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Thanks Tomasz for helping, I will give it try. More than that thanks
for explaining the code with comments. Learning AB is significantly
more import to me than solving the problem at hand.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> 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 -----
> From: "tipequity" <l3456@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> 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@>
> > 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@>
> >> 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
> >
> >
> >
> >
> >
>
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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