|
PureBytes Links
Trading Reference Links
|
Thanks very much for the direction.
So using your suggestion what I think is possible would be the following:
Run Phase 1 twice. 1st with the explorer scan to give me all of the
stocks that I would use for the following day as the list of possible
trades. The Position size would be set very large. This would fool the
backtest into giving me all of the same stocks that a normal explorer
scan would give. Then use the GetSignalQty command to give the the
total number of possible stocks and put that into an array. Then run
Phase 1 again with the new Position size based on the number of
possible stocks for the day but with the entry code that would of
triggered the stock trade.
Think this would work?
Thanks again,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "hydroblue@xxx" <hydroblue@xxx> wrote:
>
> 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@> 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
> > > >
> > >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|