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Tomasz,
1. Margin does not solve the problem, it just delays it. As soon as
you get one too many setups you hit the same problem again. Also, for
aggressive strategies using full margin, margin will already have
been accounted for when placing the first 10 orders of my example.
2. When using a cash account you are not "DONE". Your code will
accept the top ten *SIGNALS*. The problem is that the trader can not
afford to place all the *ORDERS*. Your system will accept signals for
orders that were *NEVER PLACED*.
To make this as simple as possible:
Monday day:
- Have $5,000 available cash
- Receive entry setup for AA, BB, CC
- PositionScore for AA > BB > CC
Monday night:
- Place Tuesday limit order for $5,000 AA (since highest score)
- Have $0 available cash (broker immediately *reserved* $5,000 for AA)
- Can *not* afford to place limit order for BB, CC
Tuesday day:
- Limit order for AA *not* met
- Limit for BB *would* have been met, but order was *not* placed
- Limit for CC *would* have been met, but order was *not* placed
Tuesday night (YOUR CODE):
- Holding $5,000 of BB <--- Wrong!
- $0 available cash <--- Wrong!
Tuesday night (REAL LIFE):
- No holdings <--- Correct
- $5,000 available cash <--- Correct
In your code, I would be filled for $5,000 of BB which *I never
placed an order for*. Your code correctly determined that there was
only room to buy 1 position (e.g. did not also buy CC), but it used
funds that were *not available*. All funds were already used up by
the limit order placed for AA, so the signal for BB was impossible.
In my code, the signals for BB and CC would be cancelled since their
PositionScores are *less* than the top PositionScore (AA) and I only
had room to place 1 order, regardless of the fact that AA was never
filled. The system now correctly shows that there was no *valid*
signal for BB and CC.
If you have a cleaner way to model this behavior, I would very much
like to use it.
Thanks,
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> In addition to the fact that if you are using MARGIN account this
is not a problem to place
> 15 orders because they will all be within your buying power
(including margin),
> there is one more thing:
> if you are using cash account that does not allow buying power >
cash
> the problem you are describing is non-existing. Just define
> SetOption("MaxOpenPositions", 10 )
> and you are DONE. The code will accept only TEN TOP entry signals
and nothing more.
> (And instead of "exploration", you should use "Add artificial
future bar" in the settings and run BACKTEST
> with TOMMORROWS date to find out signals for tommorrow).
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Mike" <sfclimbers@xxx>
> 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@>
> > 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@>
> >> 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.
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SUPPORT {at} amibroker.com
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