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Hello,
No, I am not missing anything.
Unless you are have very small "cash" account, all normal margin accounts allow
buying power significantly higher than cash that you have, so it is actually
perfectly possible and realistic to place ALL 20 orders and have filled only 10
with standard 50% margin account.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Mike" <sfclimbers@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, September 04, 2007 7:00 PM
Subject: [amibroker] Re: How do I backtest placing a restricted number of limit orders each night?
> Tomasz,
>
> You are missing the problem.
>
> Yes, setting a limit order is easy. The problem is that in real life
> the broker will *reserve the funds* necessary to fill a limit order
> *at the time that the order is placed*, even if the order is never
> filled. If the limit is not reached, the funds will only become
> available again *after* the close of the bar.
>
> Using portfolio constraints, the sample that you have provided can be
> made to ensure that only 10 orders are *filled*. But, it assumes that
> limit orders were *placed* for all setups. That is not realistic.
>
> So, if I have $50,000, I can only place 10 limit orders of $5,000
> each. If I receive more than 10 setups from the previous bar, then I
> do not have enough funds to place orders for all of them and must
> choose the top 10 of 15.
>
> Since we can only place *some* limit orders, the trading system must
> recognize *which* limit orders were placed, and ignore the rest.
>
> To repeat, if I have only placed limit orders for the top 10 setups,
> then if the limit is not reached for any of those 10, I will have 0
> positions filled. The price action of the remaining 5 is
> irrelevant. I could not afford to place orders on all 15, so my
> system must reflect that any fills of the remaining 5 *were never
> placed* and must be cancelled.
>
> Is there a better way to model this behavior?
>
> Thanks,
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
> wrote:
>>
>> Solution was provided before. It does not require any custom
> backtest code
>> and is actually easy.
>> I repeat:
>>
>> LimitPrice =
>> Buy = your original buy rule
>>
>> SetTradeDelays( 0, 0, 0, 0 ); // we use zero delays but we use Ref
> () to shift buy signal.
>>
>> Buy = Ref( Buy, -1 ) AND Low < LimitPrice; // this handles LIMIT
> order
>> BuyPrice = Min( Open, LimitPrice ); // this ensures limitprice is
> used for entry or the Open price if it is lower than limit
>>
>> SetBacktestMode( backtestRegularRaw ); // this makes sure that
> repeated signals occuring on many bars in sequence are not ignored
>>
>>
>> You don't need to do anything as convoluted as you are apparently
> doing in your formula
>> as the code ABOVE handles placing limit orders (which are only
> executed if
>> price penetrates your desired limit level).
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "Mike" <sfclimbers@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Tuesday, September 04, 2007 9:08 AM
>> Subject: [amibroker] Re: How do I backtest placing a restricted
> number of limit orders each night?
>>
>>
>> > Hi, I am submitting the following code for comment. I believe
> that I
>> > have a generic solution for the "fixed number of conditional
> orders
>> > on next bar" problem.
>> >
>> > Constructive criticism is welcomed. Please feel free to point out
> any
>> > bugs, inefficiencies, suggested enhancements, etc.
>> >
>> > If this is deemed valuable, I can clean up the formatting and add
> it
>> > to the files section.
>> >
>> > Mike
>> >
>> > Problem Statement:
>> > ------------------
>> > Need programatic support for simulating the placement of a fixed
>> > number of prioritized *conditional* orders at the next bar, in
>> > response to one or more favorable "setups" triggered by the
> current
>> > bar, and constrained by the number of positions permitted by the
>> > strategy.
>> >
>> > Example:
>> > --------
>> > Consider a strategy that calls for the placement of limit orders
> at
>> > the next bar after recognizing one or more favorable setups on
> the
>> > current bar. Assume that the strategy allows a maximum of only 10
>> > open positions at any given time, and that the setups are
> prioritized
>> > from most preferred (position 1) to least preferred (position 10).
>> >
>> > If on the first day of the strategy 20 favorable setups were
>> > recognized, then the strategy would call for placing limit orders
> at
>> > the next bar for *only* the top 10 preferred setups (since only
> 10
>> > positions are permitted and we can not know in advance whether
> any or
>> > all of the 10 orders would actually get filled).
