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Mike,
I have a chart open and run the backtester for the period of 1/1/07 -
12/31/07 and I do not see a red line plot on the open chart. I get an
entry for ~Signals under Symbols tab list which, opens a series of
dash lines but not a red line on the open chart.
Regards
Richard
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@> 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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