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Hello,
The first step to success is to describe the goal, not the
step you are locked on.
This is I belive the very first time when you actually
described the goal.
Once this is establish the rest is easy.
ApplyStop( stopTypeNBar, stopModeBars, 15 );
// exit after 15 days
SetBacktestMode( backtestRegularRaw );
SetCustomBacktestProc("");
Buy = ...
Sell = ...
MaxBuys = 3;
if(
Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( i =
0; i < BarCount; i++ )
{
cntBuys =
0;
// look at new
signals AND Exclude signals if they exceed maxBuys
for(
sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i) )
{
// this
handles limiting of number of order per day
CanEnter = False;
if( sig.IsEntry() AND CntBus <= MaxBuys )
{
if( ! bo.FindOpenPos( sig.Symbol ) )
{
CanEnter
= True;
CntBuys++;
}
}
// this
handles allowing exits only if position is at least 2 bars
old
CanExit = False;
if( sig.IsExit() )
{
if( pos = FindOpenPos( sig.Symbol ) )
{
CanExit = pos.BarsInTrade > 2;
}
}
// if can
not enter/exit - mark price = -1 - means ignore signal
if( ! CanEnter AND ! CanExit ) sig.Price =
-1;
bo.ProcessTradeSignals( i );
}
bo.PostProcess();
}
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Friday, October 19, 2007 12:26 AM
Subject: [amibroker] Re: Eliminating Phantom Positions in
CBT
> Tomasz, GP
>
>
I have no desire to use low level. I am perfectly happy to use the
>
regular backtester. I am trying to port my trading system to AB. What
> I
need to achieve is as follows which I could not do in regular
>
backtester (assuming a long only EOD system).
>
> 1. limit the
number buys to 4 per day(bar)
> 2. Positions are sold if we have held them
for at least 2 bars from
> the date of entry (not from the date of last
buy signal), if we have
> sell signal.
> 3. Force sell positions
after 15 days from the date of entry (not
> from the date of last buy
signal).
>
> Now I have done this very easily in AIQ &
WealthLab. I can drop AB
> and go back to those other software packages.
AIQ does not have the
> openness of AB and WL is too slow. I have been
struggling with the
> above for the last three month. I've asked the tech
support and
> people on this board to no avail.
>
> Below is
code kindly provided by Edward Pottasch and modified by me
> to limit the
number position to 4. However, then I face the problem
> that I have
documented previously. I think I see why it produces the
> problem.
Because when the max buys per day limit is met it sets the
> position
size to zero and it does not nullify the buy signal. So the
> system
keeps buy signal as a buy with zero value.
>
> I sometimes I think
Tomasz enjoys to see new users suffer(LOL, TIC).
>
>
SetBacktestMode( backtestRegularRaw );
> SetCustomBacktestProc("");
> MaxBuys = 3;
> if( Status("action") == actionPortfolio )
>
{
> bo = GetBacktesterObject();
>
bo.PreProcess();
> for( i = 0; i < BarCount; i++ )
> {
> cntBuys = 0;
>
> // look at new signals
AND Exclude signals if they exceed
> maxBuys
> for( sig =
bo.GetFirstSignal(i); sig; sig =
> bo.GetNextSignal(i) )
> {
> OpenPos = bo.FindOpenPos( sig.Symbol );
> // check for entry
signal and long signal
>
if( sig.IsEntry() )
> {
> if( cntBuys > MaxBuys )
>
{
>
sig.PosSize = 0;
> }
> else
if( IsNull(OpenPos))
> {
>
cntBuys = cntBuys + 1;
> }
> }
>
> }
>
bo.ProcessTradeSignals( i );
> }
>
bo.PostProcess();
> }
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<groups@xxx>
> wrote:
>>
>> Exactly. In low-level
mode AmiBroker does NOT enter/exit ANY trades
>> unless you tell it to
do so by calling EnterTrade/ExitTrade.
>> Entire signal processing is
upto the user.
>>
>> Beginners should rather avoid using
custom backtester esp. low-
> level mode unless
>> they are
programmers and know exactly what they are doing.
>> Even then it is
advised to use _TRACE command to log all your
>> conditions and
function calls into DebugView window.
>>
>> Custom backtester
low-level is for *advanced* programmers only
>> who have experience in
debugging their own formulas.
>>
>> Best regards,
>>
Tomasz Janeczko
>> amibroker.com
>> ----- Original Message
-----
>> From: "gp_sydney" <gp.investment@xxx>
>> To:
<amibroker@xxxxxxxxxxxxxxx>
>> Sent:
Thursday, October 18, 2007 11:22 PM
>> Subject: [amibroker] Re:
Eliminating Phantom Positions in CBT
>>
>>
>> >
If you're using the low-level CBT, then you're entering and
>
exiting
>> > trades yourself, so I don't see how there can be
"phantom" trades
> that
>> > you don't know
about.
>> >
>> > Maybe the issue is with your Buy and
Sell arrays. If you get a buy
>> > signal on one bar but don't take
it, it won't still show up as a
>> > signal on the next bar unless
you specifically do something to
> make it
>> > so. So if
you're only using the Signal object to choose buys, any
> you
>>
> ignore at one bar won't still be there at the next bar unless the
>
Buy
>> > array happens to have True values at both bars.
>>
>
>> > Or are you perhaps removing redundant signals with
ExRem?
>> >
>> > Regards,
>> >
GP
>> >
>> >
>> > --- 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
>> >
>> >
>> >
>> >
>> >
>>
>
>
>
>
> 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:
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>
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>
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>
>
>
__._,_.___
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
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