>> >
>> > Similarly, if at some point after starting the strategy we found
>> > ourself with 2 currently open positions and received 20 setups,
> we
>> > would place 8 (10 - 2 = 8) limit orders for the top 8 preferred
>> > setups.
>> >
>> > Complications
>> > -------------
>> > 1. Using PositionScore and position sizing is not sufficient
> since
>> > they do not recognize the allocation of funds commited to
>> > *conditional* order placements that do *not* get filled.
> Resulting
>> > code would typically continue to attempt to fill allowable
> position
>> > count despite not having enough funds to cover all possible
> setups.
>> >
>> > 2. Script execution for any given symbol does not have access to
> the
>> > PositionScore of the remaining symbols.
>> >
>> > 3. Custom backtester object does not have access to the
> PositionScore
>> > of any symbol that did *not* result in a generated trade signal
> (i.e.
>> > if a limit order was not met, the custom backtester would not
> have a
>> > signal object for that conditional placement, and thus would not
> have
>> > access to the PositionScore of the unsuccessful order).
>> >
>> > Solution
>> > --------
>> > 1. Generate a "composite" symbol for each allowable position of
> the
>> > strategy (e.g. for a strategy allowing a maximum of 10 open
>> > positions, geneare composites ~Position1, ~Position2, ...,
>> > ~Position10).
>> >
>> > 2. At each bar of each symbol, calculate a PositionScore for any
>> > conditional order based on the recognition of a setup on the
> previous
>> > bar (e.g. PositionScore for a limit order in response to a
> recognized
>> > setup the bar before). Note that this is a PositionScore for the
>> > *conditional* order which *may or may not* have been filled. If
> no
>> > setup was recognized in the previous bar the PositionScore would
> be
>> > zero.
>> >
>> > 3. Insert, in a sorted manner, the calculated PositionScore into
> the
>> > appropriate composite, bumping down in a chain reaction any
> current
>> > composite occupants as needed.
>> >
>> > For example; if the PositionScore for the current symbol at the
>> > current bar was found to be less than the value held by
> ~Position1
>> > for that bar, the comparrison would next be made against
> ~Position2.
>> > If the PositionScore was found to be greater than the value held
> by
>> > ~Position2 for that bar, then the value for that bar of
> ~Position2
>> > would be replaced (bumped) by PositionScore, and the value that
> had
>> > been in ~Position2 would be moved down to ~Position3 for that
> same
>> > bar, bumping down any value held by ~Position3 in a chain
> reaction
>> > until a zero composite value was found (i.e. nothing to bump) or
> all
>> > composites had been updated.
>> >
>> > e.g. given:
>> >
>> > PositionScore[x] is 99 and;
>> >
>> > ~Position1[x] is 100
>> > ~Position2[x] is 50
>> > ~Position3[x] is 49
>> > ~Position4[x] is 0
>> > ...
>> > ~Position10[x] is 0
>> >
>> > Result after insertion would be:
>> >
>> > ~Position1[x] is 100
>> > ~Position2[x] is 99
>> > ~Position3[x] is 50
>> > ~Position4[x] is 49
>> > ~Position5[x] is 0
>> > ...
>> > ~Position10[x] is 0
>> >
>> > 4. Write custom backtester logic to calculate, at each bar, how
> many
>> > open positions exist, and reset to 0 the PosSize of any Signal
> whose
>> > PositionScore is *less* than the PositionScore held by the N-th
>> > composite, where N is calculated as max allowed positions minus
> the
>> > number of currently opened positions (e.g. 10 max positions - 2
> open
>> > positions = composite ~Position8). This emulates not having
> placed
>> > orders for any but the top N preferred setups.
>> >
>> > 5. Leave to the native backtester all other decisions regarding
> enty
>> > into positions and tie-breaking of equal PositionScore.
>> >
>> > Advantages
>> > ----------
>> > 1. Works generically for any conditional strategy, Long or Short*.
>> > 2. Works equally well for scale-in strategies.
