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Thank you Tomasz,
Nobody doubts the flexibility of the CBT, and you show another
example of its power.
I should have been clearer, so allow me to follow up with a question:
can this be done also for ScaleTrades? This relates to specifically
my application: I'm mostly using rebalancing trades, i.e. by applying
your "bo.ScaleTrade"-code in the Knowledge Centre:
http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
How would this work here, since I'm always in the "Open Positions"
loop "only" to correct my holdings/weights, i.e. how can I first
execute all the ScaleOuts (generate cash), and then divide the cash
over the ScaleIns? In a general sense, are there ways to control the
cash flows in a portfolio (preferably at the individual security
level) when one applies ScaleTrades to rebalance weights?
Sorry for taking the original query into this direction.
Thx,
PS
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> Of course you can.
> You can do *everything* you need with CBT. I can not stress it
more.
>
> The order in which trades are executed is the order in which you
call EnterTrade/ExitTrade functions.
> So if you call ExitTrade for TradeA before EnterTrade for TradeB
> it will be excuted EXACTLY in this order (first TradeA will be
exited and cash returned
> to the account and then TradeB will be entered).
>
> So it is very easy and straightforward. Just call
EnterTrade/ExitTrade as you would normally place orders
> and they are executed exactly in that order.
>
> You are NOT limited to perform operations in signal order (signals
are sorted by position score
> entry signals first, but you are NOT limited to execute them in
that order).
>
> Actually this is what default built-in backtester routine does.
> It performs several loops.
> First loop iterates through signals to see if there are any pending
EXITS matching open positions
> and EXITS them. Then It goes through signal list AGAIN and checks
entry signals.
>
> So to answer your question you need to write 2 loops !
>
> for( sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i) )
> {
> // THIS LOOP PROCESSES EXIT SIGNALS
> OpenPos = bo.FindOpenPos( sig.Symbol );
> if( Sig.IsExit() AND OpenPos )
> {
> bo.ExitTrade( i, OpenPos.symbol, sig.Price, 1);
> }
> }
>
> for( sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i) )
> {
> // THIS LOOP PROCESSES ENTRY SIGNALS
> if( sig.IsEntry() )
> {
> bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize,
sig.PosScore, RoundLotSize = 1);
>
> ......
> }
> }
> ////
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "vlanschot" <vlanschot@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, October 08, 2007 9:50 AM
> Subject: [amibroker] Re: Low Level CBT Executing Sales before Buys
>
>
> > TJ may possibly correct me on this (if so, than hopefully with
> > example code), but as far as I know you cannot (if that is your
> > intention) prioritize the sales/shorts to be executed first(in a
> > seperate loop as it were, and thereby generate cash) before you
> > execute the buys/longs.
> >
> > PS
> > --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> >>
> >> Can someone point out a way that the code below would execute
sales
> >> before buys. TIA Cam
> >>
> >> SetBacktestMode( backtestRegularRaw );
> >> SetCustomBacktestProc("");
> >> MaxBuys = 3;
> >> if( Status("action") == actionPortfolio )
> >> {
> >> bo = GetBacktesterObject();
> >> bo.PreProcess();
> >> MaxHoldingPer = 14;
> >> TradeDate = DateTime();
> >> for( i = 0; i < BarCount; i++ )
> >> {
> >> cntBuys = 0;
> >> for( OP = bo.GetFirstOpenPos(); OP; OP =
> >> bo.GetNextOpenPos() )
> >> {
> >> if ( OP.BarsInTrade >= MaxHoldingPer)
> >> bo.ExitTrade( i, OP.Symbol,
> >> OP.GetPrice(i, "C"), 1);
> >> }
> >> for( sig = bo.GetFirstSignal(i); sig; sig =
> >> bo.GetNextSignal(i) )
> >> {
> >> OpenPos = bo.FindOpenPos( sig.Symbol );
> >>
> >> if( Sig.IsExit() AND OpenPos )
> >> {
> >> bo.ExitTrade( i, OpenPos.symbol,
> >> sig.Price, 1);
> >> bo.RawTextOutput(
> >> DateTimeToStr(TradeDate[ i ])+ " Sell "+sig.symbol()+"
> >> Cash "+bo.cash);
> >> }
> >> // look at new signals AND Exclude signals if they
> >> exceed maxBuys
> >> if( sig.IsEntry() )
> >> {
> >> bo.RawTextOutput(
> >> DateTimeToStr(TradeDate[ i ])+ " BuySig "+sig.symbol()+"
> >> Cash "+bo.cash);
> >> if( cntBuys > MaxBuys )
> >> {
> >> bo.RawTextOutput(
> >> DateTimeToStr(TradeDate[ i ])+ " Rejected BuySig "+sig.symbol
> >> ());
> >>
> >> }
> >> else if( IsNull(OpenPos))
> >> {
> >> bo.RawTextOutput(
> >> DateTimeToStr(TradeDate[ i ])+ " Buy "+sig.symbol()+"
> >> Cash "+bo.cash);
> >> cntBuys = cntBuys + 1;
> >> bo.EnterTrade( i, sig.Symbol,
> >> True, sig.Price, sig.PosSize, sig.PosScore, RoundLotSize = 1);
> >> bo.RawTextOutput(
> >> DateTimeToStr(TradeDate[ i ])+ " Buy2 "+sig.symbol()+"
> >> Cash "+bo.cash);
> >> }
> >> }
> >> }
> >> bo.HandleStops(i);
> >> bo.UpdateStats(i,1);
> >> bo.UpdateStats(i,2);
> >> }
> >> bo.PostProcess();
> >> }
> >>
> >
> >
> >
> >
> > 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
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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