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.
> > > >
> > >
>
>
>