>> > 3. Makes no assumptions regarding Buy/Sell rules.
>> > 4. Does not result in any phantom/artificial trades.
>> > 5. Does not generate any phantom/artificial commisions.
>> > 6. Does not depend on any backtester settings "tweaks".
>> > 7. PositionScore data is available at all times for additional
>> > analysis.
>> >
>> > * Backtester logic must be custom fit to your strategy, but
>> > persistence of scores is generic to all.
>> >
>> > Disadvantages
>> > -------------
>> > 1. Slower execution resulting from heavy looping (loops N times
> more
>> > than alternative proposed in msg #113384, where N equals maximum
>> > allowed positions).
>> >
>> > For example; A strategy backtested 3 months over 7800+ symbols
> using
>> > 10 allowed positions on a 1.4Ghz laptop with 1GB RAM takes about
> 10
>> > minutes.
>> >
>> > 2. Code is more complex than alternative proposed in msg #113384.
>> >
>> > -----
>> > ----- Sample code snippets for your review (Long only)
>> > ----- I have left in _TRACE statements to see what's happening
>> > -----
>> >
>> > /*
>> > * Carry fixed number of positions, equally divided.
>> > */
>> > maxPositions = 10;
>> > PositionSize = -100/maxPositions;
>> > SetOption("MaxOpenPositions", maxPositions);
>> >
>> > /*
>> > * Custom backtester implementation to strip out orders that in
>> > * reality would not have been placed due to a limitation of
>> > * available capital to cover bids on all setups.
>> > *
>> > * Note: This implementation assumes Long positions only!
>> > */
>> > SetCustomBacktestProc("");
>> >
>> > if (Status("action") == actionPortfolio) {
>> > bo = GetBacktesterObject();
>> > bo.PreProcess();
>> >
>> > for (bar = 0; bar < BarCount; bar++) {
>> > openCount = 0;
>> >
>> > for (openPos = bo.GetFirstOpenPos();
>> > openPos;
>> > openPos = bo.GetNextOpenPos())
>> > {
>> > openCount++;
>> > }
>> >
>> > minPos = maxPositions - openCount;
>> > posScores = IIF(minPos,
>> > Foreign("~Position" + minPos, "X", 0),
>> > 9999); // Highest possible score!
>> >
>> > for (sig = bo.GetFirstSignal(bar);
>> > sig;
>> > sig = bo.GetNextSignal(bar))
>> > {
>> > if (sig.IsEntry() AND sig.IsLong()) {
>> > if (sig.PosScore < posScores[bar]) {
>> > /*_TRACE(StrFormat("Score %9.4f less than top %1.0f
> scores
>> > of %9.4f at bar %5.0f, cancel signal for ", sig.PosScore, minPos,
>> > posScores[bar], bar) + sig.Symbol);*/
>> >
>> > // Order would not have been placed, cancel it out.
>> > sig.PosSize = 0;
>> > }
>> > }
>> > }
>> >
>> > bo.ProcessTradeSignals(bar);
>> > }
>> >
>> > bo.PostProcess();
>> > }
>> >
>> > /*
>> > * For each bar following entry setup, persist PositionScore into
> an
>> > * ordered list of Foreign symbols such that we may later have
> access
>> > * to the top scores during backtesting, regardless of whether a
>> > * concrete signal for the ranked symbol is actually found. See
>> > * custom backtester method for filtering logic.
>> > *
>> > * For example; a 10 position, limit order strategy currently
> holding
>> > * 2 positions might place limit orders for only the top 8 setups,
>> > * despite recognizing more than 8 candidate setups. This method
>> > * would sort the PositionScore of all candidate setups into 10
>> > * foreign symbols, regardless of whether or not the limit order
> was
>> > * met. The backtester would then compare the PositionScore of all
>> > * filled signals (i.e. all signals of the limit price having been
>> > * met), and cancel out those whose score was less than the top 8
>> > * scores found in the Foreign symbols (i.e. cancel out signals
> for
>> > * those symbols upon which, in reality, a limit order would never
>> > * actually have been placed).
