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Ron,
Thank you for your reply.
Conceptually, that is exactly what I want to do. However, I do not
see how this can be done in practice, since that would require full
information of the PositionScore of all other candidates.
There are two problems:
1) At the time of evaluating any given symbol (e.g. DDD), we have no
idea what the PositionScore is for any other symbol (e.g. AAA, BBB,
CCC, ...) and thus are unable to determine whether our score is in
the top X of Y candidates, and thus cannot determine whether we
should zero out our score.
2) Even if we had access to the other scores, we would not have
access to the scores of the symbols that had not yet been evaluated
by our script (e.g. if the script has not yet been run on EEE,
FFF, ..., their scores would not yet be available).
Problem #2 suggests that we use the custom backtester, at which point
we know that all symbols have been processed. However, that still
leaves problem #1, in that by the time we reach the backtester, we
would not have access to the PositionScore of any limit order that
did *not* get filled, and thus still cannot determine whether the
score of an order that *did* get filled was in the top X of Y
candidates.
A proposal has been put forth in message #114494 in response to my
initial post. The proposal has some issues regarding phantom
brokerage fees, but shows promise. I am evaluating it further with
the rest of my strategy.
In paralell, I am evaluating trying to persist the top X position
scores in X composite symbols (e.g. "POS1", "POS2", etc.) that would
then be accessible to the backtester as Foreign symbols. This would
give me the much coveted complete information of top candidate
PostionScores, regardless of whether or not the top candidates
actually resulted in a fill. However, the code to compare the
position score of the current symbol against, and possibly replace,
the running top scores, is complicated.
If you, or anyone else, have any further insights on how to work
around the two problems above, I would very much appreciate hearing
them.
Thanks,
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> Michael,
>
> When you get 20 "go long" signals but only have cash for 8
positions,
> then set the PositionScore = 0 for #9 thru #20. That way, the ones
> lower than #8 will not be bought and #1 thru #8 will only be bought
> if their Limit Order is satisfied.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sfclimbers" <sfclimbers@> wrote:
> >
> > 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@>
> > 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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