Markus -
OK, here's an example of what I think that you were
after. It is a non-practical demo, but should show some points about
encoding of signal types. In your case, it shows calculating number of
shares directly from % of cash and putting it in the signal object for the
backtester to process. See the comments for details and the AA
results for the effect. BTW, I hope you'll find some other nuggets in
this example also, and find it useful as a framework for exploring some
aspects of the CBT. Some aspects of the CBT just need to be "played"
with to see what is possible. This will teach me to get involved.
:-)
-- BruceR
// Simple
example to do the following -
// 1. Buy on the first
trading day of the month and sell 5 days later
// 2. Setup default to buy
$5000
// 3. Then, in the CBT,
modify the trades on even months to buy s
// shares
equal to 20% of cash.
//
// NOTE - the encodings for PosSize as detailed in
the SetPositionSize() help are -
// values
below -2000 encode share count,
// values
between -2000 AND -1000 encode % of current position (scaling)
// values
between -1000 AND 0 encode % of portfolio Equity
// values
above 0 encode dollar value
Buy = IIf( Month( ) != Ref( Month( ), -1 ), 1, 0 );
Sell = Ref( Buy, -5 );
Short = Cover = 0;
SetPositionSize( 5000, spsValue );
SetOption( "InitialEquity", 100000 );
RoundLotSize = 1;
// MID-LEVEL CBT MODEL
SetOption( "UseCustomBacktestProc",
True
);
if (
Status( "action" ) == actionPortfolio
)
{
bo = GetBacktesterObject(
);
bo.PreProcess( );
mon =
Month(
);
dt = DateTime( );
for ( bar = 0; bar < BarCount; bar++
)
{
for( sig = bo.GetFirstSignal(
bar ); sig; sig = bo.GetNextSignal( bar )
)
{
// On even months, arbitrarily buy shares = 20% of
cash
// On odd months, $5000 will be used from
SetPositionSize above
if ( sig.IsEntry
)
{
if ( Mon[ bar ] % 2 == 0 AND sig.IsEntry
)
{
// Note - int() function effectively rounds
down
shares
= int( bo.cash *
0.20 / sig.Price
);
sig.PosSize
= -2000 -
shares;
}
_TRACE( NumToStr( dt[ bar ], formatDateTime ) +
" , Cash = " + bo.Cash
+
" , Price = " + sig.Price
+
" , PositionSize = " + sig.possize
);
}
}
bo.ProcessTradeSignals(
bar );
}
bo.PostProcess(
);
}
--- In
amibroker@xxxxxxxxxps.com, "bruce1r" <brucer@xxx>
wrote:
>
> Markus -
>
> I don't think that you, and
maybe Mike, are seeing what I'm trying to point out. I referred you to
SetPositionSize() help because it details the encoding of shares in
PosSize in the signal object in the CBT. Specically that is
(-2000-shares).
>
> When you traverse the signal objects in
the CBT, you can do your own calculation of shares from cash or whatever, and
replace the sig.PosSize value before calling the mid or low level routines to
process trades.
>
> Stated simply, you can set the number of
shares yourself directly in the CBT from your own calculation.
>
> If that is what you're after, give me a short time and I'll whip up
an example if you don't see this.
>
> -- Bruce
>
>
> --- In amibroker@xxxxxxxxxps.com, Markus Witzler funnybiz@
wrote:
> >
> > Hello Bruce,
> >
> > the
reason I must use CBT is that I can´t use Setpositionsize (...spsshares),
since I need to compute adequate number of shares by referring to actual cash
position.
> >
> > "spsShares" doesn´t allow - according to
cust. support- for calling current cash or equity position to compute
"spsshares". Thus the need for using CBT.
> >
> > Normally,
everyone seems to compute sig.possize (and implied number of shares is a
result thereof). I want to compute shares and the position size (in money
terms) should be the implied result - thus the other way around.
> >
> > The reason for this is that i want to follow along a coding
excercise I was given. And I´m not sure that -if I only specify sig.possize
and not sharesize (i.e. trade.shares)- that AB may screw up (i.e. round
up or down in some cases) when I don´t realize that.
> >
>
> Take for instance into account that AB ALWAYS rounds DOWN if fraction of
shares occur.
> >
> > I, myself, want to have control if
rounding occurs or not and HOw it occurs (up or down). That could sometimes
mean I´m rounding up when AB would round down.
> >
> > This
is not because I´m particularly picky since this issue influences the outcome
of the backtest only slightly. It´s only that I want to accurately reproduce
the results of the excercise I was given.
> >
> > In actual
trading, there shouldn´t be any problem determining sig.possize in signal list
and leave it up to AB to (maybe) rounding up or down potential fractional
shares.
> >
> > If you have any clue that might help,
please fell free to step in.
> >
> > Thanks for your
contribution
> >
> > Markus
> >
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