>> > *
>> > * Note: This implementation leaves the responsibility of tie-
>> > * breaking to the backtester, when multiple symbols have the same
>> > * PositionScore for a limited number of available positions. The
>> > * symbol selected by the backtester may not be the one for which
> an
>> > * order was actually placed in real life. But, the symbol
> selected
>> > * is guaranteed to at least have an equivalent PositionScore. Use
>> > * unique PosittionScore values, or trade in real life using the
> same
>> > * tie-breaking logic that AmiBroker uses :)
>> > *
>> > * Note: This implementation assumes that PositionScore will be
>> > * either zero, for bars not recognized as following order
> placement
>> > * criteria (i.e. no setup from previous bar), or a non zero
> positive
>> > * number, for bars where order placement criteria has been met. To
>> > * reiterate, this refers to order *placement* criteria (i.e.
> setup),
>> > * not order *fulfillment*.
>> > */
>> > procedure persistScores(scores) {
>> > local maxPositions; // Max positions allowed in portfolio
>> > local empty; // Array of zeros
>> > local bar; // Loop variable
>> > local score; // PositionScore of bar-th bar
>> > local pos; // Loop variable
>> > local composite; // Name of pos-th composite
>> > local posScores; // Scores persisted to composite
>> > local delta; // Delta between PositionScore and composite
>> > local affected; // Flag whether any deltas were added
>> >
>> > maxPositions = GetOption("MaxOpenPositions");
>> > empty = Cum(0);
>> >
>> > for (pos = 1; pos <= maxPositions; pos++) {
>> > /*_TRACE("Persist " + Name() + " to position " + pos);*/
>> > composite = "~Position" + pos;
>> > AddToComposite(0, composite, "X", 1 + 2 + 4 + 8); //
> Initialize
>> > posScores = Foreign(composite, "X", 0); // Do not fill holes!
>> > delta = empty;
>> > affected = false;
>> >
>> > for (bar = 0; bar < BarCount; bar++) {
>> > if (scores[bar]) {
>> > score = scores[bar];
>> >
>> > if (score > posScores[bar]) {
>> > /*_TRACE(StrFormat("Score %9.4f bumps down position %
> 1.0f
>> > score of %9.4f at bar %5.0f", score, pos, posScores[bar], bar));*/
>> >
>> > // Grab current best value and hold for next composite
>> > // iteratation, and calculate delta needed to add to
>> > // this composite in order to make it equal new high
> score
>> >
>> > scores[bar] = posScores[bar];
>> > delta[bar] = score - posScores[bar];
>> > affected = true;
>> > }
>> > /*else if (posScores[bar]) _TRACE(StrFormat("Score %9.4f
>> > blocked by position %1.0f score of %9.4f at bar %5.0f", score,
> pos,
>> > posScores[bar], bar));*/
>> > }
>> > }
>> >
>> > if (affected) {
>> > AddToComposite(delta, composite, "X", 1 + 2 + 4 + 8);
>> > }
>> > }
>> >
>> > /*_TRACE("\n");*/
>> > }
>> >
>> > setup = ... // Some setup recognition logic
>> > Buy = Ref(setup, -1) AND ... // Some conditional entry logic
>> > PositionScore = IIF(Ref(setup, -1), ..., 0); // Some score logic
> or 0
>> > Sell = ... // Some Sell logic
>> >
>> > persistScores(PositionScore);
>> >
>> > /*
>> > * Example of 5% dip limit conditional entry:
>> > * BuyPrice = min(Open, (Ref(Close, -1) * 0.95));
>> > * Buy = Ref(setup, -1) AND Low <= BuyPrice;
>> > */
>> >
>> > ------
>> > ------ End code snippets
>> > ------
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "ed2000nl" <empottasch@> wrote:
>> >>
>> >> i'll try to reply directly from yahoo. My posts aren't coming
>> > through
>> >> anymore. Might be because of the ISP ...
>> >>
>> >>
>> >> so if I understand correctly the problem is not that the
> backtester
>> >> picks 20 stocks while there is only money for 10 but you have a
>> > problem
>> >> with the fact that if the 10 actual signals are not filled it
> will
>> > use
>> >> the lower ranking 10 signals and this is not what you want.
