[amibroker] Re: How to get "total net position value" in backtester for market neutral syste

["Mike" <sfclimbers@xxxxxxxxx>]

You can change the signal information before calling 
ProcessTradeSignals (e.g. set position size to zero to cancel the 
signal, change the position score to alter the rank - I haven't tried 
that one yet though).

Otherwise, perhaps Tomasz's answer will serve your needs.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "Steve Davis" <_sdavis@xxx> wrote:
>
> 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@> 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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