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Hi,
Sorry that I missed your earlier post. The code, as you have
puplished it below, is canceling signals for me. Are you saying that
it is not canceling *any* signals for you, or that it is not
canceling *expected* signals for you? I ran it on NYSE stocks for
calendar year 1997.
One thing to be aware of is that your formula is depending on the
value for Volume. Some data providers truncate their volume numbers
by dividing by 10, 100, or 1000 such that the values will not be too
large.
Similarly, you may have configured your database to divide volume by
a constant.
Mike
--- 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
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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