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RE: [amibroker] Re: Raw signal list in CBT with position score - unfiltered



PureBytes Links

Trading Reference Links

If you're going to "code on the edge" then reading the list of functions in
the help file and the readme file are mandatory. Try SetBacktestMode - see
readme for details.

d 

> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx 
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of redliontrader
> Sent: Friday, August 31, 2007 10:15 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Raw signal list in CBT with position 
> score - unfiltered
> 
> Thanks Ed,
> 
> That is where I am now.  The bo.PreProcess method unfortunately 
> filters out "redundant" buy signals.
> 
> I tried skipping the PreProcess method, but it looks as though some 
> of the other objects are not initialized and I get errors.
> 
> The problem I am trying to work around is that I need the 
> positionscore for the scalein signal.  Scalling in for my systems 
> needs to be sorted with all the other buy signals.
> 
> I am frustratedily chasing my tail here.
> 
> There seems to me to be a fundemental flaw for scaling-in in 
> portfolio testing.  At the trading system level - before the 
> backtester runs, I don't know if the trade is going to actually 
> execute in the backtest (whether it has a high enough priority).  So 
> how can I decide to scaleIn when I don't know that I am in?
> 
> I could handle all this at the low-level of the backtester, but the 
> low level doesn't seem low enough, as it filters out the buy signals.
> 
> maybe I am missing something, but i don't even know where to look.  I 
> have read everything I can on the backtester, knowledge-base, looked 
> at other code.
> 
> signed - stuck
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx> 
> wrote:
> >
> > I think that if you use code like you've show yesterday, using 
> bo.Preprocess you will get all the signals (I think there is a 
> maximum that Amibroker stores, 2*MaxOpenPositons ).
> > 
> > So:
> > 
> > if( Status("action") == actionPortfolio ) {
> > 
> >  bo = GetBacktesterObject(); 
> >  bo.PreProcess(); // Initialize backtester 
> >  
> >  for(bar=0; bar<BarCount; bar++) {
> > 
> >          for ( sig = bo.GetFirstSignal(bar); sig; 
> sig=bo.GetNextSignal(bar)) { 
> >         
> >          }
> >    }
> > bo.PostProcess();
> > }
> > 
> > will walk through all signals per bar up to the limitation set by 
> Amibroker.
> > 
> > If you want want to view the signals after a backtest is done, so 
> only looking at the signals the backtester has chosen I am not sure 
> if that works with in the same way. But you could maybe walk through 
> the trade object which contains. 
> > 
> > rgds, Ed
> > 
> > 
> > 
> >   ----- Original Message ----- 
> >   From: redliontrader 
> >   To: amibroker@xxxxxxxxxxxxxxx 
> >   Sent: Friday, August 31, 2007 2:04 PM
> >   Subject: [amibroker] Raw signal list in CBT with position score - 
> unfiltered
> > 
> > 
> >   Is there a way to get an unfiltered signal list via the custom 
> >   backtester? Currently if I loop through signal list, any buy 
> signals 
> >   for positions already held are removed. I would like to see those 
> buy 
> >   signals.
> > 
> >   I tried using the scalein signal, but the position score isn't 
> passed 
> >   along with a scalein.
> > 
> >   I need the positionscore sorted list for all stock that signal, 
> >   regardless of holding status. Any help?
> > 
> >   rlt
> >
> 
> 
> 
> 
> 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
> 
> 
> 
> 



Please note that this group is for discussion between users only.

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