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Thanks Ed.
I love that exclamation mark!
I am using the following code, but it's not eliminating the trades
above the param number. I tried using the default backtest mode
(removed the "backtestRegularRawMulti" statement), and ran the code
with a watchlist of symbols, but I still get more trades processed
than that in my param field.
Any clues here on why this code may not be working?
One clue is when I set the parameter to zero, it works - no long
trades are executed. But any number other than zero, and it processes
them all in the backtest.
_SECTION_BEGIN("Maximum buys");
// Maximum buys in a period
//-----------------------------
SetCustomBacktestProc("");
Num = Param("MaxBuys",4,0,9,1);
MaxBuys = Num;
if( Status("action") == actionPortfolio ) {
bo = GetBacktesterObject();
bo.PreProcess();
for( i = 0; i < BarCount; i++ ) {
cntBuys = 0;
for( sig= bo.GetFirstsignal(i); sig; sig = bo.GetNextsignal(i) ) {
if( sig.Islong() ) {
if( CntBuys > MaxBuys - 1 ) {
sig.possize= 0;
} else {
cntBuys++;
}
}
}
bo.ProcessTradeSignals( i );
}
bo.PostProcess();
}
//-----------------------------
_SECTION_END();
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> if you are for instance looping through the trades like:
>
> for( trade = bo.GetFirstTrade(); trade ; trade = bo.GetNextTrade() ) {
>
> then you can check: if (!trade.IsLong)
>
> rgds,Ed
>
>
>
>
> ----- Original Message -----
> From: cipherscribe
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, September 24, 2008 8:33 PM
> Subject: [amibroker] Re: Net position sizing.
>
>
> 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@> 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.
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SUPPORT {at} amibroker.com
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