|
PureBytes Links
Trading Reference Links
|
You can do this with the Custom Backtester...
When you get a short signal while ho;ding a long position, convert it to a
SELL and cancel the short. If you have No long position , then and get a
short signal, then take the short.
There is something bothersome about your signals though... It seems that you
should be getting a SELL signal before you get a SHORT signal ...
----- Original Message -----
From: "cipherscribe" <adrian.mollenhorst@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, September 24, 2008 8:17 AM
Subject: [amibroker] Net position sizing.
>I trade the ES Futures contract mechanically, and I want my to be able
> to backtest my system such that it has a maximum net position at any
> one time of abs(x) positions.
>
> I can set the option to limit the number of Maximum Open Positions,
> but this doesn't help me when I am trading only 1 instrument.
>
> For example (Note I am using the backtest mode
> "backtestRegularRawMulti", so I take every raw signal my equity allows
> me.), the system can issue a buy, which will make me long. If the
> system issues a short, while I'm long, it will send a short order,
> which will make me effectively flat.
>
> This will count as 2 open orders in the backtester, but in reality, I
> have no positions open, and could take another abs(x) in either
> direction before I hit my maximum limit of open positions (x).
>
> So if I had 2 longs open, I could accept up to 5 shorts, if my maximum
> open position(x) was abs(3).
>
> This is different from exiting a position when a signal in the
> opposing direction is triggerred, as in "ReverseSignalForcesExit",
> since that option cancels the existing order. I need both to remain
> open, remembered, and exited at my sell/cover trigger, not the
> opposing short/buy signal.
>
> What I need is for Amibroker to tabulate both long and short positions
> distinctly, to count longs as positive, shorts as negatively, and to
> be able to set a maximum net position.
>
> I can do this in reality with no problems - send orders to IB based on
> a maximum net position, but I'd like to be able to do it in
> backtester, so I can validate the system.
>
> Any Ideas?
>
>
> ------------------------------------
>
> 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.
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|