|
PureBytes Links
Trading Reference Links
|
Couple of things you can do here. First, to cancel a signal, set the
sig.Price = -1. Secondly, avoid SetForeign inside the CBT signal loop.
Execution will be too slow. Instead, you should compute the liquidity
array outside the CBT and pass it to the CBT in either the PositionSize
array or the PositionScore array. Here is an example passing your
liquidity array in the PositionSize array.
function RestrictTrades(bo)
{
for (i = 0; i < BarCount; i++)
{
for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
{
if (sig.IsEntry())
{
liquidity = sig.PosSize;
if (Liquidity < bo.Equity)
sig.Price = -1; // Cancel this trade because the limit price
will not be reached
else
sig.PosSize = -100; // or whatever position size you want
}
} // signal loop
bo.ProcessTradeSignals(i);
} // bar loop
}
PositionSize = MA(C,5)*MA(V,5)*50;
Buy = ...
SetOption("UseCustomBacktestProc", true);
if (Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
RestrictTrades(bo);
bo.PostProcess();
}
--- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@xxx> wrote:
>
> Hi,
>
> Do you have an idea why the below code does not work? I would
> appreciate any help as I am stucked. I would like to insert the
> condition into the buy condition
> MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C") i.e. if the equity
> grows, the non liquid stocks will be ignored. Obviously, it does not
> work as above so I wanted to use the following custom backtester
> procedure.
>
> Buy=Cross(RSI(),20);
> Sell=Cross(20,RSI());
> SetOption("UseCustomBacktestProc", True );
> if (Status("action") == actionPortfolio) {
> bo = GetBacktesterObject();
> bo.PreProcess();
> for (bar = 0; bar < BarCount; bar++) {
> for (sig = bo.GetFirstSignal(bar); sig; sig =
> bo.GetNextSignal(bar))
> {
> if (sig.IsEntry())
> {
> SetForeign(sig.Symbol);
> Liquidity = MA(C,5)*MA(V,5)*50;
> RestorePriceArrays();
> if (Liquidity[bar] < bo.Equity)
> {
> sig.PosSize = 0;
> }
> }
> }
> bo.ProcessTradeSignals(bar);
> }
> bo.PostProcess();
> }
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" zozuka@ wrote:
> >
> > Thank you, Mike. I managed to solve the trace. I inserted the
> > _TRACE(sig.symbol+" PosSize="+sig.PosSize+" Equity="+bo.Equity+"
> > Type="+sig.type+" reason="+sig.reason+" PosScore="+sig.PosScore);
> > and it outputted the properties, altough I don't know how to trace
> > trade properties since it is a mid-level interface code but I will
> > play with it a bit more.
> >
> > Looking at the trace, I couldn't figure out why your code does not
> > work. It gives the same result whether I paste the code or delete
> it.
> > It doesn't change anything.
> >
> > May I ask you to try the code you mentioned below, just add any
> > buy,sell rules. Does it make any difference for you?
> >
> > Thank you,
> > Zozu
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > > If you haven't already, you will need to add a call to your AFL
> to
> > > indicate that you want your custom backtester code to run:
> > >
> > > SetOption("UseCustomBacktestProc", True );
> > >
> > > For the trace statements, simplify your life first, then build
> from
> > > there. Start with a simple _TRACE("Did this work?"); If you are
> > using
> > > one of the more recent versions of AmiBroker, you can see the
> > output
> > > in the Log window (may need to right click in the log to enable
> > > internal/external output - don't remember which).
> > >
> > > I seem to recall running into issues when trying some formats in
> my
> > > _TRACE output with DebugView. It might have had to start with a
> > hard
> > > coded string rather than the direct result of StrFormat, but I
> > really
> > > don't remember, so don't quote me on that.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > > >
> > > > Thanks, Mike. I copied the code you wrote below and it does not
> > make
> > > > any difference when I insert it or remove it into my system. I
> > also
> > > > wanted to debugview it inserting this line into various places
> in
> > > the
> > > > code and I couldn't get the debugview work.
> > > > _TRACE(StrFormat("Buying " + sig.Symbol + ", price = %1.3f",
> > > > sig.Price));
> > > >
> > > > What's wrong with the code and why the debugview doesn't get
> the
> > > > stuff.
> > > >
> > > > Thanks for you help. I appreciate any comment.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > > > >
> > > > > Documentation for custom backtester can be found here:
> > > > > http://www.amibroker.com/guide/a_custombacktest.html
> > > > >
> > > > > You cannot reference ~~~Equity during the formulation of your
> > > > > Buy/Sell trade rules since the value of ~~~Equity is not
> > > calculated
> > > > > until after the trade rules have been applied (i.e. chicken
> and
> > > egg
> > > > > problem).
> > > > >
> > > > > For the scenario you describe, you could probably do your
> > > > calculation
> > > > > and compare it to bo.Equity. In the sample below, bo.Equity
> is
> > the
> > > > > equity of your account on a bar by bar basis. If you don't
> like
> > > the
> > > > > result, set sig.PosSize property to 0 and the trade will be
> > > skipped.
