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OMG! I think I did it! The following code limits the net position on a
single instrument in raw backtest mode to 3. So if you had two long
positions open, you could up to 5 shorts. If anyone sees a problem
with the code, let me know.
It became clearer when I read up a bit more (RTFM!), and got to
understand what openpos describes as opposed to signal.
Turns out this tells me I am better off (marginally) taking as many
positions as I can - not much more in CAR, but slightly better CAR/MDD
Adrian
_SECTION_BEGIN("Maximum position");
// Maximum position
//-----------------------------
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio ) {
bo = GetBacktesterObject();
bo.PreProcess();
for( i = 0; i < BarCount; i++ ) {
cnt = 0;
for( Openpos = bo.GetFirstopenpos(); Openpos; Openpos =
bo.GetNextopenpos() ) {
if( Openpos.Islong() ) {
Cnt = Cnt+1;
}
else if (!Openpos.Islong()) {
Cnt = Cnt-1;
}
for( sig = bo.GetFirstSignal(i); sig; sig =
bo.GetNextSignal(i) ) {
if( cnt < -2 OR Cnt >2) {
if( sig.IsEntry() ) {
sig.PosSize = 0;
}
}
}
}
bo.ProcessTradeSignals( i );
}
bo.PostProcess();
}
//-----------------------------
_SECTION_END();
--- In amibroker@xxxxxxxxxxxxxxx, "cipherscribe"
<adrian.mollenhorst@xxx> wrote:
>
> Man,
>
> This stuff has done my head in. I can't get it to work, but realise
> it's not going to be a two liner.
>
> Are there any other resources on the custom backtester, other than
> those two links, or the "Houston2.pdf" that goes into more detail and
> examples?
>
> Adrian
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@>
> wrote:
> >
> > yeah well the code shows the idea ... can't garantee that the code
> as it is posted works as it is intended :) But I was able to use
> similar code to construct a balanced system (same number of long and
> short positions at all times) so maybe you find parts of the code
useful,
> >
> > rgds, Ed
> >
> >
> >
> >
> >
> > ----- Original Message -----
> > From: cipherscribe
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, September 24, 2008 9:59 PM
> > Subject: [amibroker] Re: Net position sizing.
> >
> >
> > 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@>
> > 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
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
Please note that this group is for discussion between users only.
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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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