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Mark,
The AmiBroker backtester operates in 2 major phases. In phase 1, you
set the buy/sell/short/cover arrays for one stock at a time. Then in
phase 2 (portfolio backtest), the arrays for all the stocks from phase
1 are combined into the signal list ordered by position score. You
need to scan the signal list and set the desired position size for
each entry signal.
Your position sizing algorithm will most likely need to know the
number of entry signals for each bar and possibly the number of
positions already open for each bar. This can be determined in the
custom backtester.
See also:
http://www.amibroker.com/feedback/view_bug.php?bug_id=1671
Cheers,
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "mbluhm2001" <mbluhm2001@xxx> wrote:
>
> But the way I understand the Custom Backtester is that it will process
> each stock one at a time. What I need is to first process all of the
> stocks for each day and keep track of how many stocks are on the list
> for tomorrow. Then based on how many are in that list, then I can set
> the positionsize for that day and let the backtester work. The issue
> that I can't understand is how to get the stock list for the day (like
> I do running the explorer each night) into the backtester to be used
> each day with the modified positionsize.
>
> Hope that makes sense,
> Mark
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "hydroblue@" <hydroblue@> wrote:
> >
> > Yes, it is possible. You can use the custom portfolio backtester to
> > change the position size of the entry signals.
> >
> > -Steve
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "mbluhm2001" <mbluhm2001@> wrote:
> > >
> > > Each day I get a various number of stocks that I want to posssibly
> > > trade the next day. I don't know ahead of time which stocks will
hit
> > > their price point. Also to lower risk I want to divide my money up
> > > into a number of possible slots. So I may make 10 slots and so only
> > > take 10 trades, each at 1/10th of my money. I'm thinking that if I
> > > have a lot of possible stocks for the next day then I want to raise
> > > the number of slots and if I have very few possible stocks then
lower
> > > the number of slots. This will keep my money invested as much as
> > > possible.
> > >
> > > So the problem is that I don't know how to put this all in one
> > > program. I know how to write a scan that will give me the stocks
for
> > > tomorrow and I know how to back test based on a fixed number of
> > > slots. But I want to be able to combine the two and know for the
next
> > > day, in the backtesting program, how many possible stocks so I can
> > > increase the number of slots.
> > >
> > > Is this possible with Amibroker backtester and if so can someone
> > > point me in the right direction.
> > >
> > > Thanks,
> > > Mark
> > >
> >
>
------------------------------------
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