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Hi,
Sorry, I missed the charting side of the question. Building on the
replies so far, perhaps the following is what you're after.
This will include a custom metric in your backtesting report (Max
Count) giving the highest number of open positions at any single bar.
It will also produce a composite ticker (named ~MaxCount) which you
can chart to see the number of open positions on a bar by bar basis.
The Buy/Sell/Short/Cover is just for proof of concept.
SetOption("MaxOpenPositions", 6);
SetBacktestMode(backtestRegularRaw);
SetCustomBacktestProc("");
counts = Cum(0);
largestCount = 0;
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject();
bo.PreProcess();
for (bar = 0; bar < BarCount; bar++) {
bo.ProcessTradeSignals(bar);
count = 0;
for (pos = bo.getFirstOpenPos(); pos; pos =
bo.getNextOpenPos()) {
count++;
_TRACE("Count: " + count);
}
counts[bar] = count;
if (count > largestCount) {
largestCount = count;
}
}
bo.PostProcess();
bo.addCustomMetric("Max Count", largestCount);
AddToComposite(counts, "~MaxCount", "X", atcFlagDefaults |
atcFlagEnableInBacktest | atcFlagEnableInPortfolio);
}
Buy = Cross(MA(Close, 30), MA(Close, 100));
Sell = Cross(MA(Close, 100), MA(Close, 30));
Short = Sell;
Cover = Buy;
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Graham Johnson" <grahamj@xxx>
wrote:
>
> 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@> 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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