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Mark,
You do not need explorations. The right way to do this is with the
custom portfolio backtester. I suggest reading the documentation. Then
read it again.
-Steve
--- In amibroker@xxxxxxxxxxxxxxx, "mbluhm2001" <mbluhm2001@xxx> wrote:
>
> 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@" <hydroblue@> 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
> > > > >
> > > >
> > >
> >
>
------------------------------------
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