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Just thought of something. If we nullify exess siganls by either
setting buy condition to null or sig.symbol() to null, that should
set "Phantom" Positions to null on day1. Now the questions is how to
that!!!
The following depicts the issue. Assume that we are limiting the
number of positions per bar to 4. On bar1 we have six buy signals. on
bar2 we buy the top 4 based on postion scores. As luck would have it
we have buy siganl on LVLT and AMGN on bar2. So we should be buying
them on bar3, but it won't. Only if we could nullify buy siganl on
bar1 for LVLT and Amgen.
SetBacktestMode( backtestRegularRaw )
Bar 1 Bar 2 Bar 3
AAPL Buy (1) Bought Open
MSFT Buy (2) Bought Open
INTC Buy (3) Bought Open
CSCO Buy (4) Bought Open
LVLT Buy (5) Buy (1) should be bought but it does not
AMGN Buy (6) Buy (2) should be bought but it does not
IBM Buy (3) Bought
AMD Buy (4) Bought
Buy means buy signal
Numbers in parenthesis are position scores
--- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@xxx> wrote:
>
> I am having the same problem with both buys and sells. I have
posted
> several messages on this board to no avail. Do you mind posting or
> privately emailing me your CBT code (with all setoptions), if it
does
> not expose your trading system. Maybe, the two of us can solve this
> issue. I have reported the sell problem issue to tech support
(case#
> 43606) and the buy problem (case# 43457). TJ, if you have any
> interest in resolving or clarifying this issue I'll be more than
> happy to call you or provide additional details via email,if
> necessary.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "rdavenportca" <davenport.r@>
> wrote:
> >
> > I am doing portfolio backtesting on a system that has a maximum
> number
> > of open positions set to 30. I use the Custom Backtester Signal
> Object
> > (low level) to only take certain trades on a given day (Day 1).
On
> > that day there may have been other valid trades that I did not
take
> or
> > were not taken because I already had my 30 positions full.
> >
> > The problem I have is that a symbol that was a potential trade on
> Day 1
> > may setup to be a valid trade on Day 2, but I cannot enter it on
> Day 2
> > because Amibroker "thinks" I'm in the trade. On the symbols for
> trades
> > I did not take, I am blocked from taking any future trade in that
> > symbol until the exit has triggered. Remember that I'm not
actual
> in a
> > position on this symbol, thus it is a "phantom" position.
> >
> > My guess is that there is a hanging exit order still in the
system
> for
> > these symbols causing the program to ignore new buys. I've tried
> > setting the sig.Price = -1 and everything else I can think of to
no
> > avail. Any ideas?
> >
>
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