> > > > >
> > > > > I don't have AmiBroker on this machine, so I cannot verify
> the
> > > > > following syntax, and cannot attest to its efficiency. But,
> the
> > > > idea
> > > > > would be something along the lines of:
> > > > >
> > > > > if (Status("action") == actionPortfolio) {
> > > > > bo = GetBacktesterObject();
> > > > > bo.PreProcess();
> > > > >
> > > > > for (bar = 0; bar < BarCount; bar++) {
> > > > > for (sig = bo.GetFirstSignal(bar); sig; sig =
> > bo.GetNextSignal
> > > > > (bar)) {
> > > > > if (sig.IsEntry()) {
> > > > > SetForeign(sig.Symbol);
> > > > > Liquidity = MA(C,5)*MA(V,5)*50;
> > > > > RestorePriceArrays();
> > > > >
> > > > > if (Liquidity[bar] < bo.Equity) {
> > > > > sig.PosSize = 0;
> > > > > }
> > > > > }
> > > > > }
> > > > >
> > > > > bo.ProcessTradeSignals(bar);
> > > > > }
> > > > >
> > > > > bo.PostProcess();
> > > > > }
> > > > >
> > > > >
> > > > > Mike
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > > > > >
> > > > > > Thanks, Mike. The "Allow position size shrinking" trick
> > > basically
> > > > > > does what I need. Although, I don't understand the 2nd part
> > > about
> > > > > the
> > > > > > custom backtester code. Is there any documentation about
> the
> > > > > advanced
> > > > > > backtest code?
> > > > > >
> > > > > > There is one issue I cannot solve. I would like to have in
> > the
> > > > Buy
> > > > > > condition the following.
> > > > > >
> > > > > > MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C")
> > > > > >
> > > > > > i.e. if the equity grows, the non liquid stocks will be
> > ignored.
> > > > > >
> > > > > > How is it possible code this? The above example does not
> work.
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@>
> wrote:
> > > > > > >
> > > > > > > Hi,
> > > > > > >
> > > > > > > If I understand your scenario correctly. You don't have
> to
> > > > worry
> > > > > > > about it, because AmiBroker will not allow you to place
> an
> > > > order
> > > > > > for
> > > > > > > a value greater than you actually have available in your
> > > > account.
> > > > > > > Just select the "Allow position size shrinking" checkbox
> > from
> > > > the
> > > > > > AA
> > > > > > > settings window, then set your position size based on
> your
> > > > volume
> > > > > > > calculations. AmiBroker will scale down as necessary when
> > your
> > > > > > > calculations exceed your equity.
> > > > > > >
> > > > > > > Otherwise, as explained by Graham, if you are backtesting
> > over
> > > > > more
> > > > > > > than a single symbol, then you can access the equity from
> > > > within
> > > > > > > custom backtester code.
> > > > > > >
> > > > > > > e.g.
> > > > > > >
> > > > > > > SetBacktestMode(backtestRegularRaw);
> > > > > > > SetCustomBacktestProc("");
> > > > > > >
> > > > > > > if (Status("action") == actionPortfolio) {
> > > > > > > bo = GetBacktesterObject();
> > > > > > > bo.PreProcess();
> > > > > > >
> > > > > > > for (bar = 0; bar < BarCount; bar++) {
> > > > > > > for (sig = bo.GetFirstSignal(bar); sig; sig =
> > > > bo.GetNextSignal
> > > > > > > (bar)) {
> > > > > > > ... // Make any adjustment to sig.PosSize that you
> > want
> > > > > using
> > > > > > > bo.Equity in your calculations.
> > > > > > > ... // If you need access to the symbol for Volume,
> > etc.
> > > > > use
> > > > > > > Foreign(sig.Symbol, "V").
> > > > > > > }
> > > > > > >
> > > > > > > bo.ProcessTradeSignals(bar);
> > > > > > > }
> > > > > > >
> > > > > > > bo.PostProcess();
> > > > > > > }
> > > > > > >
> > > > > > > Mike
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@>
> > wrote:
> > > > > > > >
> > > > > > > > I tried this but doesn't work.
> > > > > > > > PositionSize = Min(Foreign("~~~EQUITY", "C"),MA(C,5)*MA
> > > > > (V,5)/50);
> > > > > > > > It is a portfolio backtest.
> > > > > > > > The question remains. How is it possible for the
> > > positionsize
> > > > > to
> > > > > > > > follow the equity AND also limit the positionsize by
> the
> > > > volume?
> > > > > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, Graham
> <kavemanperth@>
> > > > wrote:
> > > > > > > > >
> > > > > > > > > For a portfolio backtest the only place is in the
> > > > > > positionsizing
> > > > > > > as
> > > > > > > > > that is only used during the portfolio backtest pass
> > > > > > > > > If it is a single symbol backtest then you can use
> > > Equity().
> > > > > > > > > If you need to determine trade entries or exits based
> > on
> > > > > > portfolio
> > > > > > > > > equity value then you need to use the advanced
> backtest
> > > > code
> > > > > to
> > > > > > > > change
> > > > > > > > > the trade values.
> > > > > > > > >
> > > > > > > > > --
> > > > > > > > > Cheers
> > > > > > > > > Graham Kav
> > > > > > > > > AFL Writing Service
> > > > > > > > > http://www.aflwriting.com
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > 2008/5/30 zozuzoza <zozuka@>:
> > > > > > > > > > Is there any way to reference the portfolio equity
> > > > > > > > > > Foreign("~~~EQUITY", "C") in the buy formula itself?
> > > > > > > > > >
> > > > > > > > > > I guess that the portfolio equity is available
> after
> > > > > running
> > > > > > the
> > > > > > > > > > backtest so it cannot be referenced in the buy
> > formula
> > > > > itself.
> > > > > > > > > >
> > > > > > > > > > I've checked the AddToComposite stuff but it is not
> > > clear
> > > > > how
> > > > > > > it
> > > > > > > > can
> > > > > > > > > > be done.
> > > > > > > > > >
> > > > > > > > > > Is there a simple solution for this? Thank you.
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > ------------------------------------
> > > > > > > > > >
> > > > > > > > > > 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
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
**** 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:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|