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Hello all,
Needed to test fixed Equity for PositionSize.
This CBT code is what I came up with. Hope it can help someone. Of
course, the code is final and provided as is.
FE
//-------------------------------------------------------------------
//CUSTOM BACTESTER
//Limit Trade positions to a fixed Equity (Initial Equity)
/*Notes:
(1) ScaleIn/Out positionsize not calculated
*/
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
InitEq = bo.InitialEquity();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
//-------------------------------------------------------------------
//handle EXIT signals
for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
{
if (sig.IsExit() && sig.Price != -1 )
{
// Exit Signal
bo.ExitTrade(bar,sig.symbol,sig.Price);
}
}
//update stats after closing trades
bo.UpdateStats(bar, 0);
//-------------------------------------------------------------------
//Handle ENTRY signals
//determine Open Trade Capital BEFORE executing current signals
OpnEq = 0;
EntPosn = 0;
for( Openpos=bo.GetFirstOpenPos(); Openpos;
Openpos=bo.GetNextOpenPos() )
{
OpnEq = OpnEq + OpenPos.GetPositionValue();
EntPosn = EntPosn + OpenPos.GetEntryValue();
}
//calc available capital
AvailCapital = InitEq - EntPosn;
//-------------------------------------------------------------------
//Find the signals and adjust positionsize for available capital
//I think the list is in positionscore rank, highest to lowest
for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
{
if( sig.IsEntry() && sig.Price != -1 )
{
//-------------------------------------------------------------------
//Calculate the dollar value for positionsize
fSize = sig.PosSize;
switch( fSize )
{
//values below -2000 encode share count,
case fSize < -2000:
PosnSize = fSize*sig.Price;
break;
//values between -2000 AND -1000 encode % of current position
//NOT CODED - scaleIn/Out (see note 1)
case fSize < -1000 AND fSize >= -2000:
//PosnSize = int( ??? * abs(fSize) / 100 );
break;
//values between -1000 AND 0 encode % of portfolio FIXED Equity
case fSize < 0 AND fSize >= -1000:
PosnSize = int( InitEq * abs(fSize) / 100 );
break;
//values above 0 encode dollar value
case fSize > 0:
default:
PosnSize = fSize;
break;
}
//------------------------------------------------------------------
//ignore signal if not enough capital for position
if( PosnSize > AvailCapital ) { sig.Price = -1; }
//take the (Long) trade & re-calculate AvailCapital
else
{
bo.EnterTrade( bar, sig.symbol, sig.IsLong(), sig.Price,
sig.PosSize, sig.PosScore );
AvailCapital = AvailCapital - PosnSize;
}
}//if IsEntry
}//for sig
//MAE/MFE is updated when timeinbar is set to 1
bo.UpdateStats(bar, 1);
bo.UpdateStats(bar, 2);
//remove section below if composite not needed
//-------------------------------------------------------------------
//Update Capital in Open Trades for current bar signals
NumTrades[bar] = 0;
OpenEquity[bar] = 0;
EntryPosn[bar] = 0;
for( Openpos=bo.GetFirstOpenPos(); Openpos ;
Openpos=bo.GetNextOpenPos() )
{
NumTrades[bar]++;
OpenEquity[bar] = OpenEquity[bar] + OpenPos.GetPositionValue();
EntryPosn[bar] = EntryPosn[bar] + OpenPos.GetEntryValue();
}
//end of remove section
}//for bar
bo.PostProcess();
//remove section below if composite not needed
//------------------------------------------------------------------
//save info to composite
FlagFixedCapital = atcFlagEnableInPortfolio | atcFlagDefaults;
AddToComposite(NumTrades, "~FixedCapital", "V", FlagFixedCapital);
AddToComposite(OpenEquity, "~FixedCapital", "C", FlagFixedCapital);
AddToComposite(EntryPosn, "~FixedCapital", "O", FlagFixedCapital);
//end of remove section
}//if actionportfolio
//END CBT CODE
/*===========================================================
Settings
===========================================================*/
TimeFrameSet(inDaily);
Capital = Param("Initial Equity",100000,50000,300000,10000);
SetOption("Initialequity", Capital);
SetOption("MaxOpenPositions", 17 );
SetOption("PriceBoundChecking", True );
SetOption("AllowPositionShrinking",False);
SetOption("MinPosValue",5000);
SetOption("CommissionMode",2);//no commission
SetOption("CommissionAmount",0);
SetOption("UsePrevBarEquityForPosSizing",True);
SetOption("HoldMinBars",0);
SetBacktestMode( BacktestRegularRaw); //keeps redundant entry signals
SetTradeDelays(0,0,0,0); //long only; delays=1 in code
//-------------------------------------------------------------------
// your trading system here
fast = 12;//Optimize("fast", 12, 5, 20, 1 );
slow = 26;//Optimize("slow", 26, 10, 25, 1 );
BuySetup = Cross(MACD(fast,slow),Signal(fast,slow));
SellSetup = Cross(Signal(fast,slow),MACD(fast,slow));
/*===========================================================
BUY/SELL (long)
===========================================================*/
dt = 0;
if( Status("Action")==actionBacktest ) { dt = 1; }//delay trade 1 bar
Buy = Ref(BuySetup,-dt);
Sell = Ref(SellSetup,-dt);
BuyPrice = O;
SellPrice = O;
/*===========================================================
POSITIONSIZE
===========================================================*/
SetPositionSize(10000,spsValue);
------------------------------------
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