> You
>> > can
>> >> include this in the backtester. I explained the same thing some
>> > time
>> >> ago. For signals that you actually want to enter but in real
> life
>> > will
>> >> not be entered because the limit is not reached then you can
> tell
>> > the
>> >> backtester to enter at the open and exit at the open and do not
>> > allow
>> >> for a single bar trade (in the settings window). There might
> be
>> >> easier ways to do this (I mean using arrays only) but I have
> some
>> >> example code below. I did not check if the code is entirely
> correct
>> > but
>> >> I'll explain the idea: The Buy array is fed to the sellAtLimit
>> > procedure
>> >> and when it finds a buy it will check if the buy limit is
> reached
>> > for
>> >> that signal. If it is not reached (so if Low[ i ] >= buyLimit[
>> > i ] )
>> >> then you tell the backtester to enter and exit at the same
> price,
>> > same
>> >> bar. What happens is that the backtester reserves this money
> for
>> > this
>> >> trade and will not use it for another trade. The only thing
> that
>> > is not
>> >> realistic is that you will pay commission. But this will be a
> small
>> >> factor. rgds, Ed procedure
>> >> sellAtLimit_proc(Buy,BuyPrice,buyLimit,sellLimit) {
>> >>
>> >> global Sell;
>> >> global SellPrice;
>> >> global BuyAdjusted;
>> >> global BuyPriceAdjusted;
>> >>
>> >>
>> >> // initialise arrays
>> >> SellPrice = 0;
>> >> Sell = 0;
>> >> BuyAdjusted = 0;
>> >> BuyPriceAdjusted = 0;
>> >>
>> >> for (i = 1; i < BarCount; i++) {
>> >>
>> >>
>> >> // case where it is likely to enter a long position
>> >> if (Buy[ i ] == 1 AND Low[ i ] < buyLimit[ i ]) {
>> >>
>> >>
>> >> // buy at limit
>> >> BuyAdjusted[ i ] = 1;
>> >>
>> >> if (Open[ i ] < buyLimit[ i ]) {
>> >>
>> >>
>> >> BuyPriceAdjusted[ i ] = Open[ i ];
>> >>
>> >> } else {
>> >>
>> >> BuyPriceAdjusted[ i ] = buyLimit[ i ];
>> >>
>> >> }
>> >>
>> >>
>> >> // find a sell position + sellprice
>> >> for (j = i; j < BarCount; j++) {
>> >>
>> >> if (O[ j ] > sellLimit[ j ]) {
>> >>
>> >> Sell[ j ] = 1;
>> >> SellPrice[ j ] = O[ j ];
>> >> i = j;
>> >> break;
>> >>
>> >> } else if (O[ j ] < sellLimit[ j ] AND H[ j ] >
> sellLimit
>> > [ j
>> >> ]) {
>> >>
>> >> Sell[ j ] = 1;
>> >> SellPrice[ j ] = sellLimit[ j ];
>> >> i = j;
>> >> break;
>> >>
>> >> } else if (j == BarCount - 1) {
>> >>
>> >> i = BarCount;
>> >>
>> >> }
>> >>
>> >>
>> >>
>> >>
>> >>
>> >> }
>> >>
>> >> } else if (Buy[ i ] == 1 AND Low[ i ] >= buyLimit[ i ]) {
>> >>
>> >> // enter and exit at the same price and time ("VOID"
> trade)
>> >> BuyAdjusted[ i ] = 1;
>> >> BuyPriceAdjusted[ i ] = Open[ i ];
>> >>
>> >> Sell[ i ] = 1;
>> >> SellPrice[ i ] = Open[ i ];
>> >>
>> >>
>> >> }
>> >>
>> >> }
>> >>
>> >>
>> >> } // end procedure
>> >>
>> >>
>> >> --- 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.
>> >> > >
>> >> >
>> >>
>> >
>> >
>> >
>> >
>> > 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.
>
> 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.
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:
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For other support material please check also:
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