again Emails not getting through, $%@&$@# Belgacom ...
I
wrote:
maybe I am missing some deeper thought on portfolio type systems
and
backtesting but my system performs as I would expect in the
practice
so I assume I understand how it works.
You say: "You just
do not know which signal will be used by the
Backtester." This could be
true if you allow your EOD system to add
stocks using intraday signals.
However in my case I calculate my
signal for today using yesterdays EOD
data. Then you know exactly what
you need to do and it makes no sense to
analyse the other signals
because you don't use them in the practice.
So to create a backtest that can exactly be performed in the
practice
(excluding slippage and stocks that are not allowed to short) I
use:
settradedelays(0,0,0,0);
and then define my signals
as:
Buy = ref(Buy,-1);
Short = ref(Short,-1);
also my
cover and sell signals are delayed by one bar but for the
exits you can
also allow for an intraday exit at a target price.
If you like I can
give you an example system that exactly calculates
what you need to do the
next day,
rgds, Ed
--- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
<ton.sieverding@...> wrote:
>
>
That's correct. But using rotational trading will give me a
completely
different approach. I want to Backtest trading rules on
portfolio level.
See if these rules give me in a real world
environment with let's say 20
stocks in portfolio a profitable system
yes or no. For me the only way to
find out if these rules are
profitable is using the Explore function and
exporting the result to a
spreadsheet for further analysis. Only then you
will get all the
signals. And in most cases the result I get is different
than the one
from the Backtester. Simply because of the portfolio
constraint. The
Backtester is only using a small part of all created
signals. And I
have the feeling that the occurrence of these signals have a
random
character. You just do not know which signal will be used by
the
Backtester. But your right, with rotational trading you will get
a
systematic rebalancing of the portfolio ...
>
> Now my
problem is that I just do not know if I am missing something
in the
Backtester approach or that I am just trying to do something
that by
definition is impossible ...
>
> Regards, Ton.
>
>
> ----- Original Message -----
> From: vlanschot
> To: amibroker@xxxxxxxxxps.com
> Sent: Wednesday, August 29, 2007 11:35 AM
> Subject:
[amibroker] Re: How do I backtest placing a restricted
number of limit
orders each night?
>
>
> Hi Ton,
>
> Perhaps
looking at the rotational trading version can help to clarify
> things
(I hope).
>
> In line with your argument, new signals have no
effect UNLESS some
> condition is met which rebalances the portfolio.
This is easiest
> perceived in rotational mode, since it forces the
portfolio
> to "rebalance" at each bar. I hope we can agree that one
has to have
> some conviction as to the explanatory power for excess
returns of
> the "factors" (or think "indicators") which are used
to define the
> condition. In other words, any score on a factor
(momentum,
> valuation, etc.) implies its relative expected return,
i.e. a higher
> score is preferable. If we agree on that then, based on
your
> condition, unless an existing holding meets this condition (i.e.
has
> the minimum score) it is replaced by another security (assuming
at
> least one meets this condition). In case of the condition being
met,
> any new signals are legitimately "superfluous" in that they are
not
> better signals. Otherwise our previous agreement falls apart. The
> only way, in my view, in which new (or rather confirming) signals are
> put into practise in the portfolio is by adding/deducting to the
> weights of existing holdings (particularly if you're judged against a
> benchmark) which is where scalein/out comes in.
>
> Now,
first, any rotational system can (often more flexibly) be
> implemented
via ordinary BSSC-rules. Second, I do agree that there
> are
limitations to backtesters, even AB's CBT. The main one
> is "custom
cash management": the inability to allocate cash from
> individual
sells (which should be completed first) to individual
> buys. An
extension of this is the inability to use cash from shorts
> to enter
additional longs, i.e. create 130/30 portfolios (although TJ
> has
promised to look into this functionality).
>
> May be too
much OT, but hope it helps.
>
> PS
> --- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
> <ton.sieverding@> wrote:
>
>
> > Thanks Mike. I know all this. Please read my answers to Ed
and you
> will find the real problem I have with the Backtester and
whatever
> Backtester. Because it has nothing to do with the AB
Backtester. It's
> just the portfolio constraint that every investor in
the real world
> has creating mentioned problem. I just don't know how
to solve it ...
> >
> > Regards, Ton.
> >
>
> ----- Original Message -----
> > From: sfclimbers
> >
To: amibroker@xxxxxxxxxps.com
> > Sent: Tuesday, August 28, 2007 9:19 PM
> > Subject:
[amibroker] Re: How do I backtest placing a restricted
> number of
limit orders each night?
> >
> >
> > Ton,
>
>
> > Once your portfolio is full, yes, PositionScore will have
no
> effect
> > until a slot becomes available after a
Sell.
> >
> > However, a PositionScore is only good for the
life of the bar
> (single
> > day when using EOD data). So if
it can not be acted upon *in that
> > bar*, then it is worthless
from that point on. The markets will
> have
> > changed by
the next bar and the score will no longer apply.
> >
> >
Once one or more slots become open (after a Sell), then the
> *current*
> > PositionScore(s) will be considered, and the best will be
used to
> > fill the open slot(s). So no, the process is not random.
The
> > *current* PositionScore is used to fill any open slots of a
> > portfolio. "Expired" PositionScore(s) are of no
use.
> >
> > If you have a restriction in your strategy
that prevent entering
> > multiple positions for a single symbol
(i.e. prvents "scale-in",
> > which is the default case), then
entering a position for that
> symbol
> > will be rejected,
even if it has the highest PositionScore. But
> that
> > is
based on your strategy, not luck.
> >
> > The next highest
will be evaluated until one is found that can be
> > traded in
accordance with the rules of your strategy. The process
> is
>
> predictable.
> >
> > Hope that helps,
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
> > <ton.sieverding@> wrote:
>
> >
> > > As far as I understand Ed and assuming EOD
trading,
> PositionScore
> > is selecting the best signals
coming from the same day. So when
> at
> > Day1 there are 10
different signals where only one is needed then
> > PositionScore is
selecting the 'best' signal. But what if the
> next
> > day
all stocks in portfolio are filled and the system generates
> >
another 10 signals? They are lost ... until the system gives a
> SELL.
> > Therefore the next BUY is based upon the next SELL. Put the 500
> > stocks of the SP500 in a WatchList, take whatever AFL rules for
> the
> > BUY and the SELL and a portfolio with say max. 10
stocks. Do a
> > Backtest and what you see is that only a small part
of the
> signals
> > were used to fill the portfolio. Simply
because you have this
> > portfolio constraint. If all signals would
give you the same
> > Winner/Looser characteristics than there
should be no problem.
> But
> > that's not true. Therefore
the portfolio filling proces for me
> has a
> > random
character and the result is based upon luck ... Unless I
> am
>
> missing something ... And that's my question.
> > >
>
> > Regards, Ton.
> > >
> > >
> >
> ----- Original Message -----
> > > From: ed2000nl
>
> > To: amibroker@xxxxxxxxxps.com
> > > Sent: Monday, August 27, 2007 12:58 PM
> > >
Subject: [amibroker] Re: How do I backtest placing a restricted
> >
number of limit orders each night?
> > >
> > >
> > > 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@xxxxxxxxxps.com,
"Ton Sieverding"
> > > <ton.sieverding@> 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@xxxxxxxxxps.com
> > > > 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@xxxxxxxxxps.com
> > > > 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.
> > > >
> > >
>
>
>