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[amibroker] Re: Are multiple trades per signal possible via the CBT?



PureBytes Links

Trading Reference Links

AmiBroker help has an outline of the custom backtester interface, and
there's a file in the files section here called "AmiBroker Custom
Backtester Interface.pdf" that goes through it in more detail with
some examples.

Regards,
GP

--- In amibroker@xxxxxxxxxxxxxxx, "trustdnb" <trustdnb@xxx> wrote:
>
> Basically all it means I want to short something that provides an
> appropriate hedge to the market risk of my longs.  For the system I am
> working on know it probably means shorting an equal dollar amount of
> "QQQQ".  
> 
> Is there a User Guide to the Custom Backtester?  Or can you point me
> to some code that is remotely similar?
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@> wrote:
> >
> > Yes, I think you should be able to do this with the low-level
> > interface, although I'm not sure exactly what you mean by "short the
> > market".
> > 
> > Regards,
> > GP
> > 
> > 
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "trustdnb" <trustdnb@> wrote:
> > >
> > > Is it possible to generate multiple trades per signal using the
custom
> > > backtester?  I am working on a long only system that is sensitive to
> > > the direction the broad market and want to see how the system
performs
> > > while hedging market risk.  
> > > 
> > > Logically, what I want to happen is that when the system receives a
> > > buy signal it simultaneously (1) enters a long trade on the
stock and
> > > (2) shorts an equal dollar amount the market.  Upon exiting the long
> > > trade (via sell signal or via stop loss), the system will
> > > simultaneously cover the market short.  
> > > 
> > > The "normal" mode wont allow you to generate trades on two different
> > > systems at the same time, but can this be done via the CBT?  If this
> > > sort of thing can be done, it could also be useful for pair trading
> > > strategies.  Is there any example code around that might be helpful?
> > >
> >
>




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