PureBytes Links
Trading Reference Links
|
Hello Mike,
Thank you for your answer. This makes it a bit clearer. I used a more
primitive method to count signals. I would set max open positions to 2
x of the watchlist content (say 200) and set the N-Bar Stop to 1 bar.
This (I thought) should have given me a max. number of signals.
I tested the AFL you posted with SetOption( "MaxOpenPositions", 200 );
It worked OK, but I can not see PlotForeign line after running it in
backtester. Is there a trick to plot "~Signals" from composite array?
Also if I set N-Bar Stop =1, I get different results. About twice as
many signals with the N-Bar stop set in comparison to "disabled" where
sell signal is given by Sell = Cross( slow, fast );
Regards
Richard
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Note that in the code originally posted, the signal position size
> will be set to a tiny value when there are many many signals. You
> would need to correct for that to be at least some minimum size, with
> the realization that it would imply that some signals would go
> unfilled due to lack of resources.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> >
> > Hi,
> >
> > Your question is actually a bit of a trick question, since AmiBroker
> > will cap the number of signals to be not more than 2 x the maximum
> > permitted open positions (as per your AA settings or in code). To
> get
> > around that, set the max positions to some large number (e.g. 500).
> >
> > That being said, you can count (and even chart) the number of
> signals at
> > each bar. Similarly, you can evenly divide your equity among all
> signals
> > such that all signals will be taken (up to max permitted).
> >
> > Have a look at the following (untested) code for some ideas. Run a
> > backtest against it, then look at the resulting plot to see how many
> > signals are generated at each bar.
> >
> > Mike
> >
> >
> > SetOption( "MaxOpenPositions", 2 );
> >
> > fast = MA( Close, 5 );
> > slow = MA( Close, 25 );
> >
> > Buy = Cross( fast, slow );
> > Sell = Cross( slow, fast );
> >
> > AddToComposite( 0, "~Signals", "X", atcFlagDefaults |
> > atcFlagEnableInPortfolio );
> > PlotForeign( "~Signals", "Signals", colorRed, styleLine );
> >
> > SetCustomBacktestProc( "" );
> >
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > maxPositions = GetOption( "MaxOpenPositions" );
> > signals[0] = 0;
> >
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> >
> > for ( bar = 0; bar < BarCount; bar++ )
> > {
> > count = 0;
> >
> > for ( sig = bo.GetFirstSignal( bar ); sig; sig =
> > bo.GetNextSignal( bar ) )
> > {
> > if ( sig.IsEntry() )
> > {
> > count++; // AmiBroker tracks as many as 2 x
> > maxPositions
> > }
> > }
> >
> > signals[bar] = count; // Preserve signal count for
> charting
> > count = min( count, maxPositions ); // Do not exceed
> > maxPositions
> >
> > if ( count > 0 )
> > {
> > size = -100 / count; // Divide evenly among candidates
> > }
> > else
> > {
> > size = -100; // Prevent divide by zero error.
> > }
> >
> > size = max( size, -5 ); // Max 5% of equity (or whatever
> makes
> > sense to you)
> >
> > for ( sig = bo.GetFirstSignal( bar ); sig; sig =
> > bo.GetNextSignal( bar ) )
> > {
> > if ( sig.IsEntry() )
> > {
> > sig.PosSize = size;
> > }
> > }
> >
> > bo.ProcessTradeSignals( bar );
> > }
> >
> > bo.PostProcess();
> >
> > AddToComposite( signals, "~Signals", "X", atcFlagDefaults |
> > atcFlagEnableInPortfolio );
> > }
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "richpach2" <richpach2@> wrote:
> > >
> > > A portfolio backtester outputs a long list of system metrics but,
> I
> > > was not able to find a metric which describes a value of cash /
> system
> > > utilization. What I mean by that is, do I have enough cash to
> take all
> > > the signals? After all most systems work on the principle that one
> > > must take ALL signals. Not some not a few but ALL. I know I can
> > > control it by positionscore, positionsize and number of open
> positions
> > > as a percentage of portfolio (cash). I want to be able to use my
> cash
> > > in most efficient way by matching a number of signals the system
> > > generates on the portfolio with number of available positions. At
> > > least, I want to know how many signals are generated for the given
> > > period in test and compare it to total number of trades taken
> during
> > > the test period.
> > > I can see that, there are visual (Green bars) on the equity
> display
> > > that show available cash but I can not see anything in the
> backtester
> > > which will measure number of signals compared a number of
> positions.
> > > Portfolio backtester interface reference guide shows that one can
> use
> > > "cash" property in FindSignal and FindOpenPositions but, I do not
> know
> > > how to construct my metric using these methods.
> > > Can someone please comment on this question or point me to the
> > > examples on how to use custom methods in backtester?
> > >
> > > Regards
> > > Richard
> > >
> >
>
------------------------------------
**** 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/
|