
> >> > > >
> >> > > >
> >> > > > V. 4.65.2
> >> > > >
> >> > > > My question:
> >> > > >
> >> > > > My system finds potential signals on the day before 
entry.  
> > There 
> >> > > may be
> >> > > > anywhere from 0 to 50 potential signals on any one day.
> >> > > >
> >> > > > Entries are made the NEXT day on a limit order.  So, I 
cannot 
> > be 
> >> > > sure how
> >> > > > many of those limit orders will be hit.  I can simply 
limit 
> > the 
> >> > > number of
> >> > > > orders I submit, but this does not seem to be a very good 
way 
> > to 
> >> > > backtest
> >> > > > and does not simulate what I do in reality.  In testing I 
> > have 
> >> > > found that
> >> > > > filtering on certain parameters can improve results (such 
as 
> >> > taking 
> >> > > those
> >> > > > signals for stocks with the greatest 40 day ROC).  I can 
test 
> >> > this 
> >> > > in the
> >> > > > backtester with the portfolio option using positionscore, 
but 
> >> > this 
> >> > > is
> >> > > > unrealistic, because there might have been 20 limit orders 
> > hit 
> >> > > intraday 
> >> > > > and
> >> > > > the backtester will take the 2 (or whatever 
MaxOpenPositions 
> >> > number 
> >> > > I have
> >> > > > specified) with the best ROC, something I would not have 
been 
> >> > able 
> >> > > to
> >> > > > predict intraday when limit orders are getting hit at 
various 
> >> > > different
> >> > > > times.
> >> > > >
> >> > > > What I would like to do is this:  On the day before entry 
> > (the 
> >> > > signal 
> >> > > > day),
> >> > > > I would like to be able to rank all the possible signals 
by 
> > some 
> >> > > factor,
> >> > > > such as 40 day ROC.  This still leaves some uncertainty 
about 
> > how 
> >> > > many
> >> > > > actual entries you'll get, but it would prevent the 
> > backtester 
> >> > from 
> >> > > doing
> >> > > > something that couldn't be done in reality and would put 
an 
> > upper 
> >> > > limit on
> >> > > > the number of trades taken.
> >> > > >
> >> > > > So...to summarize:
> >> > > >
> >> > > > Can the backtester take all the potential signals on day -
1 
> > and 
> >> > > rank them
> >> > > > according to some factor (say, ROC(C,40)) and then just 
use a 
> >> > > limited 
> >> > > > subset
> >> > > > of all the signals to use as actual limit orders on the 
next 
> >> > day.  
> >> > > Hard
> >> > > > cut-offs, like ROC(C,40) > 20, don't work because that can 
> > give 
> >> > you 
> >> > > many
> >> > > > signals one day and none the next.  What is needed is a 
> > relative 
> >> > > ranking 
> >> > > > or
> >> > > > scoring, so that the backtester will only take, for 
example, 
> > the 
> >> > 5 
> >> > > stocks
> >> > > > with the highest ROC40, all the others being discarded.
> >> > > >
> >> > > > I think the 'for loop' may be the way to do this, but I'm 
not 
> >> > > skilled 
> >> > > > enough
> >> > > > to be able to sort it out.
> >> > > >
> >> > > > Thanks very much for your help and for a great trading 
tool.
> >> > > >
> >> > > 
> >> > > >
> >> > > >
> >> > >
> >> >
> >>
> > 
> > 
> > 
> > 
> > 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
> > 
> > 
> > 
> > 
> >
>




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For other support material please check also:
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