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Thanks Graham,
A follow-up question if I may.
Indeed, in my CBT-loops, I first execute the exits, and keep track of
the number of exits. Based on this, and after bo.UpdateStats, I've
added the following:
(FYI: Cash = bo.Cash Eq = bo.Equity)
if (bar>1) NewPosSize = Nz((Kas[bar]/numExits)/Eq[bar],
MaxOpenPos/100);
else NewPosSize = MaxOpenPos/100 ;
LongPS = ShortPS = -NewPosSize*100;
I then run through my entry signals.
In other words, I assume the CBT re-calculates the cash amount after
exits, which I subsequently divide evenly over the potential new
positions.
However, for some reason I end up with less than 50 positions (my
MaxOpenPos) at the end of the backtest. Whereas if I "delete" the
above code, I do end up with 50 positions, but then with too much
cash occassionally. Iow, the system generates enough valid signals to
fill any exits.
Any clarification appreciated, although I realize I'm not giving you
much detail.
PS
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> In advanced backtest code you exit the trades, update the values,
then
> enter signals with amended posSize
>
> --
> Cheers
> Graham Kav
> AFL Writing Service
> http://www.aflwriting.com
>
>
> On 01/02/2008, vlanschot <vlanschot@xxx> wrote:
> > Perhaps somebody has a straightforward way to solve the
following, or
> > point out the error in my interpretation of AFL/CBT:
> >
> > My system keeps a constant number of 50 positions, based on a
ranking
> > (although I do not use rotational trading.) At the start the
> > positions are equally weighted, i.e. PositionSize is defined as
2%.
> > As time moves on, some do very well, and reach, say, a weight of
3%
> > of equity. When the exit signal arrives, these positions are
replaced
> > by new ones, but now back to the 2% of equity as defined in
> > PositionSize.
> >
> > The resulting problem is that at times I find I have too much cash
> > left. Now, I know that I can rebalance open positions (by scaling
> > in/out, for example via TJ's code
> > http://www.amibroker.com/kb/2006/03/06/re-balancing-open-
positions/).
> > However, apart from the extra costs involved, I have found that
there
> > is no way to determine/access the amount of cash BEFORE
> > entering/rebalancing the new positions. In other words, bo.Cash
gives
> > you the amount of cash "at the end of the bar". You can, of
course,
> > use the amount of cash of the previous bar, but you keep lagging
the
> > actual trades.
> >
> > In short, I would like to force the backtester to always make the
> > system fully invested (except for round lots, etc.) It would be
> > great, for example, if there would be an option to automatically
> > assign the amount of cash which becomes available from the first
> > exited trade to the first new trade, etc. In my system this is
very
> > applicable, as I always have other trades to replace the exited
one.
> >
> > Any thoughts/suggestions welcome. If none, I'll forward this to
> > support.
> >
> > Thx.
> >
> > PS
> >
> >
> >
> > 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.
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