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Howard,
Your suggestion gave me another idea. I can easily gather some
statistics on the probability of getting filled if the limit entry
price ends up being within the candle body, or within the candle wick.
In my case, I know for sure that there is a higher percentage of fills
if the limit entry price ends up being within the completed candle
body rather than the wick. It neglects the effect my order has on the
market but it should be better than nothing.
-- Curt
--- In amibroker@xxxxxxxxxxxxxxx, "Curt" <crcmcc@xxx> wrote:
>
> Howard,
>
> Good suggestion. In real trading it is "first come first served" based
> upon tick data. I can't incorporate that into the backtesting. If I
> knew the probability of getting filled, based upon something else,
> like liquidity or bar volume, then I could factor that in, but I
> haven't done a statistical analysis of my missed versus filled trades.
>
> Curt
> --- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@> wrote:
> >
> > Hi Curt --
> >
> > When you make these runs, you will get the Monte Carlo results of
> selecting
> > random portfolios. And you will see a wide variation in
> performance. If
> > your system looks good to you, and you begin to trade it, how will you
> > select which stocks to take positions in when there are more
> opportunities
> > than funds? If you have some thoughts about that, incorporate those
> into
> > your positionscore. The alternative is to shake the dice.
> >
> > Thanks,
> > Howard
> >
> >
> >
> >
> > On Thu, Jan 22, 2009 at 12:27 PM, Keith McCombs <kmccombs@>wrote:
> >
> > > TJ --
> > > "PositionScore SHOULD be an array." -- Thank you.
> > >
> > > "Microsoft's random" -- Who mentioned Microsoft's random?
> > > I suggested exporting to a spread sheet for further analysis. For
> example,
> > > I like to plot a histogram of the returns and scatter diagrams of
> different
> > > metrics.
> > >
> > > -- Keith
> > >
> > >
> > > Tomasz Janeczko wrote:
> > >
> > > That is incorrect. PositionScore SHOULD be an array. Also use
> mtRandomA()
> > > instead. Mersene Twister is way way way better than Microsoft's
> random.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > >
> > > ----- Original Message -----
> > > *From:* Keith McCombs <kmccombs@>
> > > *To:* amibroker@xxxxxxxxxxxxxxx
> > > *Sent:* Thursday, January 22, 2009 7:13 PM
> > > *Subject:* Re: [amibroker] Re: Using Optimizer with
> PositionScore=Random()
> > >
> > > Richard --
> > > runs = 1000; // Number of runs using random scores
> > > TotalRuns = Optimize("TotalRuns", 1, 1, runs, 1);
> > > PositionScore = LastValue(Random()); // need value, not array
> > > -- Keith
> > >
> > > richpach2 wrote:
> > >
> > > Keith,
> > >
> > > How would you use Random() to set up an optimization to run say 1000
> > > iterations overnight?
> > >
> > > Regards
> > > Richard
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@> wrote:
> > > >
> > > > Curt --
> > > > IMO, it makes a whole lot of sense.
> > > >
> > > > Notice that if your strategy could select many stocks to trade,
> if you
> > > > do not use Random(), the system is biased to those stocks whose
> symbols
> > > > are near the front of the alphabet.
> > > >
> > > > You can use Random() to set up an optimization to run say 1000
> > > > iterations overnight. Export the results to your favorite spread
> sheet
> > > > and see a more realistic distribution of returns you might expect.
> > > > -- Keith
> > > >
> > > > Curt wrote:
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > <mailto:amibroker% <amibroker%25>40yahoogroups.com>,
> > > > > "Curt" <crcmcc@> wrote:
> > > > > >
> > > > > > Does it make sense to try to use the optimizer if
PositionScore
> > > is set
> > > > > > to Random()? For example:
> > > > > >
> > > > > > OptimizerSetengine("cmae");
> > > > > > PositionScore = Random();
> > > > > >
> > > > > I should clarify that by setting PositionScore=Random(),
runs with
> > > > > exactly the same parameters will not produce the same results.
> This is
> > > > > because, in the cases where the portfolio becomes fully
> invested, a
> > > > > different set of stocks will populate the portfolio each run.
> > > > >
> > > > >
> > > >
> > >
> > >
> > >
> >
>
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