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I spoke with the helpdesk at belgacom and the man said they are busy
in Belgium replacing the entire infrastructure using glas fiber. He
said that it would take 2 years to complete the operation .... But
indeed I am now in an area of low population so it could take longer.
To my information the cable provider in my area is www.teledisnet.be
According to their site in my area it is not possible to receive
internet via cable.
I was having stability problems as well here with my current internet.
They increased the stability by decreasing the speed even more :) I
am now getting max speed of about 1.8 mbps (paying for 4 mbps).
Hooking up 3 computers makes it even slower. Maybe I go and rent a
room in Amsterdam :)
rgds, Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
<ton.sieverding@xxx> wrote:
>
> BTW Ed, I am from Amsterdam and moved about 40 years ago to Belgium.
So I know these Belgians by now. I love the country but sometimes have
the feeling to live in the middle of Africa. As I said, it's the line
provider Alcatel that should have replaced these old lines and should
have added extra centrals in order to let Skynet, Scarlet and all the
other 'High Sheed ADSL Boys' give what they are promising us. And
frankly in the Walonie this probably will happen long after the point
that Belgium no longer exists. You will not have these problems when
using coax cable like Telenet has. This is a completely different
technique. Check if there is a coax provider in your neighborhood ...
>
> Regards, Ton.
>
> ----- Original Message -----
> From: Edward Pottasch
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, August 30, 2007 10:44 AM
> Subject: Re: [amibroker] Re: How do I backtest placing a
restricted number of limit orders each night?
>
>
>
> ok Ton, probably I do not entirely understand the problem. I just
moved to an area in Belgium where I am at a distance of 5.6 km of the
ADSL "centrale". So my connection is just hopeless .... Should have
checked this beforehand. This distance causes that the speed is only
about 1/2 of what they promise. Also I just found out that they only
offer a transfer volume of 12GB per month. Nowhere in the
advertisement this was mentioned. In The Netherlands this contraint
has been removed a long time ago so I didn't even bother checking
this. So if I exceed 12 GB per month my internet speed will drop to 64
kbps, what a joke. On top of that I have a 1 year contract ... better
look for a dayjob again because when my orders come through the stock
market has probably closed already.
>
> rgds, Ed
>
>
>
>
> ----- Original Message -----
> From: Ton Sieverding
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, August 30, 2007 10:20 AM
> Subject: Re: [amibroker] Re: How do I backtest placing a
restricted number of limit orders each night?
>
>
>
> Yes Skynet is a PITA. But as you know they are not the only one
in Belgium giving email problems. Anyway I see we have some
misunderstanding about my 'You dont know which signal will be used by
the Backtester'. No I am not talking about Intraday signals and am of
course using with EOD prices, the yesterday's signal. An yes I
therefore also use the settradedelays(0,0,0,0) Backtester setting. So
that is not my problem. The problem is that due to the portfolio
constraint the Backtester only takes a small part of the 'based upon
my rules' available signals. It's more or less the same as with the
Exrem() command. Only there I know what's happening. With the
Backtester not ...
>
> I am getting more and more the feeling that I am trying to solve
something that by definition can't be solved. So I will do some extra
testing to find out if there is some clou that explains everything or
let the thing what it is. Thanks anyway for following up ...
>
> Regards, Ton.
>
> ----- Original Message -----
> From: ed2000nl
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, August 30, 2007 9:25 AM
> Subject: [amibroker] Re: How do I backtest placing a
restricted number of limit orders each night?
>
>
> 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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx
> > 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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx
> > > 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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx
> > > > 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@xxxxxxxxxxxxxxx, "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@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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