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Hello,
It marks that given signal should be ignored.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "tipequity" <l3456@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 18, 2007 5:12 PM
Subject: [amibroker] Re: Eliminating Phantom Positions in CBT
> What does signal.Price = -1 do? What does it test? I saw it in the
> following code by TJ
> http://www.amibroker.com/kb/2006/04/24/using-redundant-signals-for-
> entries/
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "rdavenportca" <davenport.r@xxx>
> wrote:
>>
>> 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@> 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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Please note that this group is for discussion between users only.
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