[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Net position sizing.



PureBytes Links

Trading Reference Links

How do you identify a short signal in the preprocess? I see only the
following signal object methods:

Methods:

    * bool IsEntry()

      True if this is entry signal, False otherwise

    * bool IsExit()

      True if this is exit signal, False otherwise

    * bool IsLong()

      True if this is long entry (buy) or long exit (sell) or scale-in
signal, False otherwise

    * bool IsScale()

      True if this is scale-in or scale-out signal, False otherwise 

Is there a IsShort() method?

Cheers,

Adrian

--- In amibroker@xxxxxxxxxxxxxxx, "cipherscribe"
<adrian.mollenhorst@xxx> wrote:
>
> 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@> 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@>
> > 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.

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/