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I've tried everything I can think of to "null" the phantom
positions. I'm working with the low level CBT such that I can
execute trades manually. I can keep track of which symbols should be
reset. I've tried setting signal.Price = -1 (both entry signals and
exit signals), signal.PosSize = 0, and using bo.ExitTrade(i,
sig.symbol, sig.Price) to try to exit the phantom positions. None of
these work.
BTW. The problem you describe is exactly what I'm seeing.
--- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@xxx> wrote:
>
> 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@> 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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