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Mike,
Don't worry. I know is not your code or instructions. I will work it
out. I must be doing something different. Thanks again for your help.
I have a better understanding on how to manage or interpret backtester
signals.
Regards
Richard
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Richard,
>
> I don't know what to tell you. It works for me on both my paid
> AmiBroker installation using a paid data provider (on one machine),
> and on the trial version of AmiBroker 5.20 rc1 using the default
> database (on another machine).
>
> Try this:
>
> Copy to clipboard the code that I posted.
> Create a new blank chart in AmiBroker.
> Drag drop Price onto the chart.
> Right click on the chart and select edit formula.
> Select the entire formula (Edit | Select All).
> Paste the clipboard contents overtop of the formula (Edit | Paste).
> Click the ! icon to load the formula into the AA window
> Backtest a watchlist for some period.
>
> You should see the plot. If you don't, then I don't know why :(
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "richpach2" <richpach2@> wrote:
> >
> > 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@> 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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