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As many signals will be processed as there is enough cash to open positions.
Also market neutral portfolios are supported directly without custom backtester,
thanks to new feature MaxOpenLong/MaxOpenShort.
See this:
http://www.amibroker.com/devlog/wp-content/uploads/2008/10/readme5190.html
Scroll down the document to this part:
CHANGES FOR VERSION 5.11.0 (as compared to 5.10.1)
Backtester: Implemented SeparateLongShortRank
To enable separate long/short ranking use:
SetOption("SeparateLongShortRank", True );
When separate long/short ranking is enabled, the backtester maintains TWO separate "top-ranked" signal lists, one
for long signals and one for short signals. This ensures that long and short candidates are independently even if position score
is not symetrical (for example when long candidates have very high positive scores while short candidates have only fractional
negative scores).
That contrasts with the default mode where only absolute value of position score matters, therefore one side (long/short) may
completely dominate ranking if score values are asymetrical.
When SeparateLongShortRank is enabled, in the second phase of backtest, two separate ranking lists are interleaved to form final
signal list by
first taking top ranked long, then top ranked short, then 2nd top ranked long, then 2nd top ranked short, then 3rd top ranked long
and 3rd top ranked short, and so on... (as long as signals exist in BOTH long/short lists, if there is no more signals of given
kind, then
remaining signals from either long or short lists are appended)
For example:
Entry signals(score):ESRX=Buy(60.93), GILD=Short(-47.56), CELG=Buy(57.68), MRVL=Short(-10.75), ADBE=Buy(34.75), VRTX=Buy(15.55),
SIRI=Buy(2.79),
As you can see Short signals get interleaved between Long signals even though their absolute values of scores are smaller than
corresponding scores of long signals. Also there were only 2 short signals for that particular bar so, the rest of the list shows
long signals in order of position score
Although this feature can be used independently, it is intended to be used in combination with MaxOpenLong and MaxOpenShort options.
Backtester: MaxOpenLong/MaxOpenShort implemented
MaxOpenLong - limits the number of LONG positions that can be open simultaneously
MaxOpenShort - limits the number of SHORT positions that can be open simultaneously
Example:
SetOption("MaxOpenPositions", 15 );
SetOption("MaxOpenLong", 11 );
SetOption("MaxOpenShort", 7 );
The value of ZERO (default) means NO LIMIT. If both MaxOpenLong and MaxOpenShort are set to zero (
or not defined at all) the backtester works old way - there is only global limit active (MaxOpenPositions) regardless of type of
trade.
Note that these limits are independent from global limit (MaxOpenPositions).
This means that MaxOpenLong + MaxOpenShort may or may not be equal to MaxOpenPositions.
If MaxOpenLong + MaxOpenShort is greater than MaxOpenPositions
then total number of positions allowed will not exceed MaxOpenPositions, and individual long/short limits will apply too.
For example if your system MaxOpenLong is set to 7 and maxOpenShort is set to 7 and MaxOpenPositions is set to 10
and your system generated 20 signals: 9 long (highest ranked) and 11 short, it will open 7 long and 3 shorts.
If MaxOpenLong + MaxOpenShort is smaller than MaxOpenPositions (but greater than zero), the system won't be able to
open more than (MaxOpenLong+MaxOpenShort).
Please also note that MaxOpenLong and MaxOpenShort only cap the number of open positions of given type (long/short).
They do NOT affect the way ranking is made. I.e. by default ranking is performed using ABSOLUTE value of positionscore.
If your position score is NOT symetrical, this may mean that you are not getting desired top-ranked signals from one side.
Therefore, to fully utilise MaxOpenLong and MaxOpenShort in rotational balanced ("market neutral") long/short systems
it is desired to perform SEPARATE ranking for long signals and short signals.
To enable separate long/short ranking use:
SetOption("SeparateLongShortRank", True );
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Steve Davis" <_sdavis@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, October 27, 2008 12:08 PM
Subject: [amibroker] Re: How to get "total net position value" in backtester for market neutral syste
> How will the updated signal scores be processed? Aren't, the signals
> already sorted by score upon entry to the custom backtester?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>>
>> Have a look at the file "AmiBroker Custom Backtester Interface.pdf
>> " posted by gp_sydney in the Files section of this group.
>>
>> Within your own custom backtest code, you can iterate through your
>> open positions on a bar by bar basis. Gather the necessary
>> statistics, then iterate through the signals for that bar and adjust
>> the positon score property as needed.
>>
>> Mike
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "olivier_molongo"
>> <olivier_molongo@> wrote:
>> >
>> > Hello,
>> >
>> > How can I get "total net position value" in backtester?
>> >
>> > My system gives buy and sell signal with positionScore but I would
>> like
>> > to backtest a market neutral system. One idea I have is to adjust
>> > position score to favor long trades when I am net short and short
>> > trades when I am net long.
>> >
>> > But how can I get the net position in AB? which is the sum of
>> position
>> > value of open trades.
>> >
>> > Regards,
>> > Olivier
>> >
>>
>
>
>
> ------------------------------------
>
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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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>
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**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
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:
http://www.amibroker.com/support.html
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