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Thanks
I've implemented example #3 and at first glance everything looked
great - this is the first time I have used AddToComposite so it is
good education.
Perusal of the charts revealed that the # of open trades was in some
instances far greater than the maximum of 6 set in the AFL.
Examination of the Detailed Log, as suggested by Mike, revealed that
there were never more than 6 trades open at one time.
Obviously (I think), the ATC is implemented before
'SetOption("MaxOpenPositions", 6);'
comes into play.
Is there a way to achieve correct numbers in the chart?
Particularly during development phase, it would be really helpful to
have a custom metric for Max Open Positions in the backtest report,
without having to scan 10 years of entries in the Detailed Log.
Graham
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> I think I know what you're getting at - take a look at example #3 on
> this page:
>
> http://www.amibroker.com/guide/a_addtocomposite.html
>
> "In the third example I will show you how to use the same technique
to
> count the number of open positions of your trading system. This is
> useful if you want to know how big account would you need to trade
> your system following all the trades. Our formula will be very
similar
> to the one before."
>
> That might help you out - but in general, I, like you, would love to
> see these added to the application's base reports.
>
> /d/
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Hi,
> >
> > Before running your backtest, click on the Settings button, look
under
> > the Report tab and selected Detailed log.
> >
> > Then, when you run your backtest, you will see all positions held
on a
> > day by day basis. This is also useful when trying to understand
how
> > your PositionScore logic works, as it will indicate which tickers
are
> > under consideration and list which were entered/exited at each
bar.
> >
> > You can find more information about the backtest settings in the
> > online help via:
> >
> > Help menu
> > -Contents tab
> > --Reference Guide
> > ---Analysis Tools
> > ----System test settings window
> >
> > Or from the web here:
> > http://www.amibroker.com/guide/w_settings.html
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Graham Johnson" <grahamj@>
wrote:
> > >
> > > There are 2 things that I would like to achieve
> > >
> > > 1. Backtest Report - maximum no. of open positions for the
backtest.
> > >
> > > 2. Equity Chart - number of open positions for each bar.
> > >
> > > I've searched the docs and this forum but didn't locate
anything.
> > >
> > > Thanks
> > >
> > > Graham
> > >
> >
>
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