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Thanks Mike
Just what I was after.
I look forward to the day when I can be a contributor to this forum,
and not just a user. Peer group forums are absolutely invaluable in
IT!
Thanks again
Graham
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@>
> 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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