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Documentation for custom backtester can be found here:
http://www.amibroker.com/guide/a_custombacktest.html
You cannot reference ~~~Equity during the formulation of your
Buy/Sell trade rules since the value of ~~~Equity is not calculated
until after the trade rules have been applied (i.e. chicken and egg
problem).
For the scenario you describe, you could probably do your calculation
and compare it to bo.Equity. In the sample below, bo.Equity is the
equity of your account on a bar by bar basis. If you don't like the
result, set sig.PosSize property to 0 and the trade will be skipped.
I don't have AmiBroker on this machine, so I cannot verify the
following syntax, and cannot attest to its efficiency. But, the idea
would be something along the lines of:
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject();
bo.PreProcess();
for (bar = 0; bar < BarCount; bar++) {
for (sig = bo.GetFirstSignal(bar); sig; sig = bo.GetNextSignal
(bar)) {
if (sig.IsEntry()) {
SetForeign(sig.Symbol);
Liquidity = MA(C,5)*MA(V,5)*50;
RestorePriceArrays();
if (Liquidity[bar] < bo.Equity) {
sig.PosSize = 0;
}
}
}
bo.ProcessTradeSignals(bar);
}
bo.PostProcess();
}
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@xxx> wrote:
>
> Thanks, Mike. The "Allow position size shrinking" trick basically
> does what I need. Although, I don't understand the 2nd part about
the
> custom backtester code. Is there any documentation about the
advanced
> backtest code?
>
> There is one issue I cannot solve. I would like to have in the Buy
> condition the following.
>
> MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C")
>
> i.e. if the equity grows, the non liquid stocks will be ignored.
>
> How is it possible code this? The above example does not work.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Hi,
> >
> > If I understand your scenario correctly. You don't have to worry
> > about it, because AmiBroker will not allow you to place an order
> for
> > a value greater than you actually have available in your account.
> > Just select the "Allow position size shrinking" checkbox from the
> AA
> > settings window, then set your position size based on your volume
> > calculations. AmiBroker will scale down as necessary when your
> > calculations exceed your equity.
> >
> > Otherwise, as explained by Graham, if you are backtesting over
more
> > than a single symbol, then you can access the equity from within
> > custom backtester code.
> >
> > e.g.
> >
> > SetBacktestMode(backtestRegularRaw);
> > SetCustomBacktestProc("");
> >
> > if (Status("action") == actionPortfolio) {
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> >
> > for (bar = 0; bar < BarCount; bar++) {
> > for (sig = bo.GetFirstSignal(bar); sig; sig = bo.GetNextSignal
> > (bar)) {
> > ... // Make any adjustment to sig.PosSize that you want
using
> > bo.Equity in your calculations.
> > ... // If you need access to the symbol for Volume, etc.
use
> > Foreign(sig.Symbol, "V").
> > }
> >
> > bo.ProcessTradeSignals(bar);
> > }
> >
> > bo.PostProcess();
> > }
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > >
> > > I tried this but doesn't work.
> > > PositionSize = Min(Foreign("~~~EQUITY", "C"),MA(C,5)*MA
(V,5)/50);
> > > It is a portfolio backtest.
> > > The question remains. How is it possible for the positionsize
to
> > > follow the equity AND also limit the positionsize by the volume?
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@> wrote:
> > > >
> > > > For a portfolio backtest the only place is in the
> positionsizing
> > as
> > > > that is only used during the portfolio backtest pass
> > > > If it is a single symbol backtest then you can use Equity().
> > > > If you need to determine trade entries or exits based on
> portfolio
> > > > equity value then you need to use the advanced backtest code
to
> > > change
> > > > the trade values.
> > > >
> > > > --
> > > > Cheers
> > > > Graham Kav
> > > > AFL Writing Service
> > > > http://www.aflwriting.com
> > > >
> > > >
> > > >
> > > > 2008/5/30 zozuzoza <zozuka@>:
> > > > > Is there any way to reference the portfolio equity
> > > > > Foreign("~~~EQUITY", "C") in the buy formula itself?
> > > > >
> > > > > I guess that the portfolio equity is available after
running
> the
> > > > > backtest so it cannot be referenced in the buy formula
itself.
> > > > >
> > > > > I've checked the AddToComposite stuff but it is not clear
how
> > it
> > > can
> > > > > be done.
> > > > >
> > > > > Is there a simple solution for this? Thank you.
> > > > >
> > > > >
> > > > > ------------------------------------
> > > > >
> > > > > 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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