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Wow! Thanks Ed.
There's alot of learning in your code. Really appreciate you posting.
I'll send you an update once I digest it all... :-)
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> maybe this code helps also:
>
>
>
http://www.mail-archive.com/amibroker-beta@xxxxxxxxxxxxxxx/msg00262/equalLongShort001.afl
>
>
>
>
>
> ----- Original Message -----
> From: cipherscribe
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, September 24, 2008 9:10 PM
> Subject: [amibroker] Re: Net position sizing.
>
>
> 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@>
> 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
> > > > >
> > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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