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Tomasz, did you try the code below. Beside couple of spelling error
which I fixed, I get other error messages. When I fix them I don't
get the intended results. The buy can sell conditions can be any
generic conditions such as
Buy = Close>0;
Sell = Close > Ref(Close, -1);
Regards
Kam
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> 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@xxx>
> 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@>
> > 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@>
> >> 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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