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Thanks Thomasz and Ara,
I am using the "backtestRegularRawMulti" option, which gives me
multiple signals.
Thanks for the hint to direct my attentions toward the custom
backtester. I shall look into it and hopefully code what I am looking for.
Cheers,
Adrian
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> By default you can NOT have both LONG and SHORT pos on the same
symbol open at the same time.
>
> The only way to have it is to use low-level custom backtester.
> http://www.amibroker.com/guide/a_custombacktest.html
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "cipherscribe" <adrian.mollenhorst@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, September 24, 2008 5:17 PM
> 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.
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