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Richard,
If you display the code in a chart, it should plot the signals for
the period backtested (e.g. 1/1/07 - 12/31/07). It is working for me.
Do you have a chart open on the code? Did you run the backtest at
least once over a period?
As for number of signals using N-bar stop vs. cross; That's comparing
apples to oranges. I believe that if you are holding a position,
there will be no further signals generated in later days until the
position is liquidated (unless using backtester mode to allow
multiple signals per symbol). As such, I believe that it would be
false to expect the same number of signals from the two different
systems. The portfolio contents would be completely different.
Basically, you should substitute your own trading strategy in place
of the cross provided, then see what the signals look like for your
strategy (as opposed to some arbitrary strategy).
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "richpach2" <richpach2@xxx> wrote:
>
> 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@> 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
> > > >
> > >
> >
>
------------------------------------
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