[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Eliminating Phantom Positions in CBT



PureBytes Links

Trading Reference Links

Thanks Edward for your response. I have read & re-read the 
setbacktestmode options several times. Unless I am missing something, 
my take on what SetBacktestMode( backtestRegularRaw )means is that it 
would use redundant signal one time to make a buy. Subsequent to that 
buy not pyramiding or scaling in is allowed. So if my understanding 
is correct then in the following table on bar2 the buy signal for 
LVLT and AMGN are the redundant signals that should be allowed by 
SetBacktestMode( backtestRegularRaw ), but they get ignored because 
we had buy signals for them on bar1. That is why I think either I am 
missing the point or there is a bug.

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, "Edward Pottasch" <empottasch@xxx> 
wrote:
>
> did you look at 
> 
> SetBacktestMode( backtestRegularRaw ); 
> SetBacktestMode( backtestRegularRawMulti ); here an example:
> 
> http://www.mail-archive.com/amibroker@xxxxxxxxxxxxxxx/msg17297.html
> 
> or
> 
> http://finance.groups.yahoo.com/group/amibroker/message/112781
> 
> you may use redundant signals
> 
> rgds, ed
> 
> 
>   ----- Original Message ----- 
>   From: tipequity 
>   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@> 
>   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?
>   > > > >
>   > > >
>   > >
>   >
>




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

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/