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Seems like one closing brace was missing
ApplyStop( stopTypeNBar, stopModeBars, 15 ); // exit after 15 days
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) )
{
// 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@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, October 19, 2007 1:55 AM
Subject: [amibroker] Re: Eliminating Phantom Positions in CBT
> 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
>
> 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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